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Displaying 81 – 100 of 173

Reflected diffusions defined via the extended Skorokhod map.

Ramanan, Kavita (2006)

Electronic Journal of Probability [electronic only]

Reflection coefficients vs partial autocorrelations.

Castro, Glaysar (2007)

Divulgaciones Matemáticas

Réflexion discontinue et systèmes stochastiques

M. Chaleyat-Maurel (1981)

Annales scientifiques de l'Université de Clermont. Mathématiques

Refracted Lévy processes

A. E. Kyprianou, R. L. Loeffen (2010)

Annales de l'I.H.P. Probabilités et statistiques

Motivated by classical considerations from risk theory, we investigate boundary crossing problems for refracted Lévy processes. The latter is a Lévy process whose dynamics change by subtracting off a fixed linear drift (of suitable size) whenever the aggregate process is above a pre-specified level. More formally, whenever it exists, a refracted Lévy process is described by the unique strong solution to the stochastic differential equation dUt=−δ1{Ut>b} dt+dXt, where X={Xt : t≥0} is a Lévy...

Regeneration in random combinatorial structures.

Gnedin, Alexander V. (2010)

Probability Surveys [electronic only]

Regenerative partition structures.

Gnedin, Alexander, Pitman, Jim (2005)

The Electronic Journal of Combinatorics [electronic only]

Regenerative renewal processes

I. Kopocińska (1988)

Applicationes Mathematicae

Regenerative sets on real line

Michael I. Taksar (1980)

Séminaire de probabilités de Strasbourg

Régularité à droite des surmartingales à deux indices et théorème d'arrêt

Gérald Mazziotto (1983)

Séminaire de probabilités de Strasbourg

Régularité Besov des trajectoires du processus intégral de Skorokhod

Gérard Lorang (1996)

Studia Mathematica

Let $W_{t} : 0 \leq t \leq 1$ be a linear Brownian motion, starting from 0, defined on the canonical probability space (Ω,ℱ,P). Consider a process $u_{t} : 0 \leq t \leq 1$ belonging to the space $ℒ^{2, 1}$ (see Definition II.2). The Skorokhod integral $U_{t} = ʃ_{0}^{t} u δ W$ is then well defined, for every t ∈ [0,1]. In this paper, we study the Besov regularity of the Skorokhod integral process $t \mapsto U_{t}$ . More precisely, we prove the following THEOREM III.1. (1)If 0 < α < 1/2 and $u \in ℒ^{p, 1}$ with 1/α < p < ∞, then a.s. $t \mapsto U_{t} \in ℬ_{p, q}^{α}$ for all q ∈ [1,∞], and $t \to U_{t} \in ℬ_{p, \infty}^{α, 0}$ . (2) For every even integer p ≥...