Factorising brownian motion at two boundaries ; an example
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Displaying 1 – 20 of 76
Factorization of the Green's operator and weak-type estimates for a random walk on a tree.
Richard Rochberg, Mitchell Taibleson (1991)
Publicacions Matemàtiques
Factorization representations in the boundary crossing problems for random walks on a Markov chain.
Lotov, V.I., Orlova, N.G. (2005)
Sibirskij Matematicheskij Zhurnal
Fast deterministic pricing of options on Lévy driven assets
Ana-Maria Matache, Tobias Von Petersdorff, Christoph Schwab (2004)
ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique
Arbitrage-free prices of European contracts on risky assets whose log-returns are modelled by Lévy processes satisfy a parabolic partial integro-differential equation (PIDE) . This PIDE is localized to bounded domains and the error due to this localization is estimated. The localized PIDE is discretized by the -scheme in time and a wavelet Galerkin method with degrees of freedom in log-price space. The dense matrix for can be replaced by a sparse matrix in the wavelet basis, and the linear...
Fast deterministic pricing of options on Lévy driven assets
Ana-Maria Matache, Tobias von Petersdorff, Christoph Schwab (2010)
ESAIM: Mathematical Modelling and Numerical Analysis
Arbitrage-free prices u of European contracts on risky assets whose log-returns are modelled by Lévy processes satisfy a parabolic partial integro-differential equation (PIDE) . This PIDE is localized to bounded domains and the error due to this localization is estimated. The localized PIDE is discretized by the θ-scheme in time and a wavelet Galerkin method with N degrees of freedom in log-price space. The dense matrix for can be replaced by a sparse matrix in the wavelet basis, and the...
Fast sets and points for fractional brownian motion
Davar Khoshnevisan, Zhan Shi (2000)
Séminaire de probabilités de Strasbourg
Feller semigroups and degenerate elliptic operators with Wentzell boundary conditions
Kazuaki Taira, Angelo Favini, Silvia Romanelli (2001)
Studia Mathematica
This paper is devoted to the functional analytic approach to the problem of construction of Feller semigroups with Wentzell boundary conditions in the characteristic case. Our results may be stated as follows: We can construct Feller semigroups corresponding to a diffusion phenomenon including absorption, reflection, viscosity, diffusion along the boundary and jump at each point of the boundary.
Feller semigroups, Dirchlet forms, and pseudo differential operators.
Niels Jacob (1992)
Forum mathematicum
Feller semigroups obtained by variable order subordination.
Kristian P. Evans, Niels Jacob (2007)
Revista Matemática Complutense
Fernique type inequalities and moduli of continuity for l2-valued Ornstein-Uhlenbeck Processes
Endre Csáki, Miklós Csörgö, Qi-Man Shao (1992)
Annales de l'I.H.P. Probabilités et statistiques
Feynman-Kac formula, λ-Poisson kernels and λ-Green functions of half-spaces and balls in hyperbolic spaces
Tomasz Byczkowski, Jacek Małecki, Tomasz Żak (2010)
Colloquium Mathematicae
We apply the Feynman-Kac formula to compute the λ-Poisson kernels and λ-Green functions for half-spaces or balls in hyperbolic spaces. We present known results in a unified way and also provide new formulas for the λ-Poisson kernels and λ-Green functions of half-spaces in ℍⁿ and for balls in real and complex hyperbolic spaces.
Feynman-Kac penalisations of symmetric stable processes.
Takeda, Masayoshi (2010)
Electronic Communications in Probability [electronic only]
Fill's algorithm for absolutely continuous stochastically monotone kernels.
Machida, Motoya (2002)
Electronic Communications in Probability [electronic only]
Filtrage de diffusions bidirectionnelles pour une observation ponctuelle de Poisson à deux paramètres
G. Mazziotto, J. Szpirglas (1981)
Annales scientifiques de l'Université de Clermont. Mathématiques
Filtration des ponts browniens et équations différentielles stochastiques linéaires
Thierry Jeulin, Marc Yor (1990)
Séminaire de probabilités de Strasbourg
Filtration d'une marche aléatoire stationnaire sur le cercle
Christophe Leuridan (2002)
Séminaire de probabilités de Strasbourg
Filtrations browniennes et balayage
Marc Malric (1990)
Annales de l'I.H.P. Probabilités et statistiques
Filtrations quotients de la filtration brownienne
Marc Malric (2001)
Séminaire de probabilités de Strasbourg
Finely harmonic morphisms, Brownian path preserving functions and conformal martingales.
B. Oksendal (1984)
Inventiones mathematicae
Finite dimensional determinants as characteristic functions of quadratic Wiener functionals.
Hara, Keisuke (2004)
Electronic Communications in Probability [electronic only]
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