NSTL国家科技图书文献中心

1. Discretely observed Brownian motion governed by telegraph signal process: Estimation and application to finance NSTL国家科技图书文献中心

Eada, Surya Teja | Pozdnyakov, Vladimir ... - 《Statistical inference for stochastic processes》 - 2025,28(1) - 共17页

摘要： Brownian motion with state-specific drift and volatility | and a telegraph signal process* with exponential* | time results for telegraph signal process | Regime-switching models are commonly used in | financial econometrics to capture changes in market

关键词： BMT process | Telegraph process | Forward algorithm | Hidden Markov model | Maximum likelihood estimation

2. Comparing Scale Parameter Estimators for Gaussian Process Interpolation with the Brownian Motion Prior: Leave-One-Out Cross Validation and Maximum Likelihood NSTL国家科技图书文献中心

Masha Naslidnyk | Motonobu Kanagawa ... - 《SIAM/ASA Journal on Uncertainty Quantification》 - 2025,13(2) - 679～717 - 共39页

摘要： parameter estimation of a Brownian* motion kernel in the* | Gaussian process* (GP) regression is a Bayesian* | nonparametric method for regression and interpolation that | offers a principled way of quantifying the | uncertainties of predicted function values. For the quantified

关键词： Gaussian processes | Cross-validation | Maximum likelihood | Empirical bayes | Credible sets | Model misspecification

3. A new numerical algorithm based on least squares method for solving stochastic Itô-Volterra integral equations NSTL国家科技图书文献中心

Zhang, Xueli | Huang, Jin ... - 《Numerical algorithms》 - 2025,98(1) - 117～132 - 共16页

摘要：In conjunction with least squares method and | generalized hat functions, we propose a new algorithm for | stochastic Ito-Volterra integral equations. Firstly, the | original problem is turned into solving a linear system | of equations. Further, an efficient strategy is

关键词： Stochastic Ito-Volterra integral equations | Brownian motion process | Least squares method | Generalized hat functions

4. Robust and efficient parameter estimation for discretely observed stochastic processes NSTL国家科技图书文献中心

Hore, Rohan | Ghosh, Abhik - 《Annals of the Institute of Statistical Mathematics》 - 2025,77(3) - 387～424 - 共38页

摘要： the Poisson process, drifted Brownian* motion and the* | parametric stochastic process* model which exploits the nice* | stochastic process* setups and illustrate their benefits* | In various practical situations, we encounter | data from stochastic processes which can be

关键词： Stochastic process | Robust estimation | Density power divergence | Poisson process | Brownian motion

5. Besicovitch almost automorphic solutions in finite-dimensional distributions to stochastic semilinear differential equations driven by both Brownian and fractional Brownian motions NSTL国家科技图书文献中心

Li, Yongkun | Bai, Zhicong - 《Mathematical Methods in the Applied Sciences》 - 2025,48(2) - 1685～1700 - 共16页

摘要： Brownian motion and fractional Brownian motion. Firstly | by Brownian motion* or stochastic differential* | equations driven by fractional Brownian* motion.* | finite-dimensional distributions of a random process* at* | In this paper, we are concerned with a

关键词： Besicovitch almost automorphic solution | Brownian motion | fractional Brownian motion | stochastic semilinear differential equations

6. Existence of strong solutions for one-dimensional reflected mixed stochastic delay differential equations NSTL国家科技图书文献中心

Chadad, Monir | Erraoui, Mohamed - 《Forum mathematicum》 - 2025,37(2) - 425～441 - 共17页

摘要： mixture of independent Brownian and fractional Brownian | Relying on the pathwise uniqueness property | , we prove existence of the strong solution of a one | -dimensional reflected stochastic delay equation driven by a | motions. The difficulty is that on the one hand we

关键词： Fractional Brownian motion | Wiener process | stochastic delay differential equation | mixed stochastic differential equation with reflection | pathwise integral | Euler approximation | Skorokhod reflection problem

7. Spatial growth-fragmentations and excursions from hyperplanes NSTL国家科技图书文献中心

Da Silva, William | Pardo, Juan Carlos - 《Stochastic Processes and Their Applications》 - 2025,181 - 共24页

摘要： Brownian motion from hyperplanes. Such a family of | Brownian motion is replaced by an isotropic Markov | -valued Brownian* motion.* | -similar growth-fragmentation process* that shows up when* | isotropic self-similar Markov process. The former can be

关键词： Growth-fragmentation process | Self-similar Markov process | Markov additive process | Spinal decomposition | Excursion theory

8. Power Brownian Motion: an Ornstein-Uhlenbeck lookout NSTL国家科技图书文献中心

Eliazar, Iddo - 《Journal of physics,A.Mathematical and theoretical》 - 2025,58(1) - 共29页

摘要： Brownian motion (PBM) is a Gaussian model for diffusive | motion (FBM), and scaled Brownian Motion (SBM). Due to | The well-known Ornstein-Uhlenbeck process* (OUP* | process. (4) Langevin stochastic dynamics driven by | models for anomalous diffusion are fractional Brownian

关键词： Gauss-Markov processes | stationarity | selfsimilarity | Lamperti transform | Langevin equation | fractional Brownian motion | scaled Brownian Motion

9. Ruin probability approximation for bidimensional Brownian risk model with tax NSTL国家科技图书文献中心

Shashkov, Timofei - 《Statistics & Probability Letters》 - 2025,217 - 共10页

摘要： Brownian motion with independent components and define | the y-reflected process* X(0) = (X0.82(0* | Let B() (B,(1), B(t)), 20 be a two-dimensional | )) = (())---(()) with given finite constants c.CR and 71-72 10,2 | ). The goal of this paper is to derive the asymptotics

关键词： Bidimensional Brownian risk model | Simultaneous ruin probability | gamma-reflected risk model | Exact asymptotics | Extremes of Gaussian random fields

10. Scaled Brownian motion with random anomalous diffusion exponent NSTL国家科技图书文献中心

Woszczek H. | Chechkin A.... - 《Communications in nonlinear science and numerical simulation》 - 2025,140(Jan. Pt.1) - 1.1～1.19 - 共19页

摘要：© 2024 Elsevier B.V.The scaled Brownian motion | scaled Brownian* motion with random exponent (SBMRE* | -similar process* with independent increments and has* | biological experiments, we introduce a process* called* | (SBM) is regarded as one of the paradigmatic random

摘要： Brownian motion with state-specific drift and volatility | and a telegraph signal process* with exponential* | time results for telegraph signal process | Regime-switching models are commonly used in | financial econometrics to capture changes in market

关键词： BMT process | Telegraph process | Forward algorithm | Hidden Markov model | Maximum likelihood estimation

摘要： parameter estimation of a Brownian* motion kernel in the* | Gaussian process* (GP) regression is a Bayesian* | nonparametric method for regression and interpolation that | offers a principled way of quantifying the | uncertainties of predicted function values. For the quantified

关键词： Gaussian processes | Cross-validation | Maximum likelihood | Empirical bayes | Credible sets | Model misspecification

摘要：In conjunction with least squares method and | generalized hat functions, we propose a new algorithm for | stochastic Ito-Volterra integral equations. Firstly, the | original problem is turned into solving a linear system | of equations. Further, an efficient strategy is

关键词： Stochastic Ito-Volterra integral equations | Brownian motion process | Least squares method | Generalized hat functions

摘要： the Poisson process, drifted Brownian* motion and the* | parametric stochastic process* model which exploits the nice* | stochastic process* setups and illustrate their benefits* | In various practical situations, we encounter | data from stochastic processes which can be

关键词： Stochastic process | Robust estimation | Density power divergence | Poisson process | Brownian motion

摘要： Brownian motion and fractional Brownian motion. Firstly | by Brownian motion* or stochastic differential* | equations driven by fractional Brownian* motion.* | finite-dimensional distributions of a random process* at* | In this paper, we are concerned with a

关键词： Besicovitch almost automorphic solution | Brownian motion | fractional Brownian motion | stochastic semilinear differential equations

摘要： mixture of independent Brownian and fractional Brownian | Relying on the pathwise uniqueness property | , we prove existence of the strong solution of a one | -dimensional reflected stochastic delay equation driven by a | motions. The difficulty is that on the one hand we

关键词： Fractional Brownian motion | Wiener process | stochastic delay differential equation | mixed stochastic differential equation with reflection | pathwise integral | Euler approximation | Skorokhod reflection problem

摘要： Brownian motion from hyperplanes. Such a family of | Brownian motion is replaced by an isotropic Markov | -valued Brownian* motion.* | -similar growth-fragmentation process* that shows up when* | isotropic self-similar Markov process. The former can be

关键词： Growth-fragmentation process | Self-similar Markov process | Markov additive process | Spinal decomposition | Excursion theory

摘要： Brownian motion (PBM) is a Gaussian model for diffusive | motion (FBM), and scaled Brownian Motion (SBM). Due to | The well-known Ornstein-Uhlenbeck process* (OUP* | process. (4) Langevin stochastic dynamics driven by | models for anomalous diffusion are fractional Brownian

关键词： Gauss-Markov processes | stationarity | selfsimilarity | Lamperti transform | Langevin equation | fractional Brownian motion | scaled Brownian Motion

摘要： Brownian motion with independent components and define | the y-reflected process* X(0) = (X0.82(0* | Let B() (B,(1), B(t)), 20 be a two-dimensional | )) = (())---(()) with given finite constants c.CR and 71-72 10,2 | ). The goal of this paper is to derive the asymptotics

关键词： Bidimensional Brownian risk model | Simultaneous ruin probability | gamma-reflected risk model | Exact asymptotics | Extremes of Gaussian random fields

摘要：© 2024 Elsevier B.V.The scaled Brownian motion | scaled Brownian* motion with random exponent (SBMRE* | -similar process* with independent increments and has* | biological experiments, we introduce a process* called* | (SBM) is regarded as one of the paradigmatic random

关键词： Anomalous diffusion exponent | Ergodicity breaking | Random diffusion exponent | Scaled Brownian motion | Stochastic exponent

4008-161-200 800-990-8900

国家科技图书文献中心

摘要： Brownian motion with state-specific drift and volatility | and a telegraph signal process with exponential | time results for telegraph signal process | Regime-switching models are commonly used in | financial econometrics to capture changes in market

关键词： BMT process | Telegraph process | Forward algorithm | Hidden Markov model | Maximum likelihood estimation

摘要： parameter estimation of a Brownian motion kernel in the | Gaussian process (GP) regression is a Bayesian | nonparametric method for regression and interpolation that | offers a principled way of quantifying the | uncertainties of predicted function values. For the quantified

关键词： Gaussian processes | Cross-validation | Maximum likelihood | Empirical bayes | Credible sets | Model misspecification

摘要：In conjunction with least squares method and | generalized hat functions, we propose a new algorithm for | stochastic Ito-Volterra integral equations. Firstly, the | original problem is turned into solving a linear system | of equations. Further, an efficient strategy is

关键词： Stochastic Ito-Volterra integral equations | Brownian motion process | Least squares method | Generalized hat functions

摘要： the Poisson process, drifted Brownian motion and the | parametric stochastic process model which exploits the nice | stochastic process setups and illustrate their benefits | In various practical situations, we encounter | data from stochastic processes which can be

关键词： Stochastic process | Robust estimation | Density power divergence | Poisson process | Brownian motion

摘要： Brownian motion and fractional Brownian motion. Firstly | by Brownian motion or stochastic differential | equations driven by fractional Brownian motion. | finite-dimensional distributions of a random process at | In this paper, we are concerned with a

关键词： Besicovitch almost automorphic solution | Brownian motion | fractional Brownian motion | stochastic semilinear differential equations

摘要： mixture of independent Brownian and fractional Brownian | Relying on the pathwise uniqueness property | , we prove existence of the strong solution of a one | -dimensional reflected stochastic delay equation driven by a | motions. The difficulty is that on the one hand we

关键词： Fractional Brownian motion | Wiener process | stochastic delay differential equation | mixed stochastic differential equation with reflection | pathwise integral | Euler approximation | Skorokhod reflection problem

摘要： Brownian motion from hyperplanes. Such a family of | Brownian motion is replaced by an isotropic Markov | -valued Brownian motion. | -similar growth-fragmentation process that shows up when | isotropic self-similar Markov process. The former can be

关键词： Growth-fragmentation process | Self-similar Markov process | Markov additive process | Spinal decomposition | Excursion theory

摘要： Brownian motion (PBM) is a Gaussian model for diffusive | motion (FBM), and scaled Brownian Motion (SBM). Due to | The well-known Ornstein-Uhlenbeck process (OUP | process. (4) Langevin stochastic dynamics driven by | models for anomalous diffusion are fractional Brownian

关键词： Gauss-Markov processes | stationarity | selfsimilarity | Lamperti transform | Langevin equation | fractional Brownian motion | scaled Brownian Motion

摘要： Brownian motion with independent components and define | the y-reflected process X(0) = (X0.82(0 | Let B() (B,(1), B(t)), 20 be a two-dimensional | )) = (())---(()) with given finite constants c.CR and 71-72 10,2 | ). The goal of this paper is to derive the asymptotics

关键词： Bidimensional Brownian risk model | Simultaneous ruin probability | gamma-reflected risk model | Exact asymptotics | Extremes of Gaussian random fields

摘要：© 2024 Elsevier B.V.The scaled Brownian motion | scaled Brownian motion with random exponent (SBMRE | -similar process with independent increments and has | biological experiments, we introduce a process called | (SBM) is regarded as one of the paradigmatic random

关键词： Anomalous diffusion exponent | Ergodicity breaking | Random diffusion exponent | Scaled Brownian motion | Stochastic exponent

4008-161-200 800-990-8900

国家科技图书文献中心

摘要： Brownian motion with state-specific drift and volatility | and a telegraph signal process* with exponential* | time results for telegraph signal process | Regime-switching models are commonly used in | financial econometrics to capture changes in market

摘要： parameter estimation of a Brownian* motion kernel in the* | Gaussian process* (GP) regression is a Bayesian* | nonparametric method for regression and interpolation that | offers a principled way of quantifying the | uncertainties of predicted function values. For the quantified

摘要： the Poisson process, drifted Brownian* motion and the* | parametric stochastic process* model which exploits the nice* | stochastic process* setups and illustrate their benefits* | In various practical situations, we encounter | data from stochastic processes which can be

摘要： Brownian motion and fractional Brownian motion. Firstly | by Brownian motion* or stochastic differential* | equations driven by fractional Brownian* motion.* | finite-dimensional distributions of a random process* at* | In this paper, we are concerned with a

摘要： Brownian motion from hyperplanes. Such a family of | Brownian motion is replaced by an isotropic Markov | -valued Brownian* motion.* | -similar growth-fragmentation process* that shows up when* | isotropic self-similar Markov process. The former can be

摘要： Brownian motion (PBM) is a Gaussian model for diffusive | motion (FBM), and scaled Brownian Motion (SBM). Due to | The well-known Ornstein-Uhlenbeck process* (OUP* | process. (4) Langevin stochastic dynamics driven by | models for anomalous diffusion are fractional Brownian

摘要： Brownian motion with independent components and define | the y-reflected process* X(0) = (X0.82(0* | Let B() (B,(1), B(t)), 20 be a two-dimensional | )) = (())---(()) with given finite constants c.CR and 71-72 10,2 | ). The goal of this paper is to derive the asymptotics

摘要：© 2024 Elsevier B.V.The scaled Brownian motion | scaled Brownian* motion with random exponent (SBMRE* | -similar process* with independent increments and has* | biological experiments, we introduce a process* called* | (SBM) is regarded as one of the paradigmatic random