- Optimal real-time detection of a drifting Brownian coordinate
2018/12/18 by Philip Ernst, Ernst, Philip, Goran Peškir +4 · 2 citations
Computer Science · Decision Sciences · Economics, Econometrics and Finance · Mathematics · #45G10 #60H30. Secondary 35J15 #60J65 #62C10 #Advanced Bandit Algorithms Research #Artificial intelligence #Brownian motion #Computer science #Diffusion process #Distributed Sensor Networks and Detection Algorithms #FOS: Mathematics #Geometric Brownian motion #Geometry #Mathematical analysis #Mathematical optimization #Mathematics #Monotone polygon #Optimal stopping #Physics #Position (finance) #Primary 60G40 #Probability (math.PR) #Spatial reference system #Statistical physics #Statistics #Stochastic processes and financial applications #Wiener process #Zero (linguistics) #math.PR #msc:35J15 #msc:45G10 #msc:60G40 #msc:60H30. #msc:60J65 #msc:62C10
- Remote Estimation of the Wiener Process over a Channel with Random Delay
2017/01/24 by Yin Sun, Sun, Yin, Yury Polyanskiy +4 · 4 citations
Computer Science · Mathematics · Medicine · #Age of Information Optimization #Channel (broadcasting) #Coherent sampling #Computer science #Congenital Heart Disease Studies #Constraint (computer-aided design) #Distributed Sensor Networks and Detection Algorithms #Estimator #FOS: Computer and information sciences #Importance sampling #Information Theory (cs.IT) #Mathematical optimization #Mathematics #Mean squared error #Monte Carlo method #Queue #Sample (material) #Sampling (signal processing) #Slice sampling #Statistics #Stratified sampling #Systematic sampling #Telecommunications #Wiener process #cs.IT #math.IT
- Effect of drift of the generalized Brownian motion process: an example for the analytic Feynman integral
2016/04/06 by Seung Jun Chang, Jae Gil Choi · 2 citations
Computer Science · Economics, Econometrics and Finance · Mathematics · #Advanced Mathematical Modeling in Engineering #Brownian excursion #Brownian motion #Computer science #Diffusion process #Feynman diagram #Feynman integral #Fractional Brownian motion #Geometric Brownian motion #Mathematical analysis #Mathematical physics #Mathematics #Numerical methods in inverse problems #Physics #Reflected Brownian motion #Statistical physics #Statistics #Stochastic processes and financial applications #Wiener process
- Convergence of densities of some functionals of Gaussian processes
2013/02/27 by Yaozhong Hu, Fei Lu, Hu, Yaozhong +3 · 5 citations
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Applied mathematics #Convergence (economics) #Convergence of random variables #Degenerate energy levels #Estimator #FOS: Mathematics #Financial Risk and Volatility Modeling #Gaussian #Gaussian process #Malliavin calculus #Mathematical analysis #Mathematics #Physics #Probability (math.PR) #Probability and Risk Models #Proofs of convergence of random variables #Random variable #Statistics #Stochastic processes and statistical mechanics #Sum of normally distributed random variables #Wiener process #math.PR
- Non-degeneracy of Wiener functionals arising from rough differential equations
2007/07/02 by Thomas Cass, Cass, Thomas, Peter K. Friz +4 · 1 citation
Economics, Econometrics and Finance · Mathematics · #60G17 #60H07 #Brownian motion #Classical Wiener space #Degeneracy (biology) #Degenerate energy levels #Differential equation #FOS: Mathematics #Financial Risk and Volatility Modeling #Functional integration #Gaussian #Integral equation #Integral representation theorem for classical Wiener space #Malliavin calculus #Mathematical analysis #Mathematics #Physics #Probability (math.PR) #Probability and Statistical Research #Sobolev space #Stochastic differential equation #Stochastic partial differential equation #Stochastic processes and financial applications #Wiener process #math.PR #msc:60G17 #msc:60H07
- The Brownian Movement and Stochastic Equations
1942/04/01 by J. L. Doob · 2 citations
Mathematics · #Statistical Distribution Estimation and Applications #Mathematics #Brownian motion #Movement (music) #Wiener process #Brownian excursion #Geometric Brownian motion #Mathematical analysis #Statistical physics #Diffusion process #Statistics #Computer science