Keywords: انتگرال تصادفی; The sewing lemma; Riemann-Stieltjes integrals; Stochastic integrals; Fractional Brownian motion;
مقالات ISI انتگرال تصادفی (ترجمه نشده)
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Keywords: انتگرال تصادفی; Kolmogorov complexity; Algorithmic randomness; Brownian motion; Stochastic integrals; Pathwise integral; Itô’s lemma
Discretizing Malliavin calculus
Keywords: انتگرال تصادفی; 60H07; 60H05; 60F25; Malliavin calculus; Strong approximation; Stochastic integrals; S-transform; Chaos decomposition; Invariance principle;
Single jump processes and strict local martingales
Keywords: انتگرال تصادفی; primary; 60G48; 60G44; secondary; 60H05; Single jump; Strict local martingales; Stochastic integrals;
Identification of a noncausal Itô process from the stochastic Fourier coefficients
Keywords: انتگرال تصادفی; 60H05; 42A61; 60H07; Stochastic integrals; Stochastic Fourier coefficient; Noncausal function; Brownian motion; Bohr convolution; Homogeneous chaos;
Sharp estimates on the tail behavior of a multistable distribution
Keywords: انتگرال تصادفی; Heavy-tailed distributions; Variable exponent; Stochastic integrals; Characteristic functions; Fourier methods
Random walk or chaos: A formal test on the Lyapunov exponent
Keywords: انتگرال تصادفی; C14; C22; Lyapunov exponent; Chaos; Random walk; Unit root; Kernel regression; Brownian motion; Local time; Stochastic integrals;
Semimartingale approximation of fractional Brownian motion and its applications
Keywords: انتگرال تصادفی; Fractional Brownian motion; Stochastic integrals; Semimartingale; Black–Scholes model
Itô and Stratonovich integrals on compound renewal processes: the normal/Poisson case
Keywords: انتگرال تصادفی; 02.50.Ey; 05.10.Ln; 05.40.Jc; 05.40.−a; 89.65.GhContinuous-time random walk; Stochastic integrals; Stochastic jump process; Stochastic theory; Stochastic model; Probabilistic model; Probabilistic simulation; Monte Carlo; Econophysics
Relation between unit operators proximity and their associated spectral measures
Keywords: انتگرال تصادفی; 60G57; 60G10; 60B15; 60H05Random measures; Stationary processes; Fourier transform; Stochastic integrals; Spectral measures
On the optimal approximation rate of certain stochastic integrals
Keywords: انتگرال تصادفی; Non-linear approximation; Stochastic integrals; Regular sequences;
A rough path over multidimensional fractional Brownian motion with arbitrary Hurst index by Fourier normal ordering
Keywords: انتگرال تصادفی; 05C05; 16W30; 60F05; 60G15; 60G18; 60H05Fractional Brownian motion; Stochastic integrals; Rough paths; Hopf algebra of decorated rooted trees
Linear systems with fractional Brownian motion and Gaussian noise
Keywords: انتگرال تصادفی; Fractional Brownian motion; Linear random vibration; Long range dependence; Stochastic processes; Stochastic integrals;
On an approximation problem for stochastic integrals where random time nets do not help
Keywords: انتگرال تصادفی; Approximation; Stochastic integrals; Random time nets
Regularity and representation of viscosity solutions of partial differential equations via backward stochastic differential equations
Keywords: انتگرال تصادفی; Stochastic integrals; Brownian motion; Stochastic differential equations; Distributional derivative; Forward backward stochastic differential equations