کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156580 | 958845 | 2006 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Large deviations of infinite intersections of events in Gaussian processes
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Consider events of the form {Zsâ¥Î¶(s),sâS}, where Z is a continuous Gaussian process with stationary increments, ζ is a function that belongs to the reproducing kernel Hilbert space R of process Z, and SâR is compact. The main problem considered in this paper is identifying the function βââR satisfying βâ(s)â¥Î¶(s) on S and having minimal R-norm. The smoothness (mean square differentiability) of Z turns out to have a crucial impact on the structure of the solution. As examples, we obtain the explicit solutions when ζ(s)=s for sâ[0,1] and Z is either a fractional Brownian motion or an integrated Ornstein-Uhlenbeck process.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 116, Issue 9, September 2006, Pages 1269-1293
Journal: Stochastic Processes and their Applications - Volume 116, Issue 9, September 2006, Pages 1269-1293
نویسندگان
Michel Mandjes, Petteri Mannersalo, Ilkka Norros, Miranda van Uitert,