Keywords: primary; 60J55; secondary; 60G51; 60J45; 60H10; Additive functionals; Subordinate Brownian motion; Purely discontinuous Girsanov transform; Absolute continuity; Singularity; Relative entropy;
مقالات ISI (ترجمه نشده)
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Keywords: 60G15; 60J55; 60H05; Weighted-fractional Brownian motion; Central limit theorem; Ornstein-Uhlenbeck process; Parameter estimation; Asymptotic normality; The generalized quadratic variation;
Keywords: primary; 60J55; secondary; 41A25; Stochastic differential equation; Stability problems; Convergence rate; Local time;
Derivative of intersection local time of independent symmetric stable motions
Keywords: 60G52; 60J55; Symmetric stable process; Intersection local time; p-variation;
Splitting and time reversal for Markov additive processes
Keywords: 60G51; 60J55; Lévy process; Path decomposition; Time reversal; Wiener-Hopf factorization; Last exit; Conditioned to stay positive;
Keywords: Edwards model; self-intersection local time; Varadhan renormalization; white noise analysis28C20; 41A25; 60H40; 60J55; 60J65; 82D60
Keywords: 60J65; 60G55; 60J55; Brownian bridge; Rescaling; Excursions; Extrema; Kolmogorov-Smirnov statistics;
Keywords: primary; 60K05; 60K15; 91B30; secondary; 60G70; 60J55; Reinsurance; Portfolio; Partial information; Malliavin calculus;
Brownian bricklayer: A random space-filling curve
Keywords: 60J55; 60G17; Local times; Space-filling curve; Brownian motion;
Asymptotic results for exponential functionals of Lévy processes
Keywords: primary; 60G51; 60J55; secondary; 60K37; 60J80; Lévy process; Exponential functional; Laplace exponent; Branching process; Random environment; Survival probability;
Integral equations for Rost's reversed barriers: Existence and uniqueness results
Keywords: 60G40; 60J65; 60J55; 35R35; 45D05; Skorokhod embedding; Rost's reversed barriers; Optimal stopping; Free-boundary problems; Volterra integral equations;
On the multi-dimensional skew Brownian motion
Keywords: primary; 60J60; 60H10; secondary; 93E15; 60J55; Skew Brownian motion; SDE with local time; Singular diffusion processes;
Elements related to the largest complete excursion of a reflected BM stopped at a fixed time. Application to local score
Keywords: 60F17; 60G17; 60G40; 60G44; 60G50; 60G52; 60J55; 60J65; Lindley process; Local score; Donsker invariance theorem; Reflected Brownian motion; Inverse of the local time; Brownian excursions;
Excursions and path functionals for stochastic processes with asymptotically zero drifts
Keywords: 60G17; 60J10; 60J55; 60F15; 82D60; Path functional; Excursion; Maximum; Passage-time; Additive functional; Path integral; Lamperti's problem; Centre of mass; Centrally biased random walk;
Local time-space calculus for symmetric Lévy processes
Keywords: 60G44; 60H05; 60J55; 60J65Stochastic calculus; Local time-space calculus; Itô formula; Lévy process; Symmetric stable process
Some properties of the Itô–Wiener expansion of the solution of a stochastic differential equation and local times
Keywords: 60J55; 60H10Itô–Wiener expansion; Stochastic differential equation; Local time; Renormalized local time; Second quantization operator
On symmetric and skew Bessel processes
Keywords: 60H10; 60J25; 60J55; 60J60Bessel process; Bessel equation; Singular stochastic differential equations; Continuous strong Markov processes; Local times; Uniqueness in law; Pathwise uniqueness
Remarks on an integral functional driven by sub-fractional Brownian motion
Keywords: 60G15; 60J55; 60H05Sub-fractional Brownian motion; Local time; Self-intersection local time; pp-variation; Stochastic area integrals
Hitting of a line or a half-line in the plane by two-dimensional symmetric stable Lévy processes
Keywords: 60G52; 60G51; 60J45; 60J55; 60G44Fluctuation identities in two dimension; Two-dimensional stable processes; First hitting distribution; Local time
Poisson point processes, excursions and stable processes in two-dimensional structures
Keywords: 60G55; 60G18; 60J55; 60J60; 60J65; 60J67Excursions; Poisson point processes; Brownian motion; Bessel processes; Schramm–Loewner evolutions; Conformal loop ensembles; Loop soups
Large deviations for self-intersection local times of stable random walks
Keywords: 60F10; 60J55; 60J27; 60G50Large deviations; Stable random walks; Intersection local time; Self-intersections
Continuity in the Hurst parameter of the law of the symmetric integral with respect to the fractional Brownian motion
Keywords: 60B12; 60J55; 60G15Convergence in law; Fractional Brownian motion; Russo–Vallois symmetric integral
Large deviations in total variation of occupation measures of one-dimensional diffusions
Keywords: 60F10; 60J55; 60J60Large deviations; Local times; Uniformly integrable
On permanental processes
Keywords: 60J25; 60J55; 60G15; 60G55Gaussian process; Local times; Infinite divisibility; Permanental process
The law of iterated logarithm for additive functionals and martingale additive functionals of Harris recurrent Markov processes
Keywords: 60F99; 60J35; 60J55; 60J60Harris recurrence; Nummelin splitting; Continuous time Markov processes; Additive functionals; Law of iterated logarithm
Remarks on the density of the law of the occupation time for Bessel bridges and stable excursions
Keywords: 60J55; 60J25; 26A33
Asymptotic properties for Cauchy's principal values of Brownian and random walk local time
Keywords: 60F15; 60J15; 60J55;
Approximation via regularization of the local time of semimartingales and Brownian motion
Keywords: 60G44; 60H05; 60H99; 60J55; 60J60; 60J65Local time; Stochastic integration by regularization; Quadratic variation; Rate of convergence; Stochastic Fubini’s theorem
On Nummelin splitting for continuous time Harris recurrent Markov processes and application to kernel estimation for multi-dimensional diffusions
Keywords: 60F99; 60J35; 60J55; 60J60; 62G99; 62M05Harris recurrence; Nummelin splitting; Continuous time Markov processes; Resolvents; Special functions; Additive functionals; Chacon–Ornstein theorem; Diffusion process; Nadaraya–Watson estimator
On the monotonicity of a function related to the local time of a symmetric Lévy process
Keywords: Primary; 60J25; secondary; 60J55; Lévy processes; Subordinate Brownian motion; Local time; Bernstein function;
Filtering of a reflected Brownian motion with respect to its local time
Keywords: 60J55; 60J65; 60F99; 60G35; 93E11; 60G55; Brownian motion; Local time; Nonlinear filtering; Approximation; Counting processes; Reflection principle; Skorohod problem;
Self-intersection local times of additive processes: Large deviation and law of the iterated logarithm
Keywords: 60F10; 60F15; 60J55; 60G52Additive stable process; Self-intersection local time; Law of the iterated logarithm; Large deviations
Local time–space stochastic calculus for Lévy processes
Keywords: 60G44; 60H05; 60J55; 60J65Lévy processes; Stochastic calculus; Local time; Itô formula
Continuous time random walks and queues: Explicit forms and approximations of the conditional law with respect to local times
Keywords: 60K20; 60J55; 60F99; 60G35; 93E11; 60G55Queues; Idle time; Nonlinear filtering; Point processes; Weak convergence; Reflection principle
A construction of catalytic super-Brownian motion via collision local time
Keywords: 60J80; 60J55; 60G57; Super-Brownian motion; Collision local time; Catalytic branching; Singular medium; Subordination; Excursion theory;
Thick points for the Cauchy process
Keywords: 60J55; Thick points; Multi-fractal analysis; Cauchy process;
Bismut-Elworthy's formula and random walk representation for SDEs with reflection
Keywords: 60H10; 60J55; 60H07; Stochastic differential equations with reflection; Malliavin calculus;
Level crossings of a two-parameter random walk
Keywords: 60J55; 60G50; 60F17; Level crossing; Local time; Random walk; Brownian sheet;
Non-linear Neumann's condition for the heat equation: a probabilistic representation using catalytic super-Brownian motion
Keywords: 60J55; 60J80; 60H30; 60G57; 35C15; 35J65; Non-linear boundary value problem; Collision local time; Catalytic super-Brownian motion; Exit-measure;
About a construction and some analysis of time inhomogeneous diffusions on monotonely moving domains
Keywords: 60J60; 31C25; 47D06; 47D07; 35K65; 35K20; 60J55; Diffusion processes; Dirichlet spaces; One-parameter semigroups and linear evolution equations; Markov semigroups and applications to diffusion processes; Parabolic partial differential equations of degener