ترغب بنشر مسار تعليمي؟ اضغط هنا

Windings of planar stable processes

56   0   0.0 ( 0 )
 نشر من قبل Stavros Vakeroudis
 تاريخ النشر 2012
  مجال البحث
والبحث باللغة English
 تأليف Ron A. Doney




اسأل ChatGPT حول البحث

Using a generalization of the skew-product representation of planar Brownian motion and the analogue of Spitzers celebrated asymptotic Theorem for stable processes due to Bertoin and Werner, for which we provide a new easy proof, we obtain some limit Theorems for the exit time from a cone of stable processes of index $alphain(0,2)$. We also study the case $trightarrow0$ and we prove some Laws of the Iterated Logarithm (LIL) for the (well-defined) winding process associated to our planar stable process.

قيم البحث

اقرأ أيضاً

We consider a new family of $R^d$-valued L{e}vy processes that we call Lamperti stable. One of the advantages of this class is that the law of many related functionals can be computed explicitely (see for instance cite{cc}, cite{ckp}, cite{kp} and ci te{pp}). This family of processes shares many properties with the tempered stable and the layered stable processes, defined in Rosinski cite{ro} and Houdre and Kawai cite{hok} respectively, for instance their short and long time behaviour. Additionally, in the real valued case we find a series representation which is used for sample paths simulation. In this work we find general properties of this class and we also provide many examples, some of which appear in recent literature.
The computation of the $N$-cycle brownian paths contribution $F_N(alpha)$ to the $N$-anyon partition function is adressed. A detailed numerical analysis based on random walk on a lattice indicates that $F_N^{(0)}(alpha)= prod_{k=1}^{N-1}(1-{Nover k}a lpha)$. In the paramount $3$-anyon case, one can show that $F_3(alpha)$ is built by linear states belonging to the bosonic, fermionic, and mixed representations of $S_3$.
We exhibit an exact simulation algorithm for the supremum of a stable process over a finite time interval using dominated coupling from the past (DCFTP). We establish a novel perpetuity equation for the supremum (via the representation of the concave majorants of Levy processes) and apply it to construct a Markov chain in the DCFTP algorithm. We prove that the number of steps taken backwards in time before the coalescence is detected is finite. We analyse numerically the performance of the algorithm (the code, written in Julia 1.0, is available on GitHub).
59 - Yi Shen , Yizao Wang , Na Zhang 2021
An aggregated model is proposed, of which the partial-sum process scales to the Karlin stable processes recently investigated in the literature. The limit extremes of the proposed model, when having regularly-varying tails, are characterized by the c onvergence of the corresponding point processes. The proposed model is an extension of an aggregated model proposed by Enriquez (2004) in order to approximate fractional Brownian motions with Hurst index $Hin(0,1/2)$, and is of a different nature of the other recently investigated Karlin models which are essentially based on infinite urn schemes.
This paper explicitly computes the transition densities of a spectrally negative stable process with index greater than one, reflected at its infimum. First we derive the forward equation using the theory of sun-dual semigroups. The resulting forward equation is a boundary value problem on the positive half-line that involves a negative Riemann-Liouville fractional derivative in space, and a fractional reflecting boundary condition at the origin. Then we apply numerical methods to explicitly compute the transition density of this space-inhomogeneous Markov process, for any starting point, to any desired degree of accuracy. Finally, we discuss an application to fractional Cauchy problems, which involve a positive Caputo fractional derivative in time.
التعليقات
جاري جلب التعليقات جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
mircosoft-partner

هل ترغب بارسال اشعارات عن اخر التحديثات في شمرا-اكاديميا