搜索结果: 1-15 共查到“理学 Ornstein Uhlenbeck”相关记录15条 . 查询时间(0.075 秒)
On the eigenfunctions of the complex Ornstein-Uhlenbeck operators
eigenfunctions complex Ornstein-Uhlenbeck operators
2016/1/25
Starting from the 1-dimensional complex-valued Ornstein-Uhlenbeck process, we present two natural ways to imply the associated eigenfunctions of the 2-dimensional normal Ornstein-Uhlenbeck operators i...
Fluctuations of solutions to Wigner equation with an Ornstein-Uhlenbeck potential
Fluctuations of solutions Wigner equation Ornstein-Uhlenbeck potential
2015/7/14
We consider energy fluctuations for solutions of the Schrodinger equation with an OrnsteinUhlenbeck random potential when the initial data is spatially localized. The limit of the fluctuations of the ...
Ornstein-Uhlenbeck模型下DC养老金计划的最优投资策略
DC型养老基金计划 最优投资策略 Ornstein-Uhlenbeck过程 Hamilton-Jacobi-Bellman方程
2013/10/17
本文研究了Ornstein-Uhlenbeck模型下确定缴费型养老金计划(简称DC计划)的最优投资策略,其中以最大化DC计划参与者终端财富(退休时其账户金额)的CRRA效用为目标.假定投资者可投资于无风险资产和一种风险资产,风险资产的瞬时收益率由Ornstein-Uhlenbeck 过程驱动,该过程能反映市场所处的状态.利用随机控制理论,给出了相应的HJB方程与验证定理;并通过求解相应的HJB 方...
Positive recurrence of piecewise Ornstein-Uhlenbeck processes and common quadratic Lyapunov functions
stability common quadratic Lyapunov function Lyapunov function piecewise OU process multi-server queues customer abandonment
2011/9/8
Abstract: We study the positive recurrence of piecewise Ornstein-Uhlenbeck (OU) diffusion processes, which arise from many-server queueing systems with phase-type service requirements. These diffusion...
Optimal Execution Problem for Geometric Ornstein-Uhlenbeck Price Process
Optimal execution Market impact Liquidity problems Ornstein–Uhlenbeck process Gradual liquidation
2011/9/30
Abstract: We study the optimal execution problem in the presence of market impact and give a generalization of the main result of Kato(2009). Then we consider an example where the security price follo...
A class of nonlinear random walks related to the Ornstein-Uhlenbeck process
Mathematical Physics Probability nonlinear random walks the Ornstein-Uhlenbeck process
2011/8/25
Abstract: Contrary to the theory of Markov processes, no general theory exists for the so called nonlinear Markov processes. We study an example of "nonlinear Markov process" related to classical prob...
Well-balanced Levy Driven Ornstein-Uhlenbeck Processes
semimartingale Ornstein-Uhlenbeck process Levy process in nitely divisible distribution
2011/1/18
In this paper we introduce the well-balanced Levy driven Ornstein-Uhlenbeck process as a moving average process of the form Xt = R exp(jtuj)dLu.
Sample path deviations of the Wiener and the Ornstein-Uhlenbeck process from its bridges
Sample path deviations Wiener Ornstein-Uhlenbeck process
2010/11/9
We study sample path deviations of the Wiener process from three different representations of its bridge: anticipative version, integral representation and space-time transform. Although these repres...
Surface measures and convergence of the Ornstein-Uhlenbeck semigroup in Wiener spaces
Surface measures convergence of the Ornstein-Uhlenbeck semigroup Wiener spaces
2010/11/26
We study points of density 1/2 of sets of finite perimeter in infinite-dimensional Gaussian spaces and prove that, as in the finite-dimensional theory, the surface measure is concentrated on this clas...
The local properties of the Markov processes of Ornstein-Uhlenbeck type
local time Markov process of Ornstein-Uhlenbeck type L´ evy process
2010/12/6
We prove the existence of a local time, the continuity of the local time about t, and the regular property for a.e. x ∈ R of a Ornstein-Uhlenbeck type {Xt, t ∈ R+} driven by a general L´evy proc...
Perturbation theory for a stochastic process with Ornstein-Uhlenbeck noise
Noise diffusion annihilation/creationo perators
2010/4/8
The Ornstein-Uhlenbeck process may be used to generate a noise signal with a finite correlation time. If a one-dimensional stochastic process is driven by such a noise source, it may be analysed by so...
本文得到了Ｎ参数Ｏｒｎｓｔｅｉｎ－Ｕｈｌｅｎｂｅｃｋ过程的点常返性准则，我们证明了：若$d<2N$,则d-维$OUP_N$,$X_z$是点常返的；若$d\leq 2N$,则$X_z$以概率１不击中点。
二参数 Ornstein-Uhlenbeck 过程图集及象集的 Hausdorff 维数
2007/12/12
自王梓坤教授在[1]中引进$OUP_2$以来,研究的方向多涉及它的各种马氏性,以及关于一些特殊类型区域的预测问题.本篇我们着手考虑$OUP_2$样本轨道一些较深入的性质.一个适当的途径是分别求出它的图集及象集的 Haus-dorff 维数,进而得到关于轨道拓扑的一些认识.
二参数Ornstein-Uhlenbeck过程最大值分布估计
2007/12/11
本文研究二参数 Ornstein-Uhlenbeck 过程 X(t),t∈$R^2$的极大值问题,得到了 Pr{max(X(t),t∈[0,T])>y}上、下界的一个估计式与 Pr{max(x(t),t∈D)>y}的渐近公式,其中 D 是$R^2$中的有界 Lebesgue 可测集.