Related research

Janosch Ortmann in arXiv:1107.0218 (2011)We discuss the distributions of three functionals of the free Brownian\nbridge: its {\L^2norm}, the second component of its signature\nand its Lévy area. All of these are freely infinitely divisible.\nWe introduce two representations of the free…Save reference · Related research 2 readers

Erik Ekström, Henrik Wanntorp in Journal of Applied Probability (2009)We study several optimal stopping problems in which the gains process is a Brownian bridge or a functional of a Brownian bridge. Our examples constitute natural finitehorizon optimal stopping problems with explicit solutions.Save reference · Get full text at journal · Related research 2 readers

Zhiyi Chi, Vladimir Pozdnyakov, Jun Yan in Statistics and Probability Letters (2015)Consider a Brownian bridge from 0 to c>. 0. It is known that the density of the expected occupation time by the Brownian bridge is constant in [0, c]. We give a simple elementary proof for this result based on a direct examination of the…Save reference · Get full text at journal · Related research 4 readers

Gerhard Larcher, Gunther Leobacher, Klaus Scheicher in Journal of Complexity (2003)Recent results in the theory of quasiMonte Carlo methods have shown that the weighted KoksmaHlawka inequality gives better estimates for the error of quasiMonte Carlo algorithms. We present a method for finding good weights for several classes of…Save reference · Get full text at journal · Related research 4 readers

Thomas Simon in Annals of Probability (2002)We consider a Brownian bridge on the hyperbolic plane with one extremity tending to infinity, in finite time. We show that the exact exponential rate according to which this process concentrates around the geodesical segment joining the origin o to…Save reference · Get full text at journal · Related research 3 readers

Frederic Paik Schoenberg in Annals of the Institute of Statistical Mathematics (2002)The process obtained by rescaling a homogeneous Poisson process by the maximum likelihood estimate of its intensity is shown to have surprisingly strong selfcorrecting behavior. Formulas for the conditional intensity and moments of the rescaled…Save reference · Get full text at journal · Related research 4 readers

Bernhard Gittenberger, Guy Louchard in MR MR1768499 (2001H:60134 (1999)Expressions for the multidimensional densities of Brownian bridge local time are derived by two different methods: A direct method based on Kac's formula for Brownian functionals and an indirect one based on a limit theorem for strata of random…Save reference · Get full text at journal · Related research 3 readers

Paul Deheuvels in Statistics and Probability Letters (2007)The processes of the form YK (t) = B (t)  6 Kt (1  t) ???01 B (u) d u, where K is a constant, and B (??) a Brownian bridge, are investigated. We show that Y0 (??) and Y2 (??) are both Brownian bridges, and establish the independence of Y1 (??) and…Save reference · Get full text at journal · Related research 3 readers

Mihael Perman, Jon A. Wellner in Stochastic Processes and their Applications (2014)Distributions of functionals of Brownian bridge arise as limiting distributions in nonparametric statistics. In this paper we will give a derivation of distributions of extrema of the Brownian bridge based on excursion theory for Brownian motion.…Save reference · Get full text at journal · Related research 2 readers

Corinne BerzinJoseph, José R. León, Joaquín Ortega in Stochastic Processes and their Applications (2001)Let {bF(t),t∈[0,1]} be an FBrownian bridge process. We study the asymptotic behaviour of nonlinear functionals of regularizations by convolution of this process and apply these results to the estimation of the variance of a nonhomogeneous…Save reference · Get full text at journal · Related research 1 reader
Readership Statistics
Readership statistics are being calculated.
Tags
Sign up today  FREE
Mendeley saves you time finding and organizing research. Learn more
 All your research in one place
 Add and import papers easily
 Access it anywhere, anytime