The author establishes a large deviation for k-dimensional Brownian motion B in stronger topology, by which the functional modulus of continuity for B in Holder norm can be obtained.
Let { W(t);t≥0 } be a standard Brownian motion.For a positive integer m ,define a Gaussian processX m(t)=1m!∫ t 0(t-s) m d W(s).In this paper the liminf behavior of the increments of this process is discu...Let { W(t);t≥0 } be a standard Brownian motion.For a positive integer m ,define a Gaussian processX m(t)=1m!∫ t 0(t-s) m d W(s).In this paper the liminf behavior of the increments of this process is discussed by establishing some probability inequalities.Some previous results are extended and improved.展开更多
The first passage time has many applications in fields like finance,econometrics,statistics,and biology.However,explicit formulas for the first passage density have only been obtained for a few cases.This paper derive...The first passage time has many applications in fields like finance,econometrics,statistics,and biology.However,explicit formulas for the first passage density have only been obtained for a few cases.This paper derives an explicit formula for the first passage density of Brownian motion with twosided piecewise continuous boundaries which may have some points of discontinuity.Approximations are used to obtain a simplified formula for estimating the first passage density.Moreover,the results are also generalized to the case of two-sided general nonlinear boundaries.Simulations can be easily carried out with Monte Carlo method and it is demonstrated for several typical two-sided boundaries that the proposed approximation method offers a highly accurate approximation of first passage density.展开更多
The exit measures of super-Brownian motions with branching mechanism $\psi (z) = z^\alpha ,1< \alpha \leqslant 2$ from a bounded smooth domain D in ?d+1 are known to be absolutely continuous with respect to the sur...The exit measures of super-Brownian motions with branching mechanism $\psi (z) = z^\alpha ,1< \alpha \leqslant 2$ from a bounded smooth domain D in ?d+1 are known to be absolutely continuous with respect to the surface area on ?D if $d< \frac{2}{{a - 1}}$ whereas in the case $d > 1 + \frac{2}{{a - 1}}$ they are singular. However, if the branching is restricted to a singular hyperplane, it is proved that they have absolutely continuous states for alld≥1.展开更多
We introduce a super-Lévy process and study maximal speed of all particles in the range and the support of the super-Lévy process. The state of historical super-Lévy process is a measure on the set of p...We introduce a super-Lévy process and study maximal speed of all particles in the range and the support of the super-Lévy process. The state of historical super-Lévy process is a measure on the set of paths. We study the maximal speed of all particles during a given time period, which turns out to be a function of the packing dimension of the time period. We calculate the Hausdorff dimension of the set of a-fast paths in the support and the range of the historical super-Lévy process.展开更多
Exponential trichotomy theory is developed and the Fredholm Alternative Lemma is proved for the system with exponential trichotomies. An application of thesetheories is also given to obtain the persistence condition f...Exponential trichotomy theory is developed and the Fredholm Alternative Lemma is proved for the system with exponential trichotomies. An application of thesetheories is also given to obtain the persistence condition for heteroclinic orbits connecting nonhyperbolic equilibria, which extends the corresponding result of .展开更多
Telegraph equations describing the particle densities in Brownian movement on a lattice site have been derived and it has been shown that the complementary classical Dirac equation appears naturally as the consequence...Telegraph equations describing the particle densities in Brownian movement on a lattice site have been derived and it has been shown that the complementary classical Dirac equation appears naturally as the consequence of correlations in particle trajectories in Brownian movement. It has also been demonstrated that Heisenberg uncertainty relation between energy and time is the necessary and sufficient condition to transform this classical equation into usual Dirac’s relativistic quantum equation.展开更多
In this paper, the existence and smoothness of the collision local time are proved for two independent fractional Brownian motions, through L^2 convergence and Chaos expansion. Furthermore, the regularity of the colli...In this paper, the existence and smoothness of the collision local time are proved for two independent fractional Brownian motions, through L^2 convergence and Chaos expansion. Furthermore, the regularity of the collision local time process is studied.展开更多
We give a very simple and elementary proof of the existence of a weakly compact family of probability measures {Pθ ： θ∈θ} representing an important sublinear expectation- G-expectation E[·]. We also give a c...We give a very simple and elementary proof of the existence of a weakly compact family of probability measures {Pθ ： θ∈θ} representing an important sublinear expectation- G-expectation E[·]. We also give a concrete approximation of a bounded continuous function X（ω） by an increasing sequence of cylinder functions Lip（Ω） in order to prove that Cb（Ω） belongs to the completion of Lip（Ω） under the natural norm E[｜·｜].展开更多
In this paper, we study the property of continuous dependence on the parameters of stochastic integrals and solutions of stochastic differential equations driven by the G-Brownian motion. In addition, the uniqueness a...In this paper, we study the property of continuous dependence on the parameters of stochastic integrals and solutions of stochastic differential equations driven by the G-Brownian motion. In addition, the uniqueness and comparison theorems for those stochastic differential equations with non-Lipschitz coefficients are obtained.展开更多
文摘The author establishes a large deviation for k-dimensional Brownian motion B in stronger topology, by which the functional modulus of continuity for B in Holder norm can be obtained.
基金Project Supported by National Science Fundation of China(1 9571 0 2 1 ) and Zhejiang Province
文摘Let { W(t);t≥0 } be a standard Brownian motion.For a positive integer m ,define a Gaussian processX m(t)=1m!∫ t 0(t-s) m d W(s).In this paper the liminf behavior of the increments of this process is discussed by establishing some probability inequalities.Some previous results are extended and improved.
基金Supported by the Fundamental Research Funds for the Central Universities,the Research Funds of Renmin University of China(Grant No.22XNL016)。
文摘The first passage time has many applications in fields like finance,econometrics,statistics,and biology.However,explicit formulas for the first passage density have only been obtained for a few cases.This paper derives an explicit formula for the first passage density of Brownian motion with twosided piecewise continuous boundaries which may have some points of discontinuity.Approximations are used to obtain a simplified formula for estimating the first passage density.Moreover,the results are also generalized to the case of two-sided general nonlinear boundaries.Simulations can be easily carried out with Monte Carlo method and it is demonstrated for several typical two-sided boundaries that the proposed approximation method offers a highly accurate approximation of first passage density.
文摘The exit measures of super-Brownian motions with branching mechanism $\psi (z) = z^\alpha ,1< \alpha \leqslant 2$ from a bounded smooth domain D in ?d+1 are known to be absolutely continuous with respect to the surface area on ?D if $d< \frac{2}{{a - 1}}$ whereas in the case $d > 1 + \frac{2}{{a - 1}}$ they are singular. However, if the branching is restricted to a singular hyperplane, it is proved that they have absolutely continuous states for alld≥1.
基金Project supported by the National Natural Science Foundation of China(No.10571159)the Ph.D.Programs Foundation of Ministry of Education of China(No.20060335032)and the Foundation of Hangzhou Dianzi University(No.KYS091506042)
文摘We introduce a super-Lévy process and study maximal speed of all particles in the range and the support of the super-Lévy process. The state of historical super-Lévy process is a measure on the set of paths. We study the maximal speed of all particles during a given time period, which turns out to be a function of the packing dimension of the time period. We calculate the Hausdorff dimension of the set of a-fast paths in the support and the range of the historical super-Lévy process.
文摘Exponential trichotomy theory is developed and the Fredholm Alternative Lemma is proved for the system with exponential trichotomies. An application of thesetheories is also given to obtain the persistence condition for heteroclinic orbits connecting nonhyperbolic equilibria, which extends the corresponding result of .
文摘Telegraph equations describing the particle densities in Brownian movement on a lattice site have been derived and it has been shown that the complementary classical Dirac equation appears naturally as the consequence of correlations in particle trajectories in Brownian movement. It has also been demonstrated that Heisenberg uncertainty relation between energy and time is the necessary and sufficient condition to transform this classical equation into usual Dirac’s relativistic quantum equation.
基金the National Natural Science Foundation of China(No. 10471003).
文摘In this paper, the existence and smoothness of the collision local time are proved for two independent fractional Brownian motions, through L^2 convergence and Chaos expansion. Furthermore, the regularity of the collision local time process is studied.
基金support from The National Basic Research Program of China(973 Program)grant No.2007CB814900(Financial Risk)
文摘We give a very simple and elementary proof of the existence of a weakly compact family of probability measures {Pθ ： θ∈θ} representing an important sublinear expectation- G-expectation E[·]. We also give a concrete approximation of a bounded continuous function X（ω） by an increasing sequence of cylinder functions Lip（Ω） in order to prove that Cb（Ω） belongs to the completion of Lip（Ω） under the natural norm E[｜·｜].
文摘In this paper, we study the property of continuous dependence on the parameters of stochastic integrals and solutions of stochastic differential equations driven by the G-Brownian motion. In addition, the uniqueness and comparison theorems for those stochastic differential equations with non-Lipschitz coefficients are obtained.
基金Supported by the Science Research Foundations for the Doctoral Program of Guilin University of Electronic Technology under Grant(UF09007Y)the Guangxi Natural Science Foundations under Grant(2010GXNSB013049)the National Natural Science Foundations under Grant(11101100,71001015)
