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Results tagged with pr.probability
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user 24403
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
6
votes
Are Gaussian Processes more important than other stochastic processes?
A well-known probabilist once told me that the 3 main classes of stochastic processes are Gaussian, Markov, and martingales.
Martingales are definitely useful in finance and also with respect to ot …
- 101
2
votes
Path properties of Levy Processes
Phil Protter also has a book (I don't recall if it discusses path properties). If you just want more information on the Skorokhod space (cadlag functions), P. Billingsley's convergence of probability …
- 101
1
vote
White Noise Space and Local Time
I'm not sure what a pre-Brownian motion is-- my guess is that it is another name for white noise. If you want a notion of local time of white noise, my guess is that you would take some sort of forma …
- 101
1
vote
A simple decomposition for fractional Brownian motion with parameter $H<1/2$
Interesting, I don't think I've seen that before.
But there is a similar sort of decomposition in W. Li and W. Linde 1998, however I don't think it's quite the same. Cheridito 2003 (Mixed-FBM) tackles …
- 101
0
votes
A simple decomposition for fractional Brownian motion with parameter $H<1/2$
It looks like this idea isn't new. There is something very similar in an article by Alos, Mazet, and Nualart (SPA 2000).
- 101