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Equidistant sampling for the maximum of a Brownian motion with drift on a finite horizon
Gaussian random walk maximum Riemann zeta function Euler-Maclaurin summation equidistant sampling of Brownian motion finite horizon
2009/4/29
A Brownian motion observed at equidistant sampling points renders a random walk with normally distributed increments. For the difference between the expected maximum of the Brownian mo- tion and its s...
Invariant measures for stochastic Cauchy problems with asymptotically unstable drift semigroup
Invariantmeasures stochastic evolution equationsin Hilbert spaces
2009/4/22
We investigate existence and permanence properties of invariant measures for abstract stochastic Cauchy problems of the form
dU(t) = (AU(t) + f) dt + B dWH(t),
governed by the generator A of...
Invariant measures for stochastic Cauchy problems with asymptotically unstable drift semigroup
Invariant measures stochastic problems existence
2009/4/1
We investigate existence and permanence properties of invariant measures for abstract stochastic Cauchy problems of the form dU(t) = (AU(t) + f) dt + B dWH(t),governed by the generator A of an asympto...