41 search results - page 2 / 9 » Random Walks and Brownian Motion |
SIAMCO
2008
13 years 5 months ago
2008
We study a stochastic control problem where the state process is described by a stochastic differential equation driven by a Brownian motion and a Poisson random measure, being af...
CIIT
2007
13 years 7 months ago
2007
To characterize the behavior of a mobile ad-hoc network (MANET), the Brownian mobility model is studied, where the random coordinators of mobile nodes are modeled by the Brownian ...
TIT
2010
13 years 20 days ago
2010
This work provides asymptotic properties of the autocorrelation functions of the wavelet packet coefficients of a fractional Brownian motion. It also discusses the convergence spe...
Book
This is a great draft book about stochastic calculus and finance. It covers large number of topics such as Introduction to Probability Theory, Conditional Expectation, Arbitrage Pr...
MOR
2008
13 years 6 months ago
2008
Abstract. We propose a new solution method for optimal stopping problems with random discounting for linear diffusions whose state space has a combination of natural, absorbing, or...