5 search results - page 1 / 1 » Simulation of Brownian motion at first-passage times |
MCS
2008
Springer
13 years 4 months ago
2008
Springer
We show how to simulate Brownian motion not on a regular time grid, but on a regular spatial grid. That is, when it first hits points in Z for some > 0. Central to our method ...
ICCS
2001
Springer
13 years 9 months ago
2001
Springer
This study presents a Feynman–Kac path-integral implementation for solving the Dirichlet problem for Poisson’s equation. The algorithm is a modified “walk on spheres” (WO...
FS
2010
13 years 3 months ago
2010
Abstract Consider discrete time observations (X δ)1≤ ≤n+1 of the process X satisfying dXt = √ VtdBt, with Vt a one-dimensional positive diffusion process independent of the...
TSMC
2010
12 years 11 months ago
2010
Robust stability serves as an important regulation mechanism in system biology and synthetic biology. In this paper, the robust stability analysis problem is investigated for a cla...
TIT
2010
12 years 11 months ago
2010
Abstract--The goal of this paper is to increase our understanding of the fundamental performance limits of mobile and Delay Tolerant Networks (DTNs), where end-to-end multi-hop pat...