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An elementary approach to Brownian local time based on simple, symmetric random walks  [PDF]
Tamas Szabados,Balazs Szekely
Mathematics , 2010, DOI: 10.1007/s10998-005-0022-8
Abstract: In this paper we define Brownian local time as the almost sure limit of the local times of a nested sequence of simple, symmetric random walks. The limit is jointly continuous in $(t,x)$. The rate of convergence is $n^{\frac14} (\log n)^{\frac34}$ that is close to the best possible. The tools we apply are almost exclusively from elementary probability theory.
Non-intersecting, simple, symmetric random walks and the extended Hahn kernel  [PDF]
Kurt Johansson
Mathematics , 2004,
Abstract: Consider $a$ particles performing simple, symmetric, non-intersecting random walks, starting at points $2(j-1)$, $1\le j\le a$ at time 0 and ending at $2(j-1)+c-b$ at time $b+c$. This can also be interpreted as a random rhombus tiling of an $abc$-hexagon, or as a random boxed planar partition confined to a rectangular box with side lengths $a$, $b$ and $c$. The positions of the particles at all times gives a determinantal point process with a correlation kernel given in terms of the associated Hahn polynomials. In a suitable scaling limit we obtain non-intersecting Brownian motions which can be related to Dysons's Hermitian Brownian motion via a suitable transformation.
An approximation of It? diffusions based on simple random walks  [PDF]
John van der Hoek,Tamas Szabados
Mathematics , 2014,
Abstract: The aim of this paper is to develop a sequence of discrete approximations to a one-dimensional It\^o diffusion that almost surely converges to a weak solution of the given stochastic differential equation. Under suitable conditions, the solution of the stochastic differential equation can be reduced to the solution of an ordinary differential equation plus an application of Girsanov's theorem to adjust the drift. The discrete approximation is based on a specific strong approximation of Brownian motion by simple, symmetric random walks (the so-called "twist and shrink" method). A discrete It\^o's formula is also used during the discrete approximation.
A stochastic approach for quantifying immigrant integration: the Spanish test case  [PDF]
Elena Agliari,Adriano Barra,Pierluigi Contucci,Rickard Sandell,Cecilia Vernia
Physics , 2014, DOI: 10.1088/1367-2630/16/10/103034
Abstract: We apply stochastic process theory to the analysis of immigrant integration. Using a unique and detailed data set from Spain, we study the relationship between local immigrant density and two social and two economic immigration quantifiers for the period 1999-2010. As opposed to the classic time-series approach, by letting immigrant density play the role of "time", and the quantifier the role of "space" it become possible to analyze the behavior of the quantifiers by means of continuous time random walks. Two classes of results are obtained. First we show that social integration quantifiers evolve following pure diffusion law, while the evolution of economic quantifiers exhibit ballistic dynamics. Second we make predictions of best and worst case scenarios taking into account large local fluctuations. Our stochastic process approach to integration lends itself to interesting forecasting scenarios which, in the hands of policy makers, have the potential to improve political responses to integration problems. For instance, estimating the standard first-passage time and maximum-span walk reveals local differences in integration performance for different immigration scenarios. Thus, by recognizing the importance of local fluctuations around national means, this research constitutes an important tool to assess the impact of immigration phenomena on municipal budgets and to set up solid multi-ethnic plans at the municipal level as immigration pressure build.
A simple proof of a recurrence theorem for random walks in $\Z^{2}$  [PDF]
Jean-Marc Derrien
Mathematics , 2006,
Abstract: In this note, we prove without using Fourier analysis that the symmetric square integrable random walks in $\Z^{2}$ are recurrent.
Strong approximation of Black--Scholes theory based on simple random walks  [PDF]
Zsolt Nika,Tamás Szabados
Mathematics , 2014,
Abstract: A basic model in financial mathematics was introduced by Black, Scholes and Merton in 1973 (BSM model). A classical discrete approximation in distribution is the binomial model given by Cox, Ross and Rubinstein in 1979 (CRR model). The BSM and the CRR models have been used for example to price European call and put options. Our aim in this work is to give a strong (almost sure, pathwise) discrete approximation of the BSM model using a suitable nested sequence of simple, symmetric random walks. The approximation extends to the stock price process, the value process, the replicating portfolio, and the greeks. An important tool in the approximation is a discrete version of the Feynman--Kac formula as well. It is hoped that such a discrete pathwise approximation can be useful for example when teaching students whose mathematical background is limited, e.g. does not contain measure theory or stochastic analysis.
Average trajectory of returning walks  [PDF]
Francesca Colaiori,Andrea Baldassarri,Claudio Castellano
Physics , 2004, DOI: 10.1103/PhysRevE.69.041105
Abstract: We compute the average shape of trajectories of some one--dimensional stochastic processes x(t) in the (t,x) plane during an excursion, i.e. between two successive returns to a reference value, finding that it obeys a scaling form. For uncorrelated random walks the average shape is semicircular, independently from the single increments distribution, as long as it is symmetric. Such universality extends to biased random walks and Levy flights, with the exception of a particular class of biased Levy flights. Adding a linear damping term destroys scaling and leads asymptotically to flat excursions. The introduction of short and long ranged noise correlations induces non trivial asymmetric shapes, which are studied numerically.
Stochastic analysis for obtuse random walks  [PDF]
Uwe Franz,Tarek Hamdi
Mathematics , 2012, DOI: 10.1007/s10959-013-0522-z
Abstract: We present a construction of the basic operators of stochastic analysis (gradient and divergence) for a class of discrete-time normal martingales called obtuse random walks. The approach is based on the chaos representation property and discrete multiple stochastic integrals. We show that these operators satisfy similar identities as in the case of the Bernoulli randoms walks. We prove a Clark-Ocone-type predictable representation formula, obtain two covariance identities and derive a deviation inequality. We close the exposition by an application to option hedging in discrete time.
SPHERICALLY SYMMETRIC RANDOM WALKS I. REPRESENTATION IN TERMS OF ORTHOGONAL POLYNOMIALS  [PDF]
Carl M. Bender,Peter N. Meisinger,Fred Cooper
Physics , 1995, DOI: 10.1103/PhysRevE.54.100
Abstract: Spherically symmetric random walks in arbitrary dimension $D$ can be described in terms of Gegenbauer (ultraspherical) polynomials. For example, Legendre polynomials can be used to represent the special case of two-dimensional spherically symmetric random walks. In general, there is a connection between orthogonal polynomials and semibounded one-dimensional random walks; such a random walk can be viewed as taking place on the set of integers $n$, $n=0,~1,~2,~\ldots$, that index the polynomials. This connection allows one to express random-walk probabilities as weighted inner products of the polynomials. The correspondence between polynomials and random walks is exploited here to construct and analyze spherically symmetric random walks in $D$-dimensional space, where $D$ is {\sl not} restricted to be an integer. The weighted inner-product representation is used to calculate exact closed-form spatial and temporal moments of the probability distribution associated with the random walk. The polynomial representation of spherically symmetric random walks is also used to calculate the two-point Green's function for a rotationally symmetric free scalar quantum field theory.
Conjugate operators to operators of stochastic integration  [PDF]
I. P. Smirnov
Mathematics , 2014,
Abstract: The conjugate problem in stochastic optimal control can be formulated in terms of operators conjugated to the operators of stochastic integration [1, 2, 3]. In this paper we study some of such operators acting on the spaces of progressively measurable random functions.
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