关于广义布朗桥的一些结果

IF 0.3 Q4 STATISTICS & PROBABILITY

Random Operators and Stochastic Equations Pub Date : 2022-08-30 DOI:10.1515/rose-2022-2082

S. Hadiri, A. Sghir

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引用次数: 0

摘要

摘要长度为T的广义布朗桥Xa，b，T{X^{a，b、T}}用于数学金融、生物学和统计学等领域。在本文中，我们研究了这个过程的以下随机性质和特征：Hölder连续性、自相似性、二次变分、马尔可夫性质、增量的平稳性和轨迹的α-可微性。

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Some results on the generalized Brownian bridge

Abstract The generalized Brownian bridge X a , b , T {X^{a,b,T}} from a to b of length T was used in several fields such as in mathematical finance, biology and statistics. In this paper, we study the following stochastic properties and characteristics of this process: The Hölder continuity, the self-similarity, the quadratic variation, the Markov property, the stationarity of the increments, and the α-differentiability of the trajectories.

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来源期刊

Random Operators and Stochastic Equations STATISTICS & PROBABILITY-

CiteScore

0.60

自引率

25.00%

发文量