Stochastic Process Background

2011 ◽  
pp. 17-40
Author(s):  
Ingemar Nåsell
Keyword(s):  
Stochastic Process

Integrated Fractional white Noise as an Alternative to Multifractional Brownian Motion

2007 ◽  
Vol 44 (02) ◽  
pp. 393-408 ◽  
Author(s):  
Allan Sly
Keyword(s):  
Stochastic Process ◽  
Brownian Motion ◽  
White Noise ◽  
Gaussian Process ◽  
Discrete Data ◽  
Hölder Exponent ◽  
Scaling Properties ◽  
Multifractional Brownian Motion ◽  
Local Properties

Multifractional Brownian motion is a Gaussian process which has changing scaling properties generated by varying the local Hölder exponent. We show that multifractional Brownian motion is very sensitive to changes in the selected Hölder exponent and has extreme changes in magnitude. We suggest an alternative stochastic process, called integrated fractional white noise, which retains the important local properties but avoids the undesirable oscillations in magnitude. We also show how the Hölder exponent can be estimated locally from discrete data in this model.

Control of a discrete stochastic process as a function of the costs for making corrective actions.

1964 ◽  
Author(s):  
John P. Hornseth ◽  
Walter J. Huebner ◽  
William H. Pearson
Keyword(s):  
Stochastic Process ◽  
Corrective Actions

A descriptive definition of the Itô-Henstock integral for the operator-valued stochastic process

2019 ◽  
Vol 4 (2) ◽  
pp. 406-418
Author(s):  
Mhelmar A‎. ‎Labendia ◽  
Jayrold P‎. ‎Arcede
Keyword(s):  
Stochastic Process ◽  
Henstock Integral ◽  
Definition Of ◽  
Descriptive Definition

Matching as a Stochastic Process

2013 ◽  
Author(s):  
Friedel Bolle ◽  
Philipp E. Otto
Keyword(s):  
Stochastic Process

Rainfall Events as Paths of a Stochastic Process: Problems of Design Storm Analysis

1984 ◽  
Vol 16 (8-9) ◽  
pp. 131-138 ◽  
Author(s):  
Johannes Brummer
Keyword(s):  
Stochastic Process ◽  
Peak Flow ◽  
Rainfall Events ◽  
Peak Flows ◽  
Design Storm ◽  
Adequate Evaluation ◽  
Rainfall Patterns

Problems in the construction of design storms are expressed in mathematical terms. Introduced here is a concept for approximating natural peak flow values by means of the distribution of typical rainfall patterns. A comparison demonstrates the quality of this concept and the competency of some well-known design storms for the adequate evaluation of peak flows.

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