scholarly journals On the Asymptotic Behaviour of a Diffusion Process with Singular Drift

1975 ◽  
Vol 57 ◽  
pp. 87-106
Author(s):  
Hitoshi Kaneta
Keyword(s):  
Brownian Motion ◽  
Markov Process ◽  
Euclidean Space ◽  
Diffusion Process ◽  
Asymptotic Behaviour ◽  
Markov Processes ◽  
Smooth Boundary ◽  
Dimensional Euclidean Space ◽  
Singular Drift ◽  
Strong Markov

We discuss some peculiar features of the diffusion process whose characterization is given below. Let D be a bounded domain in the d-dimensional Euclidean space Ed with a smooth boundary ∂D. The domain D contains open balls (i = 1, · · ·, n) which are mutually disjoint. Our process is a diffusion process on the state space D ∪ ∂D which is locally equivalent to the Brownian motion except on the spheres ∂ and the boundary ∂D. By a diffusion process we mean a continuous strong Markov process. As to the terminology about Markov processes we refer to [2].

On the optimal search for a target whose motion is a Markov process

1973 ◽  
Vol 10 (4) ◽  
pp. 847-856 ◽  
Author(s):  
Lauri Saretsalo
Keyword(s):  
Markov Process ◽  
Euclidean Space ◽  
Markov Processes ◽  
General Condition ◽  
Necessary Condition ◽  
Dimensional Euclidean Space ◽  
Optimal Search ◽  
Continuous Transition ◽  
Transition Functions ◽  
Multiplicative Functionals

We will consider the optimal search for a target whose motion is a Markov process. The classical detection law leads to the use of multiplicative functionals and the search is equivalent to the termination of the Markov process with a termination density. A general condition for the optimality is derived and for Markov processes in n-dimensional Euclidean space with continuous transition functions we derive a simple necessary condition which generalizes the result of Hellman (1972).

On the optimal search for a target whose motion is a Markov process

1973 ◽  
Vol 10 (04) ◽  
pp. 847-856 ◽  
Author(s):  
Lauri Saretsalo
Keyword(s):  
Markov Process ◽  
Euclidean Space ◽  
Markov Processes ◽  
General Condition ◽  
Necessary Condition ◽  
Dimensional Euclidean Space ◽  
Optimal Search ◽  
Continuous Transition ◽  
Transition Functions ◽  
Multiplicative Functionals

We will consider the optimal search for a target whose motion is a Markov process. The classical detection law leads to the use of multiplicative functionals and the search is equivalent to the termination of the Markov process with a termination density. A general condition for the optimality is derived and for Markov processes in n-dimensional Euclidean space with continuous transition functions we derive a simple necessary condition which generalizes the result of Hellman (1972).

SMOLYANOV–WEIZSÄCKER SURFACE MEASURES GENERATED BY DIFFUSIONS ON THE SET OF TRAJECTORIES IN RIEMANNIAN MANIFOLDS

2008 ◽  
Vol 11 (01) ◽  
pp. 21-31 ◽  
Author(s):  
ILYA V. TELYATNIKOV
Keyword(s):  
Brownian Motion ◽  
Euclidean Space ◽  
Diffusion Process ◽  
Riemannian Manifolds ◽  
Marginal Distribution ◽  
Diffusion Processes ◽  
Ambient Space ◽  
Time Interval ◽  
Standard Brownian Motion ◽  
Limit Surface

We consider surface measures on the set of trajectories in a smooth compact Riemannian submanifold of Euclidean space generated by diffusion processes in the ambient space. A construction of surface measures on the path space of a smooth compact Riemannian submanifold of Euclidean space was introduced by Smolyanov and Weizsäcker for the case of the standard Brownian motion. The result presented in this paper extends the result of Smolyanov and Weizsäcker to the case when we consider measures generated by diffusion processes in the ambient space with nonidentical correlation operators. For every partition of the time interval, we consider the marginal distribution of the diffusion process in the ambient space under the condition that it visits the manifold at all times of the partition, when the mesh of the partition tends to zero. We prove the existence of some limit surface measures and the equivalence of the above measures to the distribution of some diffusion process on the manifold.

scholarly journals On the Volume of the Zero Cell of a Class of Isotropic Poisson Hyperplane Tessellations

2014 ◽  
Vol 46 (3) ◽  
pp. 622-642 ◽  
Author(s):  
Julia Hörrmann ◽  
Daniel Hug
Keyword(s):  
Euclidean Space ◽  
Asymptotic Behaviour ◽  
Explicit Formula ◽  
Dimensional Euclidean Space ◽  
Arbitrary Dimensions ◽  
Zero Cell ◽  
Parametric Class

We study a parametric class of isotropic but not necessarily stationary Poisson hyperplane tessellations in n-dimensional Euclidean space. Our focus is on the volume of the zero cell, i.e. the cell containing the origin. As a main result, we obtain an explicit formula for the variance of the volume of the zero cell in arbitrary dimensions. From this formula we deduce the asymptotic behaviour of the volume of the zero cell as the dimension goes to ∞.

scholarly journals On the Entropy of Fractionally Integrated Gauss–Markov Processes

Mathematics ◽  
2020 ◽  
Vol 8 (11) ◽  
pp. 2031
Author(s):  
Mario Abundo ◽  
Enrica Pirozzi
Keyword(s):  
Dynamical System ◽  
Stochastic Process ◽  
Brownian Motion ◽  
Markov Process ◽  
Markov Processes ◽  
Numerical Approximation ◽  
Uhlenbeck Process ◽  
Sample Paths ◽  
Ornstein Uhlenbeck Process ◽  
Application Fields

This paper is devoted to the estimation of the entropy of the dynamical system {Xα(t),t≥0}, where the stochastic process Xα(t) consists of the fractional Riemann–Liouville integral of order α∈(0,1) of a Gauss–Markov process. The study is based on a specific algorithm suitably devised in order to perform the simulation of sample paths of such processes and to evaluate the numerical approximation of the entropy. We focus on fractionally integrated Brownian motion and Ornstein–Uhlenbeck process due their main rule in the theory and application fields. Their entropy is specifically estimated by computing its approximation (ApEn). We investigate the relation between the value of α and the complexity degree; we show that the entropy of Xα(t) is a decreasing function of α∈(0,1).

Multiple points for symmetric Lévy processes

1978 ◽  
Vol 83 (1) ◽  
pp. 83-90 ◽  
Author(s):  
John Hawkes
Keyword(s):  
Markov Process ◽  
Euclidean Space ◽  
Lévy Process ◽  
Lévy Processes ◽  
Transition Function ◽  
Levy Processes ◽  
Levy Process ◽  
Dimensional Euclidean Space ◽  
Multiple Points ◽  
Image Position

Let Xt be a Lévy process in Rd, d-dimensional euclidean space. That is X is a Markov process whose transition function satisfies

scholarly journals Central Limit Theorems for Volume and Surface Content of Stationary Poisson Cylinder Processes in Expanding Domains

2013 ◽  
Vol 45 (02) ◽  
pp. 312-331
Author(s):  
Lothar Heinrich ◽  
Malte Spiess
Keyword(s):  
Central Limit Theorem ◽  
Limit Theorem ◽  
Euclidean Space ◽  
Asymptotic Behaviour ◽  
Central Limit ◽  
Limit Theorems ◽  
Dimensional Euclidean Space ◽  
Surface Content ◽  
Directional Distributions ◽  
Shaped Domain

A stationary Poisson cylinder process in the d-dimensional Euclidean space is composed of a stationary Poisson process of k-flats (0 ≤ k ≤ d−1) which are dilated by independent and identically distributed random compact cylinder bases taken from the corresponding (d−k)-dimensional orthogonal complement. If the second moment of the (d−k)-volume of the typical cylinder base exists, we prove asymptotic normality of the d-volume of the union set of Poisson cylinders that covers an expanding star-shaped domain ϱ W as ϱ grows unboundedly. Due to the long-range dependencies within the union set of cylinders, the variance of its d-volume in ϱ W increases asymptotically proportional to the (d+k) th power of ϱ. To obtain the exact asymptotic behaviour of this variance, we need a distinction between discrete and continuous directional distributions of the typical k-flat. A corresponding central limit theorem for the surface content is stated at the end.

scholarly journals On the Volume of the Zero Cell of a Class of Isotropic Poisson Hyperplane Tessellations

2014 ◽  
Vol 46 (03) ◽  
pp. 622-642 ◽  
Author(s):  
Julia Hörrmann ◽  
Daniel Hug
Keyword(s):  
Euclidean Space ◽  
Asymptotic Behaviour ◽  
Explicit Formula ◽  
Dimensional Euclidean Space ◽  
Arbitrary Dimensions ◽  
Zero Cell ◽  
Parametric Class

We study a parametric class of isotropic but not necessarily stationary Poisson hyperplane tessellations in n-dimensional Euclidean space. Our focus is on the volume of the zero cell, i.e. the cell containing the origin. As a main result, we obtain an explicit formula for the variance of the volume of the zero cell in arbitrary dimensions. From this formula we deduce the asymptotic behaviour of the volume of the zero cell as the dimension goes to ∞.

scholarly journals Sojourn times in finite Markov processes

1989 ◽  
Vol 26 (4) ◽  
pp. 744-756 ◽  
Author(s):  
Gerardo Rubino ◽  
Bruno Sericola
Keyword(s):  
Markov Process ◽  
Asymptotic Behaviour ◽  
Markov Processes ◽  
Discrete Time ◽  
Continuous Time ◽  
Sojourn Time ◽  
Sojourn Times ◽  
Finite State ◽  
Sojourn Time Distributions ◽  
Finite State Space

Sojourn times of Markov processes in subsets of the finite state space are considered. We give a closed form of the distribution of the nth sojourn time in a given subset of states. The asymptotic behaviour of this distribution when time goes to infinity is analyzed, in the discrete time and the continuous-time cases. We consider the usually pseudo-aggregated Markov process canonically constructed from the previous one by collapsing the states of each subset of a given partition. The relation between limits of moments of the sojourn time distributions in the original Markov process and the moments of the corresponding holding times of the pseudo-aggregated one is also studied.

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