Density factorizations for brownian motion, meander and the three-dimensional bessel process, and applications

1984 ◽  
Vol 21 (3) ◽  
pp. 500-510 ◽  
Author(s):  
J.-P. Imhof
Keyword(s):  
Brownian Motion ◽  
Three Dimensional ◽  
Fixed Time ◽  
Bessel Process ◽  
Time Interval ◽  
Change Of Measure ◽  
Fixed Time Interval ◽  
Simple Change ◽  
Brownian Meander ◽  
Passage Times

Joint densities concerning in particular the value and time of the maximum over a fixed time interval, or the behavior over intervals determined by some first- and last-passage times, are determined for Brownian motion, the three-dimensional Bessel process and Brownian meander. Simple change of measure formulas permit easy passage from one process to the other. Examples are given.

Density factorizations for brownian motion, meander and the three-dimensional bessel process, and applications

1984 ◽  
Vol 21 (03) ◽  
pp. 500-510 ◽  
Author(s):  
J.-P. Imhof
Keyword(s):  
Brownian Motion ◽  
Three Dimensional ◽  
Fixed Time ◽  
Bessel Process ◽  
Time Interval ◽  
Change Of Measure ◽  
Fixed Time Interval ◽  
Simple Change ◽  
Brownian Meander ◽  
Passage Times

Joint densities concerning in particular the value and time of the maximum over a fixed time interval, or the behavior over intervals determined by some first- and last-passage times, are determined for Brownian motion, the three-dimensional Bessel process and Brownian meander. Simple change of measure formulas permit easy passage from one process to the other. Examples are given.

scholarly journals On some exponential functionals of Brownian motion

1992 ◽  
Vol 24 (03) ◽  
pp. 509-531 ◽  
Author(s):  
Marc Yor
Keyword(s):  
Brownian Motion ◽  
Bessel Functions ◽  
Exit Time ◽  
Fixed Time ◽  
Mathematical Finance ◽  
Time Interval ◽  
Bessel Processes ◽  
Fixed Time Interval ◽  
Last Exit Time ◽  
Subordination Result

In this paper, distributional questions which arise in certain mathematical finance models are studied: the distribution of the integral over a fixed time interval [0, T] of the exponential of Brownian motion with drift is computed explicitly, with the help of computations previously made by the author for Bessel processes. The moments of this integral are obtained independently and take a particularly simple form. A subordination result involving this integral and previously obtained by Bougerol is recovered and related to an important identity for Bessel functions. When the fixed time T is replaced by an independent exponential time, the distribution of the integral is shown to be related to last-exit-time distributions and the fixed time case is recovered by inverting Laplace transforms.

scholarly journals On some exponential functionals of Brownian motion

1992 ◽  
Vol 24 (3) ◽  
pp. 509-531 ◽  
Author(s):  
Marc Yor
Keyword(s):  
Brownian Motion ◽  
Bessel Functions ◽  
Exit Time ◽  
Fixed Time ◽  
Mathematical Finance ◽  
Time Interval ◽  
Bessel Processes ◽  
Fixed Time Interval ◽  
Last Exit Time ◽  
Subordination Result

In this paper, distributional questions which arise in certain mathematical finance models are studied: the distribution of the integral over a fixed time interval [0, T] of the exponential of Brownian motion with drift is computed explicitly, with the help of computations previously made by the author for Bessel processes. The moments of this integral are obtained independently and take a particularly simple form. A subordination result involving this integral and previously obtained by Bougerol is recovered and related to an important identity for Bessel functions. When the fixed time T is replaced by an independent exponential time, the distribution of the integral is shown to be related to last-exit-time distributions and the fixed time case is recovered by inverting Laplace transforms.

scholarly journals Improved bounds for the availability and unavailability in a fixed time interval for systems of maintained, interdependent components

1980 ◽  
Vol 12 (01) ◽  
pp. 200-221 ◽  
Author(s):  
B. Natvig
Keyword(s):  
Lower Bound ◽  
System Reliability ◽  
Nuclear Reactors ◽  
Random Variables ◽  
Fixed Time ◽  
Time Interval ◽  
Coherent System ◽  
Exact Results ◽  
Fixed Time Interval ◽  
Special Case

In this paper we arrive at a series of bounds for the availability and unavailability in the time interval I = [t A , t B ] ⊂ [0, ∞), for a coherent system of maintained, interdependent components. These generalize the minimal cut lower bound for the availability in [0, t] given in Esary and Proschan (1970) and also most bounds for the reliability at time t given in Bodin (1970) and Barlow and Proschan (1975). In the latter special case also some new improved bounds are given. The bounds arrived at are of great interest when trying to predict the performance process of the system. In particular, Lewis et al. (1978) have revealed the great need for adequate tools to treat the dependence between the random variables of interest when considering the safety of nuclear reactors. Satyanarayana and Prabhakar (1978) give a rapid algorithm for computing exact system reliability at time t. This can also be used in cases where some simpler assumptions on the dependence between the components are made. It seems, however, impossible to extend their approach to obtain exact results for the cases treated in the present paper.

A PROPOSED FORMULA FOR HORIZONTAL REVENUE ALLOCATION IN NIGERIA

2012 ◽  
Vol 29 (06) ◽  
pp. 1250033
Author(s):  
VIRTUE U. EKHOSUEHI ◽  
AUGUSTINE A. OSAGIEDE
Keyword(s):  
Optimal Control ◽  
Federal Government ◽  
Optimal Control Theory ◽  
Fixed Time ◽  
Tax Revenue ◽  
Time Interval ◽  
Fixed Time Interval ◽  
Hypothetical Data ◽  
Revenue Allocation ◽  
The Individual

In this study, we have applied optimal control theory to determine the optimum value of tax revenues accruing to a state given the range of budgeted expenditure on enforcing tax laws and awareness creation on the payment of the correct tax. This is achieved by maximizing the state's net tax revenue over a fixed time interval subject to certain constraints. By assuming that the satisfaction derived by the Federal Government of Nigeria on the ability of the individual states to generate tax revenue which is as near as the optimum tax revenue (via the state's control problem) is described by the logarithmic form of the Cobb–Douglas utility function, a formula for horizontal revenue allocation in Nigeria in its raw form is derived. Afterwards, we illustrate the use of the proposed horizontal revenue allocation formula using hypothetical data.

The evolution and measurement of a population of pairs

1995 ◽  
Vol 32 (04) ◽  
pp. 1048-1062 ◽  
Author(s):  
Eric Jakeman ◽  
Sean Phayre ◽  
Eric Renshaw
Keyword(s):  
Fixed Time ◽  
Statistical Properties ◽  
Time Interval ◽  
Fixed Time Interval ◽  
Analytical Results

The statistical properties of a population of immigrant pairs of individuals subject to loss through emigration are calculated. Exact analytical results are obtained which exhibit characteristic even–odd effects. The population is monitored externally by counting the number of emigrants leaving in a fixed time interval. The integrated statistics for this process are evaluated and it is shown that under certain conditions only even numbers of individuals will be observed.

scholarly journals On conditional Ornstein–Uhlenbeck processes

1984 ◽  
Vol 16 (04) ◽  
pp. 920-922
Author(s):  
P. Salminen
Keyword(s):  
Brownian Motion ◽  
Three Dimensional ◽  
Bessel Process ◽  
Uhlenbeck Process ◽  
Brownian Motions ◽  
Ornstein Uhlenbeck Process ◽  
The Law ◽  
Similar Description

It is well known that the law of a Brownian motion started from x > 0 and conditioned never to hit 0 is identical with the law of a three-dimensional Bessel process started from x. Here we show that a similar description is valid for all linear Ornstein–Uhlenbeck Brownian motions. Further, using the same techniques, it is seen that we may construct a non-stationary Ornstein–Uhlenbeck process from a stationary one.

Sign in / Sign up

Export Citation Format

Share Document