The Bivariate Distribution of the First Passage Time in Brownian Motion PDF Download
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Author: Ei-Hu Shen
Publisher:
ISBN:
Category : Brownian motion processes
Languages : en
Pages : 62
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Book Description
Author: Ei-Hu Shen
Publisher:
ISBN:
Category : Brownian motion processes
Languages : en
Pages : 62
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Book Description
Author: M. T. Wasan
Publisher: Kingston, Ont. : Department of Mathematics, Queen's University
ISBN:
Category : Brownian movements
Languages : en
Pages : 644
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Book Description
Bibliografi, s. 302-311
Author: M. T. Wasan
Publisher:
ISBN:
Category : Brownian movements
Languages : en
Pages : 712
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Book Description
Author: R. P. Gupta
Publisher:
ISBN:
Category : Brownian movements
Languages : en
Pages : 30
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Book Description
Author: Lawrence Keith Roy
Publisher:
ISBN:
Category : Brownian motion processes
Languages : en
Pages : 98
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Book Description
![The Distribution of First Passage Times for Brownian Motion [microform] PDF](https://books.google.com/books/content/images/frontcover/GRsmNAEACAAJ?fife=w80-h100)
Author: Roy, Lawrence K
Publisher: National Library of Canada
ISBN:
Category :
Languages : en
Pages :
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Author: Zhiyong Jin
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This thesis consists of two novel contributions to the computation of first passage time distribution for Brownian motion. First, we extend the known formula for boundary crossing probabilities for Brownian motion to the discontinuous piecewise linear boundary. Second, we derive explicit formula for the first passage time density of Brownian motion crossing piecewise linear boundary. Further, we demonstrate how to approximate the boundary crossing probabilities and density for general nonlinear boundaries. Moreover, we use Monte Carlo simulation method and develop algorithms for the numerical computation. This method allows one to assess the accuracy of the numerical approximation. Our approach can be further extended to compute two-sided boundary crossing probabilities.
Author: Madanlal T. Wasan
Publisher:
ISBN:
Category :
Languages : en
Pages : 20
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Author: Clifford Ball
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
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Author: David Freedman
Publisher: Springer Science & Business Media
ISBN: 146156574X
Category : Mathematics
Languages : en
Pages : 242
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Book Description
A long time ago I started writing a book about Markov chains, Brownian motion, and diffusion. I soon had two hundred pages of manuscript and my publisher was enthusiastic. Some years and several drafts later, I had a thot:sand pages of manuscript, and my publisher was less enthusiastic. So we made it a trilogy: Markov Chains Brownian Motion and Diffusion Approximating Countable Markov Chains familiarly - Me, B & D, and ACM. I wrote the first two books for beginning graduate students with some knowledge of probability; if you can follow Sections 3.4 to 3.9 of Brownian Motion and Diffusion you're in. The first two books are quite independent of one another, and completely independent of the third. This last book is a monograph, which explains one way to think about chains with instantaneous states. The results in it are supposed to be new, except where there are spe cific disclaimers; it's written in the framework of Markov Chains. Most of the proofs in the trilogy are new, and I tried hard to make them explicit. The old ones were often elegant, but I seldom saw what made them go. With my own, I can sometimes show you why things work. And, as I will argue in a minute, my demonstrations are easier technically. If I wrote them down well enough, you may come to agree.
