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Fractional processes conditioned to stay positive

Fractional processes conditioned to stay positive
分数过程有条件保持正值
批准号:
403468074
负责人:
Professor Dr. Frank Aurzada
金额:
$0.0万
依托单位:
依托单位国家:
德国
项目类别:
Research Grants
财政年份:
2018
资助国家:
德国
项目状态:
已结题
起止时间:
2017-12-31 至 2021-12-31

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中文摘要
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英文摘要
We study fractional Brownian motion and related fractional processes. The goal is to define fractional Brownian motion conditioned to stay positive.The difficulty comes from the fact that the event we condition on -- staying positive forever -- has probability zero. Additionally, the considered process is intrinsically non-Markovian.This new object generalizes 'Brownian motion conditioned to stay positive'. Extensions to other fractional processes are also investigated; methods come from the theory of persistence probabilities studied intensively over the last 5-7 years.
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Persistence probabilities via large deviations
  • 批准号:
    282777864
  • 项目类别:
    Research Grants
  • 资助金额:
    $0.0万
  • 财政年份:
    2015
  • 负责人:
    Professor Dr. Frank Aurzada
  • 依托单位:
Einseitige und zweiseitige Austrittsprobleme für stochastische Prozesse
  • 批准号:
    159071155
  • 项目类别:
    Independent Junior Research Groups
  • 资助金额:
    $0.0万
  • 财政年份:
    2009
  • 负责人:
    Professor Dr. Frank Aurzada
  • 依托单位:
Multidimensional Stochastic Models and Their Applications
  • 批准号:
    429659655
  • 项目类别:
    Research Grants
  • 资助金额:
    $0.0万
  • 财政年份:
    --
  • 负责人:
    Professor Dr. Frank Aurzada
  • 依托单位:
国内基金
海外基金
Submesoscale Processes Associated with Oceanic Eddies
  • 批准号:
    --
  • 项目类别:
    --
  • 资助金额:
    160万元
  • 批准年份:
    2022
  • 负责人:
    董昌明
  • 依托单位: