Concept

Geometric Brownian motion

Publications associées (27)

Filtration Shrinkage, Strict Local Martingales And The Follmer Measure

When a strict local martingale is projected onto a subfiltration to which it is not adapted, the local martingale property may be lost, and the finite variation part of the projection may have singular paths. This phenomenon has consequences for arbitrage ...

Inst Mathematical Statistics2014

Symmetry Reduction Of Brownian Motion And Quantum Calogero-Moser Models

Simon Hochgerner

Let Q be a Riemannian G-manifold. This paper is concerned with the symmetry reduction of Brownian motion in Q and ramifications thereof in a Hamiltonian context. Specializing to the case of polar actions, we discuss various versions of the stochastic Hamil ...

World Scientific Publ Co Pte Ltd2013

MMSE Estimation of Sparse Levy Processes

Michaël Unser, Ulugbek Kamilov, Arash Amini, Pedram Pad

We investigate a stochastic signal-processing framework for signals with sparse derivatives, where the samples of a Levy process are corrupted by noise. The proposed signal model covers the well-known Brownian motion and piecewise-constant Poisson process; ...

Ieee-Inst Electrical Electronics Engineers Inc2013

Exploiting the color of Brownian motion for high-frequency microrheology of Newtonian fluids

László Forró, Sylvia Jeney, Flavio Maurizio Mor

Einstein's stochastic description of the random movement of small objects in a fluid, i.e. Brownian motion, reveals to be quite different, when observed on short timescales. The limitations of Einstein's theory with respect to particle inertia and hydrodyn ...

Spie-Int Soc Optical Engineering2013

Stochastic Control and Free Boundary Problems for Sailboat Trajectory Optimization

Laura Claudia Catherine Vinckenbosch

The topic of this thesis is the study of several stochastic control problems motivated by sailing races. The goal is to minimize the travel time between two locations, by selecting the fastest route in face of randomly changing weather conditions, such as ...

EPFL2012

High-resolution detection of Brownian motion for quantitative optical tweezers experiments

Sylvia Jeney, Matthias Grimm

We have developed an in situ method to calibrate optical tweezers experiments and simultaneously measure the size of the trapped particle or the viscosity of the surrounding fluid. The positional fluctuations of the trapped particle are recorded with a hig ...

Amer Physical Soc2012

Conditional Density Models for Asset Pricing

Damir Filipovic

We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Browni ...

World Scientific Publishing2012