Results 1  10
of
296
On some exponential functionals of Brownian motion
 Adv. Appl. Prob
, 1992
"... Abstract: This is the second part of our survey on exponential functionals of Brownian motion. We focus on the applications of the results about the distributions of the exponential functionals, which have been discussed in the first part. Pricing formula for call options for the Asian options, expl ..."
Abstract

Cited by 97 (9 self)
 Add to MetaCart
Abstract: This is the second part of our survey on exponential functionals of Brownian motion. We focus on the applications of the results about the distributions of the exponential functionals, which have been discussed in the first part. Pricing formula for call options for the Asian options, explicit expressions for the heat kernels on hyperbolic spaces, diffusion processes in random environments and extensions of Lévy’s and Pitman’s theorems are discussed.
On The Distribution And Asymptotic Results For Exponential Functionals Of Lévy Processes
, 1997
"... . The aim of this note is to study the distribution and the asymptotic behavior of the exponential functional A t := R t 0 e s ds, where ( s ; s 0) denotes a L'evy process. When A1 ! 1, we show that in most cases, the law of A1 is a solution of an integrodifferential equation ; moreover, this ..."
Abstract

Cited by 65 (8 self)
 Add to MetaCart
. The aim of this note is to study the distribution and the asymptotic behavior of the exponential functional A t := R t 0 e s ds, where ( s ; s 0) denotes a L'evy process. When A1 ! 1, we show that in most cases, the law of A1 is a solution of an integrodifferential equation ; moreover, this law is characterized by its integral moments. When the process is asymptotically ffstable, we prove that t \Gamma1=ff log A t converges in law, as t !1, to the supremum of an ffstable L'evy process ; in particular, if E [ 1 ] ? 0, then ff = 1 and (1=t) log A t converges almost surely to E [ 1 ]. Eventually, we use Girsanov's transform to give the explicit behavior of E \Theta (a +A t ()) \Gamma1 as t ! 1, where a is a constant, and deduce from this the rate of decay of the tail of the distribution of the maximum of a diffusion process in a random L'evy environment. 1. Introduction We first describe three different sources of interest for exponential functionals of Brownian mot...
ESTIMATING FUNCTIONS OF PROBABILITY DISTRIBUTIONS FROM A FINITE SET OF SAMPLES Part II: Bayes Estimators for Mutual Information, ChiSquared, Covariance, and other Statistics.
"... This paper is the second in a series of two on the problem of estimating a function of a probability distribution from a finite set of samples of that distribution. In the first paper, the Bayes estimator for a function of a probability distribution was introduced, the optimal properties of the Baye ..."
Abstract

Cited by 38 (3 self)
 Add to MetaCart
This paper is the second in a series of two on the problem of estimating a function of a probability distribution from a finite set of samples of that distribution. In the first paper, the Bayes estimator for a function of a probability distribution was introduced, the optimal properties of the Bayes estimator were discussed, and the Bayes and frequencycounts estimators for the Shannon entropy were derived and graphically contrasted. In the current paper the analysis of the first paper is extended by the derivation of Bayes estimators for several other functions of interest in statistics and information theory. These functions are (powers of) the mutual information, chisquared for tests of independence, variance, covariance, and average. Finding Bayes estimators for several of these functions requires extensions to the analytical techniques developed in the first paper, and these extensions form the main body of this paper. This paper extends the analysis in other ways as well, for example by enlarging the class of potential priors beyond the uniform prior assumed in the first paper. In particular, the use of the entropic and Dirichlet priors is considered.
New upper bounds on sphere packings
, 2001
"... Abstract. We develop an analogue for sphere packing of the linear programming bounds for errorcorrecting codes, and use it to prove upper bounds for the density of sphere packings, which are the best bounds known at least for dimensions 4 through 36. We conjecture that our approach can be used to s ..."
Abstract

Cited by 37 (5 self)
 Add to MetaCart
Abstract. We develop an analogue for sphere packing of the linear programming bounds for errorcorrecting codes, and use it to prove upper bounds for the density of sphere packings, which are the best bounds known at least for dimensions 4 through 36. We conjecture that our approach can be used to solve the sphere packing problem in dimensions 8 and 24.
Optimality and Uniqueness of the Leech Lattice Among Lattices
 arXiv:math.MG/04 03263v1 16
, 2004
"... Abstract. We prove that the Leech lattice is the unique densest lattice in R 24. The proof combines human reasoning with computer verification of the properties of certain explicit polynomials. We furthermore prove that no sphere packing in R 24 can exceed the Leech lattice’s density by a factor of ..."
Abstract

Cited by 32 (3 self)
 Add to MetaCart
Abstract. We prove that the Leech lattice is the unique densest lattice in R 24. The proof combines human reasoning with computer verification of the properties of certain explicit polynomials. We furthermore prove that no sphere packing in R 24 can exceed the Leech lattice’s density by a factor of more than 1 + 1.65 · 10 −30, and we give a new proof that E8 is the unique densest lattice in R 8. 1.
A Survey and Some Generalizations of Bessel Processes
 Bernoulli
, 1999
"... Bessel processes play an important role in financial mathematics because of their strong relation to financial processes like geometric Brownian motion or CIR processes. We are interested in the first time Bessel processes and more generally, radial OrnsteinUhlenbeck processes hit a given barrier. ..."
Abstract

Cited by 26 (1 self)
 Add to MetaCart
Bessel processes play an important role in financial mathematics because of their strong relation to financial processes like geometric Brownian motion or CIR processes. We are interested in the first time Bessel processes and more generally, radial OrnsteinUhlenbeck processes hit a given barrier. We give explicit expressions of the Laplace transforms of first hitting times by (squared) radial OrnsteinUhlenbeck processes, i. e., CIR processes. As a natural extension we study squared Bessel processes and squared OrnsteinUhlenbeck processes with negative dimensions or negative starting points and derive their properties. Keywords: First hitting times; CIR processes; Bessel processes; radial Ornstein Uhlenbeck processes; Bessel processes with negative dimensions 1 Introduction Bessel processes have come to play a distinguished role in financial mathematics for at least two reasons, which have a lot to do with the models being usually considered. One of these models is the CoxI...
Brownian analogues of Burke’s theorem
, 2001
"... We discuss Brownian analogues of a celebrated theorem, due to Burke, which states that the output of a (stable, stationary) M/M/1 queue is Poisson, and the related notion of quasireversibility. A direct analogue of Burke’s theorem for the Brownian queue was stated and proved by Harrison (Brownian Mo ..."
Abstract

Cited by 20 (7 self)
 Add to MetaCart
We discuss Brownian analogues of a celebrated theorem, due to Burke, which states that the output of a (stable, stationary) M/M/1 queue is Poisson, and the related notion of quasireversibility. A direct analogue of Burke’s theorem for the Brownian queue was stated and proved by Harrison (Brownian Motion and Stochastic Flow Systems, Wiley, New York, 1985). We present several different proofs of this and related results. We also present an analogous result for geometric functionals of Brownian motion. By considering series of queues in tandem, these theorems can be applied to a certain class of directed percolation and directed polymer models. It was recently discovered that there is a connection between this directed percolation model and the GUE random matrix ensemble. We extend and give a direct proof of this connection in the twodimensional case. In all of the above, reversibility plays a key role.
An efficient spectral method for ordinary differential equations with rational function coefficients
 Math. Comp
, 1996
"... Abstract. We present some relations that allow the efficient approximate inversion of linear differential operators with rational function coefficients. We employ expansions in terms of a large class of orthogonal polynomial families, including all the classical orthogonal polynomials. These familie ..."
Abstract

Cited by 15 (3 self)
 Add to MetaCart
Abstract. We present some relations that allow the efficient approximate inversion of linear differential operators with rational function coefficients. We employ expansions in terms of a large class of orthogonal polynomial families, including all the classical orthogonal polynomials. These families obey a simple 3term recurrence relation for differentiation, which implies that on an appropriately restricted domain the differentiation operator has a unique banded inverse. The inverse is an integration operator for the family, and it is simply the tridiagonal coefficient matrix for the recurrence. Since in these families convolution operators (i.e., matrix representations of multiplication by a function) are banded for polynomials, we are able to obtain a banded representation for linear differential operators with rational coefficients. This leads to a method of solution of initial or boundary value problems that, besides having an operation count that scales linearly with the order of truncation N, is computationally well conditioned. Among the applications considered is the use of rational maps for the resolution of sharp interior layers. 1.
High field approximations of the spherical harmonics expansion model for semiconductors
, 1998
"... We present an asymptotic analysis (with the scaled mean free path as small parameter) of the sphericalharmonics expansion (SHE) model for semiconductors in the case of a large electric field. The Hilbert and ChapmanEnskog expansions are performed and the dependence of macroscopic parameterfunc ..."
Abstract

Cited by 15 (8 self)
 Add to MetaCart
We present an asymptotic analysis (with the scaled mean free path as small parameter) of the sphericalharmonics expansion (SHE) model for semiconductors in the case of a large electric field. The Hilbert and ChapmanEnskog expansions are performed and the dependence of macroscopic parameterfunctions such as the mobility and the diffusivity on the details of the considered elastic and inelastic scattering processes are investigated. For example, we verify so called velocitysaturation mobility models, so far obtained by heuristic considerations, by means of an asymptotic analysis for certain scattering processes.
Adaptive PSAM Accounting for Channel Estimation and Prediction Errors
, 2004
"... Adaptive modulation requires channel state information (CSI), which can be acquired at the receiver by inserting pilot symbols in the transmitted signal. In this paper, we first analyze the effect linear minimum mean square error (MMSE) channel estimation and prediction errors have on bit error rate ..."
Abstract

Cited by 15 (1 self)
 Add to MetaCart
Adaptive modulation requires channel state information (CSI), which can be acquired at the receiver by inserting pilot symbols in the transmitted signal. In this paper, we first analyze the effect linear minimum mean square error (MMSE) channel estimation and prediction errors have on bit error rate (BER). Based on this analysis, we develop adaptive pilot symbol assisted modulation (PSAM) schemes that account for both channel estimation and prediction errors to meet a target BER. While pilot symbols facilitate channel acquisition, they consume part of transmitted power and bandwidth, which in turn reduces spectral efficiency. With imperfect (and thus partial) CSI available at the transmitter and receiver, two questions arise naturally: how often should pilot symbols be transmitted? and how much power should be allocated to pilot symbols? We address these two questions by optimizing pilot parameters to maximize spectral efficiency.