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The Wronskian parameterizes the class of diffusions with a given distribution at a random time
class of diffusions distribution random time Probability
2012/6/19
We provide a complete characterization of the class of one-dimensional time-homogeneous diffusions consistent with a given law at an exponentially distributed time using classical results in diffusion...
Stationary distributions for a class of generalized Fleming-Viot processes
generalized Fleming-Viot process measure-valued branching process stable random measure
2012/5/9
We identify stationary distributions of generalized Fleming-Viot processes with jump mechanisms specified by certain beta laws together with a parameter measure. Each of these distributions is obtaine...
Small Noise Asymptotics for Invariant Densities for a Class of Diffusions: A Control Theoretic View (with Erratum)
diffusions invariant density small noise limit Hamilton-Jacobi equation viscosity solution
2011/9/2
Abstract: The uniqueness argument in the proof of Theorem 5, p. 483, of "Small noise asymptotics for invariant densities for a class of diffusions: a control theoretic view, J. Math. Anal. and Appl. (...
A class of nonlinear random walks related to the Ornstein-Uhlenbeck process
Mathematical Physics Probability nonlinear random walks the Ornstein-Uhlenbeck process
2011/8/25
Abstract: Contrary to the theory of Markov processes, no general theory exists for the so called nonlinear Markov processes. We study an example of "nonlinear Markov process" related to classical prob...
Two dimensional Meixner random vectors of class ${\mathcal M}_L$
commutator annihilation operator creation operator preservation operator
2010/11/29
The paper is divided into two parts. In the first part we
lay down the foundation for defining the joint annihilation–preservation–creation decomposition of a finite family of, not necessarily commut...
Approximating entropy for a class of $\zz^2$ Markov Random Fields and pressure for a class of functions on $\zz^2$ shifts of finite type
multidimensional shifts of finite type Markov random fields
2010/12/7
For a class of Z2 Markov Random Fields (MRFs) μ, we show that the sequence of successive differences of entropies of induced MRFs on strips of height n converges exponentially fast (in n) to the entro...
EXPONENTIAL CONVERGENCE OF SAMPLE AVERAGE APPROXIMATION METHODS FOR A CLASS OF STOCHASTIC MATHEMATICAL PROGRAMS WITH OMPLEMENTARITY CONSTRAINTS
Stochastic mathematical programs with complementarity constraints Sample average approximation Weak stationary points Exponential convergence
2007/12/11
In this paper, we propose a Sample Average Approximation (SAA) method
for a class of Stochastic Mathematical Programs with Complementarity
Constraints (SMPCC) recently considered by Birbil, G\"{u}rk...
The Minimax Estimator of Stochastic Regression Coecients and Parameters in the Class of All Estimators
minimax estimator stochastic regression coefficients quadratic loss function normal linear model
2007/12/11
In this paper, the authors address the problem of the minimax estimator of linear combinations of stochastic regression coefficients and parameters in the general normal linear model with random effec...