On the theory of brownian motion. III. Two-body distribution function

1969 ◽  
Vol 1 (4) ◽  
pp. 559-562 ◽  
Author(s):  
Robert M. Mazo
Keyword(s):  
Distribution Function ◽  
Brownian Motion ◽  
Body Distribution

scholarly journals The Saddle Point Method for the Integral of the Absolute Value of the Brownian Motion

2003 ◽  
Vol DMTCS Proceedings vol. AC,... (Proceedings) ◽  
Author(s):  
Leonid Tolmatz
Keyword(s):  
Distribution Function ◽  
Brownian Motion ◽  
Saddle Point ◽  
Point Method ◽  
Saddle Point Method ◽  
Tail Asymptotics ◽  
Absolute Value ◽  
Exact Tail Asymptotics ◽  
International Audience ◽  
The Absolute

International audience The distribution function of the integral of the absolute value of the Brownian motion was expressed by L.Takács in the form of various series. In the present paper we determine the exact tail asymptotics of this distribution function. The proposed method is applicable to a variety of other Wiener functionals as well.

Geometric bounds on certain sublinear functionals of geometric Brownian motion

2003 ◽  
Vol 40 (4) ◽  
pp. 893-905 ◽  
Author(s):  
Per Hörfelt
Keyword(s):  
Distribution Function ◽  
Brownian Motion ◽  
Borel Measure ◽  
Random Variable ◽  
Geometric Brownian Motion ◽  
Upper And Lower Bounds ◽  
Tail Probabilities ◽  
Absolutely Continuous ◽  
Basket Options ◽  
Sublinear Functionals

Suppose that {Xs, 0 ≤ s ≤ T} is an m-dimensional geometric Brownian motion with drift, μ is a bounded positive Borel measure on [0,T], and ϕ : ℝm → [0,∞) is a (weighted) lq(ℝm)-norm, 1 ≤ q ≤ ∞. The purpose of this paper is to study the distribution and the moments of the random variable Y given by the Lp(μ)-norm, 1 ≤ p ≤ ∞, of the function s ↦ ϕ(Xs), 0 ≤ s ≤ T. By using various geometric inequalities in Wiener space, this paper gives upper and lower bounds for the distribution function of Y and proves that the distribution function is log-concave and absolutely continuous on every open subset of the distribution's support. Moreover, the paper derives tail probabilities, presents sharp moment inequalities, and shows that Y is indetermined by its moments. The paper will also discuss the so-called moment-matching method for the pricing of Asian-styled basket options.

scholarly journals MOVIMENTO BROWNIANO: APLICAÇÃO EM ESTRATÉGIAS DE BUSCA

2019 ◽  
Vol 5 (4) ◽  
pp. 0392-0402
Author(s):  
Matheus Dias Carvalho ◽  
Ricardo de Carvalho Falcão ◽  
Antonio Marcos de Oliveira Siqueira
Keyword(s):  
Distribution Function ◽  
Brownian Motion ◽  
Partial Differential Equations ◽  
Differential Equations ◽  
Metabolic Rate ◽  
Stationary State ◽  
Analytical Solutions ◽  
Random Processes ◽  
Graphical Form ◽  
Partial Differential

This article has elucidated information about Brownian Motion in the ring, something that is still little explored in the literature. In addition, the ideas of feed, metabolic rate and stochastic restart to the walker were added, features that have been gaining ground recently in the study of random processes. This paper structured partial differential equations governing this process for the immortal case of walker, and later found analytical solutions to these expressions. The representation of stationary state was also performed in graphical form, thus obtaining the distribution function of probability required. In order to briefly approach the walker in a deadly process, a graph was produced that presents the function between the number of steps taken by a walker before his death and his metabolic capacity.Este artigo elucidou informações a respeito do movimento browniano no anel, algo ainda pouco explorado na literatura. Além disso, foram adicionadas as ideias de alimentação, taxa metabólica e reinício estocástico ao caminhante, características que vem ganhando espaço recentemente no estudo de processos aleatórios. Esse artigo realizou a estruturação das equações diferenciais parciais que regem tal processo para o caso de um caminhante imortal, além de posteriormente encontrar soluções analíticas para estas expressões. A representação do estado estacionário do caminhante também foi realizada na forma gráfica, obtendo assim as funções distribuição de probabilidade requeridas. Com o intuito de abordar brevemente o caminhante em um processo mortal, foi produzido um gráfico que apresenta a função entre o número de passos dados por um caminhante antes de sua morte e sua capacidade metabólica.

Kinetic model of wealth distribution by trading stocks with geometric brownian motion

2021 ◽  
pp. 2250001
Author(s):  
Ryosuke Yano ◽  
Hisayasu Kuroda
Keyword(s):  
Distribution Function ◽  
Brownian Motion ◽  
Kinetic Equation ◽  
Kinetic Model ◽  
Wealth Distribution ◽  
Geometric Brownian Motion ◽  
Total Asset ◽  
Two Agents ◽  
Specific Number ◽  
Specific Amount

In this paper, we consider the wealth distribution obtained by trading (buying–selling) stocks whose prices follow the geometric Brownian motion (GBM), when both number of the ticker symbol of the stock and maximum number of the traded stock are limited to unity. The binary exchange of the cash and stock between two agents is expressed with the Boltzmann-type kinetic equation. The distribution function of the number of the agents with the specific number of the stock or specific amount of the cash can be demonstrated, theoretically, when the price of the stock is constant. The distribution function of the number of the agents with the specific amount of the total asset can be approximated by [Formula: see text]-distribution, when the price of the stock follows the GBM. Finally, the rule in the binary-exchange-game approximates the distribution function of the number of the agents with the specific amount of the total asset to the Feller–Pareto-like distribution at the high wealth tail.

scholarly journals Brownian motion of black holes in stellar systems with non-Maxwellian distribution of the field stars

2006 ◽  
Vol 2 (S238) ◽  
pp. 427-428
Author(s):  
Isabel Tamara Pedron ◽  
Carlos H. Coimbra-Araújo
Keyword(s):  
Black Holes ◽  
Black Hole ◽  
Distribution Function ◽  
Brownian Motion ◽  
Random Walk ◽  
Brownian Particle ◽  
Stellar System ◽  
Stellar Systems ◽  
Massive Black Hole ◽  
Nearby Stars

AbstractA massive black hole at the center of a dense stellar system, such as a globular cluster or a galactic nucleus, is subject to a random walk due gravitational encounters with nearby stars. It behaves as a Brownian particle, since it is much more massive than the surrounding stars and moves much more slowly than they do. If the distribution function for the stellar velocities is Maxwellian, there is a exact equipartition of kinetic energy between the black hole and the stars in the stationary state. However, if the distribution function deviates from a Maxwellian form, the strict equipartition cannot be achieved.The deviation from equipartition is quantified in this work by applying the Tsallis q-distribution for the stellar velocities in a q-isothermal stellar system and in a generalized King model.

Nonextensive black-body distribution function and Einstein's coefficients A and B

1998 ◽  
Vol 242 (6) ◽  
pp. 301-306 ◽  
Author(s):  
Qiuping A. Wang ◽  
Alain Le Méhauté
Keyword(s):  
Distribution Function ◽  
Black Body ◽  
Body Distribution
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