Procesos Estoccsticos: El Proceso De Wiener (Stochastic Processes: The Wiener Process)

2013 ◽  
Author(s):  
Juan Mascareeas
1980 ◽  
Vol 17 (02) ◽  
pp. 363-372 ◽  
Author(s):  
C. Park ◽  
F. J. Schuurmann

Let {W(t), 0≦t<∞} be the standard Wiener process. The computation schemes developed in the past are not computationally efficient for the absorption probabilities of the type P{sup0≦t≦T W(t) − f(t) ≧ 0} when either T is large or f(0) > 0 is small. This paper gives an efficient and accurate algorithm to compute such probabilities, and some applications to other Gaussian stochastic processes are discussed.


1974 ◽  
Vol 53 ◽  
pp. 157-170
Author(s):  
Yoshio Miyahara

We shall consider the optimal control for a system governed by a stochastic differential equationwhere u(t, x) is an admissible control and W(t) is a standard Wiener process. By an optimal control we mean a control which minimizes the cost and in addition makes the corresponding Markov process stable.


1980 ◽  
Vol 17 (2) ◽  
pp. 363-372 ◽  
Author(s):  
C. Park ◽  
F. J. Schuurmann

Let {W(t), 0≦t<∞} be the standard Wiener process. The computation schemes developed in the past are not computationally efficient for the absorption probabilities of the type P{sup0≦t≦TW(t) − f(t) ≧ 0} when either T is large or f(0) > 0 is small. This paper gives an efficient and accurate algorithm to compute such probabilities, and some applications to other Gaussian stochastic processes are discussed.


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