搜索结果: 1-8 共查到“Markov property”相关记录8条 . 查询时间(0.505 秒)
It is shown that the heavy-traffic Gaussian limit for GI/G/∞ queues is Markovian if and only if the service-time distribution H(t) is of the form 1-H(t)=pe-αt for α>0 and 0< p≤1.
Markov property of determinantal processes with extended sine, Airy, and Bessel kernels
Determinantal processes Correlation kernels Random matrix theory Infinite particle systems Markov property Entire function and topology
2011/7/7
When the number of particles is finite, the noncolliding Brownian motion (the Dyson model) and the noncolliding squared Bessel process are determinantal diffusion processes for any deterministic initi...
Markov property of determinantal processes with extended sine, Airy, and Bessel kernels
Determinantal processes Correlation kernels Random matrix theory Infinite particle systems Markov property
2011/7/28
Abstract: When the number of particles is finite, the noncolliding Brownian motion (the Dyson model) and the noncolliding squared Bessel process are determinantal diffusion processes for any determini...
Testing for the Markov Property in Time Series
Conditional characteristic function Generalized cross-spectrum Markov property Smoothed nonparametric bootstrap
2011/4/1
The Markov property is a fundamental property in time series analysis and is often assumed in economic and …nancial modelling. We develop a new test for the Markov property using the conditional chara...
Martingale problems on Banach spaces -- Existence, uniqueness and the Markov property
Martingale solution strong Markov property stochastic partial differential equation
2010/12/6
We study (local) martingale problems on a general separable Banach space E and apply our results to stochastic evolution equations. In particular,we prove that if such an equation is well-posed, then ...
TWO TYPES OF MARKOV PROPERTY
Markov chains in the strict sense and in the wide sense linear prediction covariance function cyclostationary distribution
2009/9/18
The paper gives some insight into the relations between two
types of Markov processes – in the strict sense and in the wide sense – as
well as into two aspects of periodicity. It concerns Markov pro...
Fractional Brownian Motion and the Markov Property
Gaussian processes Markov Processes Numerical Approximation Ergodic Theorem
2009/5/8
Fractional Brownian motion belongs to a class of long memory Gaussian processes that can be represented as linear functionals of an infinite dimensional Markov process. This leads naturally to:
1. A...
Testing for the Markov Property in Time Series
Markov property Conditional characteristic function Generalized cross-spectrum Smoothed nonparametric bootstrap
2011/4/6
The Markov property is a fundamental property in time series analysis and is often assumed in economic and financial modelling. We develop a test for the Markov property using the conditional characte...