Browsing Math Technical Report Series by Author "Li, Wenbo"

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  • Li, Wenbo (Department of Mathematical Sciences, 2002)
    Consider the first exit time, ˝D of a (d + 1)-dimensional Brownian motion from an unbounded open domain D = (x; y) 2 R d+1 : y > f(x); x 2 R d starting at (x0; f(x0) + 1) 2 R d+1 for some x0 2 R d , where ...
  • Chen, X.; Li, Wenbo (Department of Mathematical Sciences, 2002)
    Suppose that g(t) and Wt are independent Brownian motions starting from g(0) = W0 = 0. Consider the Brownian motion Yt re ected on g(t), obtained from Wt by the means of the Skorohod lemma. The upper and lower limiting ...
  • Chen, X.; Li, Wenbo (Department of Mathematical Sciences, 2002)
    Let the Gaussian process Xm(t) be the m-fold integrated Brownian motion for positive integer m. The Laplace transform of the quadratic functional of Xm(t) is found by using an appropriate self-adjoint integral operator. ...
  • Li, Wenbo; Linde, W. (Department of Mathematical Sciences, 2002)
    Let X = (X(t))t 2 T be a symmetric {stable, 0 < < 2, process with paths in the dual E of a certain Banach space E. Then there exists a (bounded, linear) operator u from E into some L (S; ˙) generating X in a canonical ...

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