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History-dependent random processes

Abstract:

Ulam has defined a history-dependent random sequence by the recursion X n+1 = X x + u(n) where (U (n) n ≥ 1) is a sequence of independent random variables with U( n) uniformly distributed on {1, ..., n} and X 1=1. We introduce a new class of continuous-time history-dependent random processes regulated by Poisson processes. The simplest of these, a univariate process regula...

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Publication status:
Published

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Publisher copy:
10.1098/rspa.2007.0291

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Institution:
University of Oxford
Department:
Oxford, MPLS, Statistics
Role:
Author
Journal:
PROCEEDINGS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES
Volume:
464
Issue:
2093
Pages:
1105-1124
Publication date:
2008-05-08
DOI:
EISSN:
1471-2946
ISSN:
1364-5021
URN:
uuid:65076954-0d23-43cf-a2fe-16f99d8540b5
Source identifiers:
97445
Local pid:
pubs:97445

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