• Communications for Statistical Applications and Methods
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• 제24권5호
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• pp.481-492
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• 2017

This paper investigates a convergence rate of a test statistics given by two scale sampling method based on $A\ddot{i}t$-Sahalia and Jacod (Annals of Statistics, 37, 184-222, 2009). This statistics tests for longitudinal data having the existence of long memory dependence driven by fractional Brownian motion with Hurst parameter $H{\in}(1/2,\;1)$. We obtain an upper bound in the Kolmogorov distance for normal approximation of this test statistic. As a main tool for our works, the recent results in Nourdin and Peccati (Probability Theory and Related Fields, 145, 75-118, 2009; Annals of Probability, 37, 2231-2261, 2009) will be used. These results are obtained by employing techniques based on the combination between Malliavin calculus and Stein's method for normal approximation.

• Communications for Statistical Applications and Methods
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• 제22권3호
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• pp.295-304
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• 2015

This paper considers the problem of estimation of the Hurst parameter H ${\in}$ (1/2, 1) from longitudinal data with the error term of a fractional Brownian motion with Hurst parameter H that gives the amount of the long memory of its increment. We provide a new estimator of Hurst parameter H using a two scale sampling method based on $A{\ddot{i}}t$-Sahalia and Jacod (2009). Asymptotic behaviors (consistent and central limit theorem) of the proposed estimator will be investigated. For the proof of a central limit theorem, we use recent results on necessary and sufficient conditions for multi-dimensional vectors of multiple stochastic integrals to converges in distribution to multivariate normal distribution studied by Nourdin et al. (2010), Nualart and Ortiz-Latorre (2008), and Peccati and Tudor (2005).

• 한국수학교육학회지시리즈B:순수및응용수학
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• 제27권1호
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• pp.1-11
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• 2020

In this paper we determine conditions which a function a(t) must satisfy to insure that the function a'(t) is an element of the separable Hilbert space L²_a,b[0, T]. We then proceed to illustrate our results with several pertinent examples and counter-examples.

• 대한수학회보
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• 제40권3호
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• pp.437-456
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• 2003

In this paper we use a generalized Brownian motion process to define a generalized analytic Feynman integral. We then establish a Fubini theorem for the function space integral and generalized analytic Feynman integral of a functional F belonging to Banach algebra $S(L^2_{a,b}[0,T])$ and we proceed to obtain several integration formulas. Finally, we use this Fubini theorem to obtain several Feynman integration formulas involving analytic generalized Fourier-Feynman transforms. These results subsume similar known results obtained by Huffman, Skoug and Storvick for the standard Wiener process.

• 대한수학회논문집
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• 제26권2호
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• pp.273-289
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• 2011

In this paper we dene the concept of a conditional generalized Fourier-Feynman transform on very general function space $C_{a,b}$[0, T]. We then establish the existence of the conditional generalized Fourier-Feynman transform for functionals in a Fresnel type class. We also obtain several results involving the conditional transform. Finally we present functionals to apply our results. The functionals arise naturally in Feynman integration theories and quantum mechanics.

• 대한수학회지
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• 제46권2호
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• pp.327-345
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• 2009

In this paper, we define generalized Fourier-Hermite functionals on a function space $C_{a,b}[0,\;T]$ to obtain a complete orthonormal set in $L_2(C_{a,b}[0,\;T])$ where $C_{a,b}[0,\;T]$ is a very general function space. We then proceed to give a necessary and sufficient condition that a functional F in $L_2(C_{a,b}[0,\;T])$ has a generalized Fourier-Wiener function space transform ${\cal{F}}_{\sqrt{2},i}(F)$ also belonging to $L_2(C_{a,b}[0,\;T])$.

• 한국수학교육학회지시리즈B:순수및응용수학
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• 제16권4호
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• pp.369-382
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• 2009

In this paper we establish various relationships among the generalized integral transform, the generalized convolution product and the first variation for functionals in a Banach algebra S($L_{a,b}^2$[0, T]) introduced by Chang and Skoug in [14]. We then derive an inverse integral transform and obtain several relationships involving inverse integral transforms.

• 대한수학회보
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• 제48권2호
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• pp.223-245
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• 2011

In this paper, we de ne an $L_p$ analytic generalized Fourier Feynman transform and a convolution product of functionals in a Ba-nach algebra $\cal{F}$($C_{a,b}$[0, T]) which is called the Fresnel type class, and in more general class $\cal{F}_{A_1;A_2}$ of functionals de ned on general functio space $C_{a,b}$[0, T] rather than on classical Wiener space. Also we obtain some relationships between the $L_p$ analytic generalized Fourier-Feynman transform and convolution product for functionals in $\cal{F}$($C_{a,b}$[0, T]) and in $\cal{F}_{A_1,A_2}$.

• 충청수학회지
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• 제23권1호
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• pp.37-48
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• 2010

In this paper we use a generalized Brownian motion process to defined an analytic operator-valued generalized Feynman integral. We then obtain explicit formulas for the analytic operatorvalued generalized Feynman integrals for functionals of the form $$F(x)=f\({\int}^T_0{\alpha}_1(t)dx(t),{\cdots},{\int}_0^T{\alpha}_n(t)dx(t)\)$$, where x is a continuous function on [0, T] and {${\alpha}_1,{\cdots},{\alpha}_n$} is an orthonormal set of functions from ($L^2_{a,b}[0,T]$, ${\parallel}{\cdot}{\parallel}_{a,b}$).

• 대한수학회지
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• 제53권6호
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• pp.1261-1273
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• 2016

In this paper, we analyze the necessary and sufficient condition introduced in [5]: that a functional F in $L^2(C_{a,b}[0,T])$ has an integral transform ${\mathcal{F}}_{{\gamma},{\beta}}F$, also belonging to $L^2(C_{a,b}[0,T])$. We then establish the inverse integral transforms of the functionals in $L^2(C_{a,b}[0,T])$ and then examine various properties with respect to the inverse integral transforms via the translation theorem. Several possible outcomes are presented as remarks. Our approach is a new method to solve some difficulties with respect to the inverse integral transform.