Dongzhou Huang

activity

20202026

most citedEscape and absorption probabilities for obliquely reflected Brownian motion in a quadrant

9 citations · 9 across the 5 of their papers we have counts for

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3 papers · 1 filter

math.PR2021

Yule's "nonsense correlation" for Gaussian random walks

Philip A. Ernst, Dongzhou Huang, Frederi G. Viens

The purpose of this paper is to provide an exact formula for the second moment of the empirical correlation of two independent Gaussian random walks as well as implicit formulas fo…

math.PR2021★ 9 cited

Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant

Philip Ernst, Sandro Franceschi, Dongzhou Huang

We consider an obliquely reflected Brownian motion $Z$ with positive drift in a quadrant stopped at time $T$ , where $T := in f {t > 0 : Z (t) = (0, 0)}$ is the first hitting time of th…

math.PR2020

The rencontre problem

F. Thomas Bruss, Philip A. Ernst, Dongzhou Huang

Let ${X_{k}^{1}}_{k = 1}^{\infty}, {X_{k}^{2}}_{k = 1}^{\infty}, \dots, {X_{k}^{d}}_{k = 1}^{\infty}$ be $d$ independent sequences of Bernoulli random v…