Results 1 to 10 of about 51 (51)
An optimal transport-based characterization of convex order
Dependence Modeling, 2023 For probability measures μ,ν\mu ,\nu , and ρ\rho , define the cost functionals C(μ,ρ)≔supπ∈Π(μ,ρ)∫⟨x,y⟩π(dx,dy)andC(ν,ρ)≔supπ∈Π(ν,ρ)∫⟨x,y⟩π(dx,dy),C\left(\mu ,\rho ):= \mathop{\sup }\limits_{\pi \in \Pi \left(\mu ,\rho )}\int \langle x,y\rangle \pi \left(
Wiesel Johannes, Zhang Erica
doaj +1 more source
An equivalent quasinorm for the Lipschitz space of noncommutative martingales
Open Mathematics, 2020 In this paper, an equivalent quasinorm for the Lipschitz space of noncommutative martingales is presented. As an application, we obtain the duality theorem between the noncommutative martingale Hardy space hpc(ℳ){h}_{p}^{c}( {\mathcal M} ) (resp.
Ma Congbian, Ren Yanbo
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On vector‐valued Hardy martingales and a generalized Jensen′s inequality
International Journal of Mathematics and Mathematical Sciences, Volume 2003, Issue 9, Page 527-532, 2003., 2003 We establish a generalized Jensen′s inequality for analytic vector‐valued functions on 𝕋N using a monotonicity property of vector‐valued Hardy martingales. We then discuss how this result extends to functions on a compact abelian group G, which are analytic with respect to an order on the dual group.
Annela R. Kelly, Brian P. Kelly
wiley +1 more source
Limit theorems for the weights and the degrees in anN-interactions random graph model
Open Mathematics, 2016 A random graph evolution based on interactions of N vertices is studied. During the evolution both the preferential attachment rule and the uniform choice of vertices are allowed. The weight of an M-clique means the number of its interactions.
Fazekas István, Porvázsnyik Bettina
doaj +1 more source
Empirical likelihood for quantile regression models with response data missing at random
Open Mathematics, 2017 This paper studies quantile linear regression models with response data missing at random. A quantile empirical-likelihood-based method is proposed firstly to study a quantile linear regression model with response data missing at random.
Luo S., Pang Shuxia
doaj +1 more source
, 2006 Absence of arbitrage, Proportional transaction costs, Imperfect information, Optional projection, 91B28, 60G42, G10,
Bouchard, Bruno, Bruno Bouchard
core +1 more source
The supermartingale property of the optimal wealth process for general semimartingales
, 2007 Utility maximization, Non locally bounded semimartingale, Duality methods, Optimal wealth process, σ-martingale measure, 60G42, 60G44, G11, G12, G13,
Marco Frittelli +4 more
core +1 more source
Non-Degenerate Conditionings of the Exit Measures of Super Brownian Motion
, 1999 We introduce several martingale changes of measure of the law of the exit measure of super Brownian motion. We represent these laws in terms of "immortal particle" branching processes with immigration of mass, and relate them to the study of ...
John Verzani +3 more
core +1 more source
No-arbitrage criteria for financial markets with transaction costs and incomplete information
Transaction costs, Incomplete information, Arbitrage, Hedging, G10, 91B28, 60G42,
Dimitri De Vallière +2 more
core +1 more source
A note on arbitrage in term structure
Arbitrage, Term structure, Large financial markets, Kakutani theorem, Gaussian random variables, 91B28, 60G42, G10, G12,
Miklós Rásonyi
core +1 more source