In discrete time a local martingale is a martingale under an equivalent probability measure
Martingale, Generalized martingale, Dalang–Morton–Willinger theorem, Krein–S̆mulian theorem, Free lunch, 60G42, G10,
Yuri Kabanov
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Deviation inequalities and moderate deviations for estimators of parameters in bifurcating autoregressive models [PDF]
, 2014 . The purpose of this paper is to investigate the deviation inequalities and the moderate deviation principle of the least squares estimators of the unknown parameters of general pth-order asymmetric bifurcating autoregressive processes, under suitable ...
S Valère +2 more
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Minimal Hellinger martingale measures of order q
Minimal Hellinger martingale measure, Utility maximization, Minimal martingale measure, G10, 91B28, 60G42,
Jia Li +2 more
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A generalized quasi-likelihood estimator for a general class of nonstationary stochastic processes: asymptotic properties and examples [PDF]
, 2012 2010 Mathematics Subject Classification: 62F12, 62M05, 62M09, 62M10, 60G42.Let {Zn}n∈N be a real stochastic process on (Ω, F, Pθ0), where θ0 is a unknown p-dimensional parameter. We propose a GQLE (Generalized Quasi-Likelihood Estimator) of θ0 based on a
Jacob, Christine
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Hedging of American options under transaction costs
Transaction costs, American option, Hedging, Coherent price system, 91B28, 60G42, G10,
D. Vallière, Y. Kabanov, E. Denis
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On occurrence of subpattern and method of gambling teams
Pattern, Gambling teams, Waiting times, Markov chains, Martingales, Test of randomness, Primary 60C05, Primary 60G42, Secondary 60G40, Secondary 62E17,
Vladimir Pozdnyakov
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Amendment to: populations in environments with a soft carrying capacity are eventually extinct. [PDF]
J Math Biol, 2021 Jagers P, Zuyev S.
europepmc +1 more source
Burkholder’s inequality for multiindex martingales [PDF]
Multiindex versions of Khintchine’s and Burkholder’s inequalities are pre- sented. Key Words: Khintchine’s inequality, Burkholder’s inequality, random field, martingale.
Fazekas, István
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Exponential integrability of martingales
, 2019 We obtain the exponential integrability of the maximal function, the quadratic variation and the conditional quadratic variation of bounded martingales and exponential integrable martingales.Mathematics Subject Classification (2010): 60G42, 60G46, 46E30,
Ho, Kwok-Pun
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On the Existence of Equivalent Tau-Measures in Finite Discrete Time
, 2007 Suppose that (X(n)) is a finite adapted sequence of d--dimensional random variables defined on some filtered probability space(\Omega ; F; (F n ); P ). We obtain conditions which are necessary and sufficient for the existence of a probability measure Q ...
Klaus Schürger
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