Results 31 to 40 of about 65 (64)
On the Minimal Martingale Measure and the Föllmer-Schweizer Decomposition
, 1994 : We provide three characterizations of the minimal martingale measure b P associated to a given d-dimensional semimartingale X. In each case, b P is shown to be the unique solution of an optimization problem where one minimizes a certain functional over
Projektbereich B, Martin Schweizer
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Conditional exponential moments for iterated Wiener integrals
, 1999 We provide sharp exponential moment bounds for (Stratonovich) iterated stochastic integrals under conditioning by certain small balls, including balls in certain Holder-like norms of exponent greater than 1=3. The proof uses a control of the variation of
Ofer Zeitouni, Terry Lyons
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Skorohod stochastic integration with respect to non-adapted processes on Wiener space
, 2007 We define a Skorohod type anticipative stochastic integral that extends the Ito integral not only with respect to the Wiener process, but also with respect to a wide class of stochastic processes satisfying certain homogeneity and smoothness conditions ...
Wiener Space, Nicolas Privault
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Chaotic Kabanov formula for the Azéma martingales
, 2000 We derive the chaotic expansion of the product of n-th and first order multiple stochastic integrals with respect to certain normal martingales. This is done by application of the classical and quantum product formulas for multiple stochastic integrals ...
J.L. Solé, N. Privault, J. Vives
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Predicting Integrals of Stochastic Processes Using Space-Time Data
, 2008 Consider a stationary spatial process Z(x) = S(x) + ¸(x) on IR d where S(x) is the signal process and ¸(x) represents measurement errors. This paper studies asymptotic properties of the mean squared error for predicting the stochastic integral R D
Xu-feng Niu
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Convergence of the Euler Scheme for a Class of Stochastic Differential Equation
, 2001 : Stochastic differential equations provide a useful means of intro-ducing stochasticity into models across a broad range of systems from chem-istry to population biology.
Glenn Marion, Eric Renshaw, Xuerong Mao
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Stochastic Calculus with a Special Generalized Fractional Brownian Motion
This work is a first step toward developing a stochastic calculus theory with respect to the generalized fractional Brownian motion, which a recently introduced Gaussian process is extending both fractional and sub-fractional Brownian motions.
Zili, Mounir
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Martingale Characterizations of Stochastic Processes on Locally Compact Groups
, 1999 By a classical result of P. L'evy, the Brownian motion (B t ) t0 on R may be characterized as a continuous process on R such that (B t ) t0 and (B 2 t \Gamma t) t0 are martingales. Generalizations of this result are usually obtained in the setting
Michael Voit
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Between Strassen and Chung normalizations for Lévy's area process
, 2008 Let fL(t) : t 0g be L'evy's area process, let fl : R+ 7! R, and let fZ t : t 3g be the stochastic process defined by Z t (s) = L(ts)=(2t log log t); 0 s 1.
B. Rémillard +2 more
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, 1995 . Fix two rectangles A, B in [0, 1] N . Then the size of the random set of double points of the N-parameter Brownian motion (W t ) t#[0,1] N in R d , i.e.
Ferenc Weisz, Peter Imkeller
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