Results 11 to 20 of about 3,551 (159)

Martingale representation in the enlargement of the filtration generated by a point process [PDF]

Stochastic Processes and their Applications, 2021
Let $X$ be a point process and let $\mathbb{X}$ denote the filtration generated by $X$. In this paper we study martingale representation theorems in the filtration $\mathbb{G}$ obtained as an initial and progressive enlargement of the filtration $\mathbb{X}$. The progressive enlargement is done here by means of a whole point process $H$.
Di Tella, Paolo, Jeanblanc, Monique
openaire   +3 more sources

On the Martingale Property for Generalized Stochastic Processes [PDF]

Stochastics and Stochastic Reports, 1995
In the recent years, several groups have studied stochastic equations (e.g. SDE's, SPDE's, stochastic Volterra equations) outside the framework of the Ito calculus. Often, this led to solutions in spaces of generalized random processes or fields. It is therefore of interest to study the probabilistic properties of generalized stochastic processes, and ...
Benth, Fred Espen, Potthoff, Jürgen
openaire   +3 more sources

Non-Existence of Stabilizing Policies for the Critical Push-Pull Network and Generalizations [PDF]

, 2013
The push-pull queueing network is a simple example in which servers either serve jobs or generate new arrivals. It was previously conjectured that there is no policy that makes the network positive recurrent (stable) in the critical case.
Asmussen, Baccelli, Bramson, Chen, Dai, Dai, Dai, Gamarnik, Kopzon, Kopzon, Leonardo Rojas-Nandayapa, Meyn, Meyn, Nazarathy, Norris, Thomas S. Salisbury, Williams, Yoni Nazarathy   +17 more
core   +2 more sources

Martingale Property of Generalized Stochastic Exponentials [PDF]

, 2012
For a real Borel measurable function b, which satisfies certain integrability conditions, it is possible to define a stochastic integral of the process b(Y) with respect to a Brownian motion W, where Y is a diffusion driven by W. It is well know that the stochastic exponential of this stochastic integral is a local martingale. In this paper we consider
Mijatovic, Aleksandar, Novak, Nika, Urusov, Mikhail   +2 more
openaire   +2 more sources

User-friendly tail bounds for sums of random matrices [PDF]

, 2010
This paper presents new probability inequalities for sums of independent, random, self-adjoint matrices. These results place simple and easily verifiable hypotheses on the summands, and they deliver strong conclusions about the large-deviation behavior ...
A. Buchholz, A. Buchholz, A. Dembo, A. Nemirovski, A. Sankar, B.N. Parlett, C. McDiarmid, D. Achlioptas, D. Cristofides, D. Gross, D. Petz, D.A. Freedman, E. Candès, E.G. Effros, E.H. Lieb, F. Hansen, F. Lust-Piquard, F. Lust-Piquard, G. Lindblad, G. Pisier, H. Chernoff, H. Epstein, J.A. Tropp, J.A. Tropp, Joel A. Tropp, K.R. Davidson, M. Junge, M. Junge, M. Ledoux, M. Rudelson, M. Rudelson, M.B. Ruskai, N. Ailon, N. Halko, N. Tomczak-Jaegermann, N.J. Higham, P. Massart, R. Ahlswede, R. Bhatia, R. Bhatia, R. Latała, R. Motwani, R.A. Horn, R.A. Horn, R.I. Oliveira, V. Bogdanov, V.H. Peña de la, V.I. Paulsen, Y. Gordon, Y. Gordon, Y. Seginer   +50 more
core   +6 more sources

Local asymptotics for controlled martingales [PDF]

, 2016
We consider controlled martingales with bounded steps where the controller is allowed at each step to choose the distribution of the next step, and where the goal is to hit a fixed ball at the origin at time $n$. We show that the algebraic rate of decay (
Armstrong, Scott N., Zeitouni, Ofer
core   +3 more sources

Martingale Convergence of Generalized Conditional Expectations

Journal of Functional Analysis, 1993
A martingale convergence theorem for generalized conditional expectations is considered. It is, in its essence, a theorem on the convergence of the modular structures associated to a decreasing (increasing) sequence of von Neumann algebras, to the corresponding modular structures associated to the intersection (closure of the union) of the given ...
ACCARDI, LUIGI, LONGO, ROBERTO
openaire   +3 more sources

Assessing the role of spatial externalities in the survival of Italian innovative startups

Regional Science Policy &Practice, EarlyView., 2023
Abstract The paper provides novel empirical evidence about the effects of spatial externalities on the survival of innovative startups in Italy. Using geocoded firm‐level data, we build micro‐geographic measures of specialization and diversity that are robust to the modifiable areal unit problem.
Diego Giuliani, Daniele Toffoli, Maria Michela Dickson, Andrea Mazzitelli, Giuseppe Espa   +4 more
wiley   +1 more source

Fractional Brownian fields, duality, and martingales

, 2006
In this paper the whole family of fractional Brownian motions is constructed as a single Gaussian field indexed by time and the Hurst index simultaneously. The field has a simple covariance structure and it is related to two generalizations of fractional
Dobrić, Vladimir, Ojeda, Francisco M.
core   +2 more sources

Rosenthal-type inequalities for the maximum of partial sums of stationary processes and examples

, 2013
The aim of this paper is to propose new Rosenthal-type inequalities for moments of order higher than 2 of the maximum of partial sums of stationary sequences including martingales and their generalizations.
Merlevède, Florence, Peligrad, Magda
core   +4 more sources