Results 21 to 30 of about 3,551 (159)
A Generalized Martingale Betting Strategy
Missouri Journal of Mathematical Sciences, 2009 A generalized martingale betting strategy is analyzed for which bets are increased by a factor of $m \geq 1$ after each loss, but return to the initial bet amount after each win. The average amount bet and the average final fortune are derived for sequences of $n$ bets, for the number of bets $T$ that results in the first win, and for $\min (T,\;n)$.
Neal, David K., Russell, Michael D.
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A martingale approach to general Franklin systems [PDF]
Studia Mathematica, 2006 We prove unconditionality of general Franklin systems in Lp(X), where X is a UMD space and where the general Franklin system corresponds to a quasi-dyadic, weakly regular sequence of knots.
Anna Kamont, Paul F. X. Müller
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Synonymity, Generalized Martingales, and Subfiltration
The Annals of Probability, 1984 The notion of synonymity of two processes X and Y refines the notion of ''X and Y having the same law'' by taking into account the relation of the processes to their underlying filtrations. Synonymity was introduced by \textit{D. J. Aldous} [Ecole d'Été de Saint-Flour 1983, to appear in Lect.
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Cylindrical Martingale Problems Associated with Lévy Generators [PDF]
Journal of Theoretical Probability, 2018 We introduce and discuss Lévy-type cylindrical martingale problems on separable reflexive Banach spaces. Our main observations are the following: Cylindrical martingale problems have a one-to-one relation to weak solutions of stochastic partial differential equations. Moreover, well-posed problems possess the strong Markov property and a Cameron-Martin-
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Invariant Measure and Universality of the 2D Yang–Mills Langevin Dynamic
Communications on Pure and Applied Mathematics, EarlyView.ABSTRACT We prove that the Yang–Mills (YM) measure for the trivial principal bundle over the two‐dimensional torus, with any connected, compact structure group, is invariant for the associated renormalised Langevin dynamic. Our argument relies on a combination of regularity structures, lattice gauge‐fixing and Bourgain's method for invariant measures ...
Ilya Chevyrev, Hao Shen
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Piecewise Constant Martingales and Lazy Clocks
, 2017 This paper discusses the possibility to find and construct \textit{piecewise constant martingales}, that is, martingales with piecewise constant sample paths evolving in a connected subset of $\mathbb{R}$.
Profeta, Christophe, Vrins, Frédéric
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Journal of Forecasting, EarlyView.ABSTRACT We study the accuracy of a variety of parametric price duration‐based realized variance estimators constructed via various financial duration models and compare their forecasting performance with the performance of various nonparametric return‐based realized variance estimators.
Björn Schulte‐Tillmann +2 more
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Time Integrals Under the Black–Scholes–Merton and Margrabe Economies
Journal of Futures Markets, EarlyView.ABSTRACT The problem of integrating the Black, Scholes, and Merton (BSM) formula with respect to the time variable is paramount for an economist. Inspired by the real options literature, Shackleton and Wojakowski offer analytic formulae for valuing finite maturity (profit) caps and floors that are contingent on continuous flows following a lognormal ...
José Carlos Dias +3 more
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Stability results for martingale representations: The general case
Transactions of the American Mathematical Society, 2019 In this paper, we obtain stability results for martingale representations in a very general framework. More specifically, we consider a sequence of martingales, each adapted to its own filtration, and a sequence of random variables measurable with respect to those filtrations.
Papapantoleon, Antonis +2 more
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Models of Viscous Fluids Generated by Martingales on the Groups of Diffeomorphisms
Journal of Computational and Engineering Mathematics, 2023 Summary: We study two martingales on the group of Sobolev diffeomorphisms of the flat \(n\)-dimensional torus, they both are described by systems of two special equations with mean derivatives. The first one describes a solution of the Burgers equation on the torus that also satisfies an analog of continuity equation.
Gliklikh, Yuriĭ Evgen'evich +1 more
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