Results 101 to 110 of about 18,905 (246)
Supplement to ``Martingale properties of self-enforcing debt'' [PDF]
We present some complementary results to Bidian and Bejan (2012). Part 1 provides necessary and sufficient transversality conditions for an agent's optimization problem.
Bejan, Camelia, Bidian, Florin
core
Research in StatisticsA sequential procedure is developed to construct a fixed accuracy confidence interval (CI) of the common unknown variance of the random observations, where the observations arise from a first-order stationary autoregressive (AR(1)) process with a ...
Rahul Bhattacharya +3 more
doaj +1 more source
Frequency‐dependent contraction rates for the Bayesian method to the inverse source problem
Transactions of the London Mathematical Society, Volume 13, Issue 1, December 2026.Abstract This paper addresses an inverse source problem for acoustic waves in a range of frequencies. Our study has two main goals. First, although the problem is severely ill‐posed with a logarithmic stability estimate, we demonstrate, through careful analysis of the forward map's singular values, that increasing the frequency range enhances stability,
Pu‐Zhao Kow, Jenn‐Nan Wang
wiley +1 more source
Mean-Variance Hedging under Additional Market Information [PDF]
In this paper we analyse the mean-variance hedging approach in an incomplete market under the assumption of additional market information, which is represented by a given, finite set of observed prices of non-attainable contingent claims.
Frank Thierbach
core
Martingalized Historical approach for Option Pricing [PDF]
In a discrete time option pricing framework, we compare the empirical performance of two pricing methodologies, namely the affine stochastic discount factor (SDF) and the empirical martingale correction methodologies.
Dominique Guegan +2 more
core +2 more sources
Convergence Theorems for Partial Sums of Arbitrary Stochastic Sequences
Journal of Inequalities and Applications, 2010 By using Doob's martingale convergence theorem, this paper presents a class of strong limit theorems for arbitrary stochastic sequence. Chow's two strong limit theorems for martingale-difference sequence and Loève's and Petrov's strong limit ...
Wang Xiaosheng, Guo Haiying
doaj
The SIR Model in a Moving Population: Propagation of Infection and Herd Immunity
Communications on Pure and Applied Mathematics, Volume 79, Issue 11, Page 2375-2429, November 2026.ABSTRACT In a collection of particles performing independent random walks on Zd$\mathbb {Z}^d$ we study the spread of an infection with SIR dynamics. Susceptible particles become infected when they meet an infected particle. Infected particles heal and are removed at rate ν$\nu$.
Duncan Dauvergne, Allan Sly
wiley +1 more source
Martingale-Like Behavior of Prices [PDF]
Asset prices set in a competitive market need not be martingales; that is, it need not be true that the best predictor of future prices is the current price.
Christopher A. Sims
core
Martingales and arbitrage: a new look [PDF]
, 2003 This paper addresses the equivalence between the absence of arbitrage and the existence of equivalent martingale measures. The equivalence will be established under quite weak assumptions since there are no conditions on the set of trading dates (it may ...
Balbás, Alejandro
core +1 more source
Long-Time Behavior of Galton–Watson Systems with Circular Mechanism
MathematicsLet {Zn:n≥0} be a Galton–Watson system with a circular mechanism a∗b, where a={aj}j=0∞ and b={bj}j=0∞ are probability distributions on Z+:={0,1,2,⋯}. Let ma:=∑j=0∞jaj, mb:=∑j=0∞jbj. The extinction property of such branching systems is first studied. Then,
Junping Li, Mixuan Hou
doaj +1 more source