Results 11 to 20 of about 18,905 (246)
Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging* [PDF]
ESAIM: Proceedings and Surveys, 2014 In the recent literature, martingale inequalities have been emphasized to be induced by pathwise inequalities independently of any reference probability measure on the paths space.
Touzi Nizar
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Martingale-coboundary decomposition for families of dynamical systems [PDF]
, 2017 We prove statistical limit laws for sequences of Birkhoff sums of the type ∑j=0n-1vn(ring operator)Tnj where Tn is a family of nonuniformly hyperbolic transformations.The key ingredient is a new martingale-coboundary decomposition for nonuniformly ...
Z Kosloff (21882239) +2 more
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On the martingale property of certain local martingales [PDF]
Probability Theory and Related Fields, 2010 Appendix on local time of diffusions added; 27 pages, 1 figure; to appear in ...
Mijatovic, A, Urusov, M
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Projective system approach to the martingale characterization of the absence of arbitrage [PDF]
, 2001 The equivalence between the absence of arbitrage and the existence of an equivalent martingale measure fails when an infinite number of trading dates is considered. By enlarging the set of states of nature and the probability measure through a projective
Balbás, Alejandro +2 more
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Nonparametric Assessment of the Calibration of Individualized Treatment Effects. [PDF]
Stat MedABSTRACT An important aspect of the performance of algorithms that predict individualized treatment effects (ITEs) is moderate calibration, that is, the average treatment effect among individuals with predicted treatment effect of z being equal to z. The assessment of moderate calibration is a challenging task on two fronts: counterfactual responses ...
Sadatsafavi M +3 more
europepmc +2 more sources
Testing the martingale difference hypothesis using integrated regression functions [PDF]
, 2006 An omnibus test for testing a generalized version of the martingale difference hypothesis (MDH) is proposed. This generalized hypothesis includes the usual MDH, testing for conditional moments constancy such as conditional homoscedasticity (ARCH effects)
Velasco Gómez, Carlos +6 more
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Generalized spectral tests for the martingale difference hypothesis [PDF]
, 2006 This article proposes a test for the martingale difference hypothesis (MDH) using dependence measures related to the characteristic function. The MDH typically has been tested using the sample autocorrelations or in the spectral domain using the ...
Velasco Gómez, Carlos +4 more
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Electronic Communications in Probability, 2012 Corrected several typos, improved formulations. Accepted by Electronic Communications in Probability; Electronic Communications in Probability, 2012, Volume 17, Issue ...
Perkowski, Nicolas, Ruf, Johannes
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Martingale Morrey-Campanato Spaces and Fractional Integrals
Journal of Function Spaces and Applications, 2012 We introduce Morrey-Campanato spaces of martingales and give their basic properties. Our definition of martingale Morrey-Campanato spaces is different from martingale Lipschitz spaces introduced by Weisz, while Campanato spaces contain Lipschitz spaces ...
Eiichi Nakai, Gaku Sadasue
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Vestnik Samarskogo Gosudarstvennogo Tehničeskogo Universiteta. Seriâ: Fiziko-Matematičeskie Nauki, 2019 The paper proposes a method for constructing models based on the analysis of birth and death processes with linear growth in semimartingale terms.
Aleksander Aleksandrovich Butov +1 more
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