Results 21 to 30 of about 66,313 (214)
Exact bounds for tail probabilities of martingales with bounded differences
Lietuvos Matematikos Rinkinys, 2009 We consider random walks, say Wn = {0, M1, . . ., Mn} of length n starting at 0 and based on a martingale sequence Mk = X1 + ··· + Xk with differences Xm. Assuming |Xk| \leq 1 we solve the isoperimetric problem Bn(x) = supP\{Wn visits an interval [x,∞
Dainius Dzindzalieta
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ESAIM: Proceedings and Surveys, 2017 When the martingale representation property holds, we call any local martingale which realizes the representation a representation process. There are two properties of the representation process which can greatly facilitate the computations under the ...
Song Shiqi
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Equivalent Locally Martingale Measure for the Deflator Process on Ordered Banach Algebra
Journal of Mathematics, 2020 This paper aims at determining the measure of Q under necessary and sufficient conditions. The measure is an equivalent measure for identifying the given P such that the process with respect to P is the deflator locally martingale.
Boushra Y. Hussein
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A Stochastic Gronwall Lemma [PDF]
, 2013 We prove a stochastic Gronwall lemma of the following type: if $Z$ is an adapted nonnegative continuous process which satisfies a linear integral inequality with an added continuous local martingale $M$ and a process $H$ on the right hand side, then for ...
Scheutzow, Michael
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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 +4 more
wiley +1 more source
Stochastic models of simple controlled systems just-in-time
Vestnik Samarskogo Gosudarstvennogo Tehničeskogo Universiteta. Seriâ: Fiziko-Matematičeskie Nauki, 2018 We propose a new and simple approach for the mathematical description of a stochastic system that implements the well-known just-in-time principle. This principle (abbreviated JIT ) is also known as a just-in-time manufacturing or Toyota Production ...
Alexander A Butov, Anatoly A Kovalenko
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Martingale Option Pricing [PDF]
, 2007 We show that our generalization of the Black-Scholes partial differential equation (pde) for nontrivial diffusion coefficients is equivalent to a Martingale in the risk neutral discounted stock price.
Bassler, K. E. +2 more
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Conformal Test Martingale-Based Change-Point Detection for Geospatial Object Detectors
Applied Sciences, 2023 Unsupervised domain adaptation for object detectors addresses the problem of improving the cross-domain robustness of object detection from label-rich to label-poor domains, which has been explored in many studies.
Gang Wang +4 more
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$G$-martingale representation in the $G$-L'evy setting [PDF]
, 2014 In this paper we give the decomposition of a martingale under the sublinear expectation associated with a $G$-L'evy process X with finite activity and without drift. We prove that such a martingale consists of an Ito integral w.r.t. continuous part of a $
Paczka, Krzysztof
core
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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