Results 51 to 60 of about 66,313 (214)
Martingale Morrey-Hardy and Campanato-Hardy Spaces
Journal of Function Spaces and Applications, 2013 We introduce generalized Morrey-Campanato spaces of martingales, which generalize both martingale Lipschitz spaces introduced by Weisz (1990) and martingale Morrey-Campanato spaces introduced in 2012.
Eiichi Nakai +2 more
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A Note on the Strong Predictable Representation Property and Enlargement of Filtration
Mathematics, 2022 The strong predictable representation property of semi-martingales and the notion of enlargement of filtration meet naturally in modeling financial markets, and theoretical problems arise.
Antonella Calzolari, Barbara Torti
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The RAND Journal of Economics, EarlyView.ABSTRACT A platform matches a unit mass of sellers, each owning a single product of heterogeneous quality, to a unit mass of buyers with differing valuations for unit‐quality. After matching, sellers make take‐it‐or‐leave‐it price‐offers to buyers. Initially, valuations of buyers are only known to them and the platform, but sellers make inferences from
Daniele Condorelli, Balazs Szentes
wiley +1 more source
IEEE Open Journal of the Communications SocietySAGIN realizes seamless 6G coverage and highly reliable ubiquitous connectivity via multi-dimensional collaboration. However, the analysis of multi-node latency based on static assumptions fails to reflect the dynamic variations in service.
Hui Yang +3 more
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Complete Convergence for Moving Average Process of Martingale Differences
Discrete Dynamics in Nature and Society, 2012 Under some simple conditions, by using some techniques such as truncated method for random variables (see e.g., Gut (2005)) and properties of martingale differences, we studied the moving process based on martingale differences and obtained complete ...
Wenzhi Yang, Shuhe Hu, Xuejun Wang
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Idiosyncratic asset return and wage risk of US households
Economic Inquiry, Volume 63, Issue 2, Page 636-657, April 2025.Abstract This paper documents the degree of idiosyncratic asset return heterogeneity, serial correlation, and correlation with wage heterogeneity for US households. Novel panel‐data measurements for returns on household assets are proposed. Sizable transitory idiosyncratic return heterogeneity is documented to exist concurrently with permanent ...
Stephen Snudden
wiley +1 more source
Optimal Stopping and Utility in a Simple Modelof Unemployment Insurance
Risks, 2019 Managing unemployment is one of the key issues in social policies. Unemployment insurance schemes are designed to cushion the financial and morale blow of loss of job but also to encourage the unemployed to seek new jobs more proactively due to the ...
Jason S. Anquandah, Leonid V. Bogachev
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Closed‐Form Optimal Investment Under Generalized GARCH Models
European Financial Management, EarlyView.ABSTRACT This paper introduces a new class of stochastic volatility models for asset prices, the generalized Heston Nandi GARCH (GHN‐GARCH), with the primary objective of optimal dynamic asset allocation under expected utility theory for constant relative risk aversion investors. We study some of its theoretical properties, and demonstrate that the GHN‐
Marcos Escobar‐Anel +2 more
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Boundary Value ProblemsThe existence of global martingale solutions to a stochastic degenerate cross-diffusion system is shown. Previous results have shown that for some non-degenerate stochastic cross-diffusion systems, martingale solutions exist.
Xi Lin
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A note on dilations and martingales
International Journal of Mathematics and Mathematical Sciences, 1993 The purpose of this note is to investigate the effect of dilations on martingales and to give conditions under which a dilated martingale will retain the martingale property.
Martin L. Jones
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