Results 61 to 70 of about 18,905 (246)
Strong Law of Large Numbers of Pettis-Integrable Multifunctions
Journal of Mathematics, 2019 Using reversed martingale techniques, we prove the strong law of large numbres for independent Pettis-integrable multifunctions with convex weakly compact values in a Banach space.
Hamid Oulghazi, Fatima Ezzaki
doaj +1 more source
Detecting Periodicity of a General Stationary Time Series via AR(2)‐Model Fitting
Journal of Time Series Analysis, EarlyView.ABSTRACT Estimating the periodicity of a stationary time series via fitting a second‐order stationary autoregressive (AR(2)) model has been initiated by the seminal paper of Yule (1927). We investigate properties of this procedure when applied to general stationary processes possessing a spectral density with a dominant peak at some unknown frequency ...
Jens‐Peter Kreiss +2 more
wiley +1 more source
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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Are MENA and Pacific Basin Stock Equity Markets Predictable?
SAGE Open, 2014 This research uses variance ratio analysis to test whether Middle Eastern, North African (MENA) and Pacific Basin emerging equity markets follow a martingale behavior during the period1980-2004.
Fathia Elleuch Lahyani
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Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
wiley +1 more source
The Annals of Probability, 1977 We show that every discrete-time martingale can be interpolated to give a continuous, continuous-time martingale, and provide a necessary and sufficient condition for the existence of an interpolated martingale with no flat spots.
openaire +3 more sources
A Test of the Martingale Hypothesis [PDF]
This paper proposes a statistical test of the martingale hypothesis. It can be used to test whether a given time series is a martingale process against certain non-martingale alternatives.
Whang, Yoon-Jae, Park, Joon Y.
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On the asymptotic events of a Markov chain
International Journal of Mathematics and Mathematical Sciences, 1979 In this paper we investigate some structure properties of the tail σ-field and the invariant σ-field of both homogeneous and nonhomogeneous Markov chains as representations for asymptotic events, descriptions of completely nonatomic and atomic sets and ...
Harry Cohn
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The fundamental theorem of asset pricing with and without transaction costs
Mathematical Finance, Volume 35, Issue 2, Page 567-609, April 2025.Abstract We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its ...
Christoph Kühn
wiley +1 more source
PROJECTIVE SYSTEM APPROACH TO THE MARTINGALE CHARACTERIZATION OF THE ABSENCE OF ARBITRAGE [PDF]
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
María José Muñoz-Bouzo +2 more
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