Results 21 to 30 of about 44,017 (164)
Goodness-of-fit tests for imperfect maintenance models based on Martingale residuals, varentropy, and probability integral transform [PDF]
Journal of Mahani Mathematical ResearchIn recent years, various goodness-of-fit tests have been developed to identify the underlying distribution of failure data. In this paper, we extend the application of such tests to evaluate the adequacy of imperfect maintenance models for engineering ...
Fattaneh Nezmpour +2 more
doaj +1 more source
A martingale bound for the entropy associated with a trimmed filtration on $\mathbb {R}^d$
, 2015 Using martingale methods, we provide bounds for the entropy of a probability measure on $\mathbb {R}^d$ with the right-hand side given in a certain integral form.
Kulik, Alexei, Tymoshkevych, Taras
core +1 more source
Conditional convex orders and measurable martingale couplings [PDF]
, 2015 Strassen's classical martingale coupling theorem states that two real-valued random variables are ordered in the convex (resp.\ increasing convex) stochastic order if and only if they admit a martingale (resp.\ submartingale) coupling.
Leskelä, Lasse, Vihola, Matti
core +1 more source
Evaluating probability forecasts
, 2012 Probability forecasts of events are routinely used in climate predictions, in forecasting default probabilities on bank loans or in estimating the probability of a patient's positive response to treatment.
Gross, Shulamith T. +2 more
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Pricing Chinese Convertible Bonds with Default Intensity by Monte Carlo Method
Discrete Dynamics in Nature and Society, 2019 This article proposes a new way to price Chinese convertible bonds by the Longstaff-Schwartz Least Squares Monte Carlo simulation. The default intensity and the volatility are the two important parameters, which are difficultly obtained in the emerging ...
Xin Luo, Jinlin Zhang
doaj +1 more source
On the functional central limit theorem via martingale approximation
, 2011 In this paper, we develop necessary and sufficient conditions for the validity of a martingale approximation for the partial sums of a stationary process in terms of the maximum of consecutive errors.
Gordin, Mikhail, Peligrad, Magda
core +1 more source
Finitely additive probabilities and the Fundamental Theorem of Asset Pricing [PDF]
, 2009 This work aims at a deeper understanding of the mathematical implications of the economically-sound condition of absence of arbitrages of the first kind in a financial market.
Kardaras, Constantinos
core +1 more source
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
wiley +1 more source
Filtration shrinkage, strict local martingales and the F\"{o}llmer measure
, 2014 When a strict local martingale is projected onto a subfiltration to which it is not adapted, the local martingale property may be lost, and the finite variation part of the projection may have singular paths.
Larsson, Martin
core +1 more source
Journal of Forecasting, EarlyView.ABSTRACT We study the accuracy of a variety of parametric price duration‐based realized variance estimators constructed via various financial duration models and compare their forecasting performance with the performance of various nonparametric return‐based realized variance estimators.
Björn Schulte‐Tillmann +2 more
wiley +1 more source