Results 41 to 50 of about 44,017 (164)
Synthesizing Probabilistic Invariants via Doob's Decomposition
, 2016 When analyzing probabilistic computations, a powerful approach is to first find a martingale---an expression on the program variables whose expectation remains invariant---and then apply the optional stopping theorem in order to infer properties at ...
Barthe, Gilles +3 more
core +1 more source
Discretization methods for homogeneous fragmentations [PDF]
, 2004 Homogeneous fragmentations describe the evolution of a unit mass that breaks down randomly into pieces as time passes. They can be thought of as continuous time analogs of a certain type of branching random walks, which suggests the use of time ...
Bertoin, Jean, Rouault, Alain
core +5 more sources
A Comparative Review of Specification Tests for Diffusion Models
International Statistical Review, EarlyView.Summary Diffusion models play an essential role in modelling continuous‐time stochastic processes in the financial field. Therefore, several proposals have been developed in the last decades to test the specification of stochastic differential equations.
A. López‐Pérez +3 more
wiley +1 more source
The Cantor set in probability theory [PDF]
, 1991 The present paper discusses some aspects of the role of the Cantor set in probability theory. It contains a simple construction of the Cantor set which is used to construct a singular-continuous distribution and a singular ...
Schmidt, Klaus D.
core
Polar Codes with exponentially small error at finite block length [PDF]
, 2018 We show that the entire class of polar codes (up to a natural necessary condition) converge to capacity at block lengths polynomial in the gap to capacity, while simultaneously achieving failure probabilities that are exponentially small in the block ...
Błasiok, Jarosław +2 more
core +2 more sources
What Are Asset Price Bubbles? A Survey on Definitions of Financial Bubbles
Journal of Economic Surveys, EarlyView.ABSTRACT Financial bubbles and crashes have repeatedly caused economic turmoil notably but not just during the 2008 financial crisis. However, both in the popular press as well as scientific publications, the meaning of bubble is sometimes unspecified.
Michael Heinrich Baumann +1 more
wiley +1 more source
Capacity and delay performance analysis for large-scale UAV-enabled wireless networks
Digital Communications and NetworksIn this paper, we analyze the capacity and delay performance of a large-scale Unmanned Aerial Vehicle (UAV)-enabled wireless network, in which untethered and tethered UAVs deployed with content files move along with mobile Ground Users (GUs) to satisfy ...
Bonan Yin, Chenxi Liu, Mugen Peng
doaj +1 more source
Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice
The Journal of Finance, EarlyView.ABSTRACT We study aversion to model ambiguity and misspecification in dynamic portfolio choice. Risk‐averse investors (relative risk aversion γ>1$\gamma > 1$) fear return persistence, while risk‐tolerant investors (0<γ<1$0<\gamma <1$) fear mean reversion, when confronting model misspecification concerns of identically and independently distributed (IID)
PASCAL J. MAENHOUT +2 more
wiley +1 more source
Explicit Description of HARA Forward Utilities and Their Optimal Portfolios [PDF]
, 2013 This paper deals with forward performances of HARA type. Precisely, for a market model in which stock price processes are modeled by a locally bounded $d$-dimensional semimartingale, we elaborate a complete and explicit characterization for this type of ...
Choulli, Tahir, Ma, Junfeng
core
A vector Girsanov result and its applications to conditional measures via the Birkhoff integrability
, 2019 Some integration techniques for real-valued functions with respect to vector measures with values in Banach spaces (and viceversa) are investigated in order to establish abstract versions of classical theorems of Probability and Stochastic Processes ...
Candeloro, Domenico +2 more
core +1 more source