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Testing the martingale difference hypothesis using integrated regression functions [PDF]
, 2006 An omnibus test for testing a generalized version of the martingale difference hypothesis (MDH) is proposed. This generalized hypothesis includes the usual MDH, testing for conditional moments constancy such as conditional homoscedasticity (ARCH effects)
Velasco Gómez, Carlos +6 more
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Inequality for Burkholder’s martingale transform [PDF]
Analysis & PDE, 2015 34 pages, 13 ...
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Perturbation of Burkholder’s martingale transform and Monge–Ampère equation [PDF]
, 2011 Given a sequence of martingale differences, Burkholder found the sharp constant for the Lp-norm of the corresponding martingale transform. We are able to determine the sharp Lp-norm of a small “quadratic perturbation” of the martingale transform in Lp ...
Boros, Nicholas +5 more
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Quantum Stochastic Cable Equation Acting on Functionals of Discrete-Time Normal Martingales
Advances in Mathematical Physics, 2019 Let M be a discrete-time normal martingale satisfying some mild conditions. Then Gel’fand triple S(M)⊂L2(M)⊂S⁎(M) can be constructed of functionals of M, where elements of S(M) are called testing functionals of M, while elements of S⁎(M) are called ...
Yuling Tang +3 more
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Martingale Transforms and Their Projection Operators on Manifolds [PDF]
Potential Analysis, 2012 We prove the boundedness on $L^p ...
Bañuelos, Rodrigo, Baudoin, Fabrice
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Pricing Vulnerable Options with Market Prices of Common Jump Risks under Regime-Switching Models
Discrete Dynamics in Nature and Society, 2018 This paper investigates the valuation of vulnerable European options considering the market prices of common systematic jump risks under regime-switching jump-diffusion models.
Miao Han +3 more
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Generalized spectral tests for the martingale difference hypothesis [PDF]
, 2006 This article proposes a test for the martingale difference hypothesis (MDH) using dependence measures related to the characteristic function. The MDH typically has been tested using the sample autocorrelations or in the spectral domain using the ...
Velasco Gómez, Carlos +4 more
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Regression Model Fitting for the Interval Censored 1 Responses
Austrian Journal of Statistics, 2016 In the interval censored case 1 data, an event occurrence time is unobservable, but one observes an inspection time and whether the event has occurred prior to this time or not. Such data is also known as the interval censored case 1 data.
Hira L. Koul, Tingting Yi
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Conjugate martingale transforms [PDF]
Studia Mathematica, 1992 Summary: Characterizations of \(H_ 1\), BMO and VMO martingale spaces generated by bounded Vilenkin systems via conjugate martingale transforms are studied.
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On the Iterated Martingale Transforms.
Interdisciplinary Information Sciences, 2000 Let \(f= (f_n, n\geq 0)\) be an \((P,\mathbb{F})\)-martingale on some filtered probability space \((\Omega,{\mathcal F},\mathbb{F}, P)\), \(I^{(m)}_n= \sum^n_{j=1} I^{(m-1)}_{j-1}(f_j- f_{j-1})\), \(I^{(m)}_0= 0\), \(n\geq 0\), \(m\geq 0\), where \(I^{(0)}_n\equiv 1\) and \(I^{(1)}_n= f_n\), \(n\geq 0\). It is proved that for \(1\leq p 0\).
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