Results 41 to 50 of about 740,184 (197)

A Sharp Estimate on the Norm of the Martingale Transform [PDF]

Mathematical Research Letters, 2000
While the boundedness of singular integral operators on \( L^2_w\) for \( w\) in the Muckenhoupt class \( A_2\) has been known for many years, the precise dependence of the operator bound on the \( A_2\) constant still is not known. Haar multipliers supply a natural model for singular integral operators on \( \mathbb R\) and techniques developed in the
openaire   +1 more source

On Selection of Cross‐Section Averages in Non‐Stationary Environments

Journal of Time Series Analysis, EarlyView.
ABSTRACT Information criteria (ICs) have been widely used in factor models to estimate an unknown number of latent factors. It has recently been shown that ICs perform well in Common Correlated Effects (CCE) and related settings when selecting a set of cross‐section averages (CAs) sufficient for the factor space under stationary factors.
Jan Ditzen, Ovidijus Stauskas
wiley   +1 more source

Finite-Horizon Optimal Consumption and Investment with Upper and Lower Constraints on Consumption

Mathematics
We study a finite-horizon optimal consumption and investment problem in a complete continuous-time market where consumption is restricted within fixed upper and lower bounds. Assuming constant relative risk aversion (CRRA) preferences, we employ the dual-
Geonwoo Kim, Junkee Jeon
doaj   +1 more source

Empirical‐Process Limit Theory and Filter Approximation Bounds for Score‐Driven Time Series Models

Journal of Time Series Analysis, EarlyView.
ABSTRACT This article examines the filtering and approximation‐theoretic properties of score‐driven time series models. Under specific Lipschitz‐type and tail conditions, new results are derived, leading to maximal and deviation inequalities for the filtering approximation error using empirical process theory.
Enzo D'Innocenzo
wiley   +1 more source

On Testing for Independence Between Generalized Error Models of Several Time Series

Journal of Time Series Analysis, EarlyView.
ABSTRACT We define generalized innovations associated with generalized error models having arbitrary distributions, that is, distributions that can be mixtures of continuous and discrete distributions. These models include stochastic volatility models and regime‐switching models with possibly zero‐inflated regimes.
Kilani Ghoudi, Bouchra R. Nasri, Bruno N. Rémillard   +2 more
wiley   +1 more source

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, Luca Di Persio, Francesco Guida, Sara Svaluto‐Ferro   +3 more
wiley   +1 more source

A proof of the Burkholder theorem for martingale transforms [PDF]

Proceedings of the American Mathematical Society, 1981
If g g is the transform of an
openaire   +1 more source

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

Optimal Portfolio Choice With Cross‐Impact Propagators

Mathematical Finance, EarlyView.
ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber, Eyal Neuman, Sturmius Tuschmann   +2 more
wiley   +1 more source

Rough semimartingales and $p$-variation estimates for martingale transforms [PDF]

, 2022
We establish a new scale of $p$-variation estimates for martingale paraproducts, martingale transforms, and It\^o integrals, of relevance in rough paths theory, stochastic, and harmonic analysis.
Friz, Peter K., Zorin-Kranich, Pavel, Friz, Peter   +2 more
core   +1 more source