Results 71 to 80 of about 740,184 (197)
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
core
BMO and commutators of martingale transforms [PDF]
Annales de l'Institut Fourier, 1981 The commutator of multiplication by a function and a martingale transform of a certain type is a bounded operator on L p ,
openaire +2 more sources
Martingale Transformations of Jump Processes
, 2022 We provide a large class of functions and their respective parameters to transform a jump-process into a martingale w.r.t. its natural filtration. The proofs are based on a discrete Doob-decomposition and a limiting procedure to continuous time, in turn resulting in a time-continuous Doob-Meyer decomposition.
Scheld, Marius +1 more
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Solar Energy Risks: Stochastic Radiation Modeling and Optimal Hedging Strategies
Mathematical Finance, Volume 36, Issue 4, Page 663-699, October 2026.ABSTRACT The growing integration of solar power into electricity markets increasingly demands advanced risk management tools to address the inherent variability of solar radiation and its interaction with electricity prices. This paper introduces a novel framework for modeling and pricing new financial instruments designed to link payoffs directly to ...
Silvia Romagnoli, Beniamino Sartini
wiley +1 more source
On weak weighted estimates of martingale transform
, 2016 25 ...
Nazarov, Fedor +3 more
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Socioeconomic Status, Alcohol Use, and Mortality: Results From a Prospective Cohort Study
Alcohol, Clinical and Experimental Research, Volume 50, Issue 9, September 2026.This study examines associations of income and education, self‐reported alcohol use and alcohol biomarkers with all‐cause mortality using data from the Study of Health in Pomerania (SHIP). We observed a social gradient that was attenuated, but not fully explained by alcohol use, biomarkers, and further risk factors.
Ida Butovetsky +6 more
wiley +1 more source
Esscher transforms and the minimal entropy martingale measure for exponential Levy models [PDF]
, 2006 In this paper we offer a systematic survey and comparison of the Esscher martingale transform for linear processes, the Esscher martingale transform for exponential processes, and the minimal entropy martingale measure for exponential Levy models, and ...
Hubalek, Friedrich +4 more
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Survival Analysis of Fatigue Lifetime in Aged Elastomers Using Weibull and Cox Regression Models
Fatigue &Fracture of Engineering Materials &Structures, Volume 49, Issue 9, Page 3854-3873, September 2026.ABSTRACT Fatigue tests conducted on elastomers inherently exhibit significant variability. Aging may induce stiffening and embrittlement, leading to premature failures outside the specimen gauge length and resulting in right‐censored data. Combined with the limited number of specimens, this leads to large uncertainties in fatigue lifetime estimation ...
M. Caillat +4 more
wiley +1 more source
Testing the martingale difference hypothesis using integrated regression functions. [PDF]
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, Carlos, Escanciano, Juan Carlos
core
Liver International, Volume 46, Issue 9, September 2026.ABSTRACT Background & Aims Prognostic non‐invasive tests for liver‐related events in compensated cirrhosis are needed. Endotrophin, a fragment of type VI alpha 3 collagen involved in fibrosis and inflammation, has been associated with adverse outcomes in several chronic diseases.
Thomas Wiggers +7 more
wiley +1 more source