Results 81 to 90 of about 740,184 (197)

Finitely Additive Equivalent Martingale Measures [PDF]

Let L be a linear space of real bounded random variables on the probability space (omega,A, P0). There is a finitely additive probability P on A, such that P tilde P0 and EP (X) = 0 for all X in L, if and only if cEQ(X) = ess sup(-X), X in L, for some ...
Pietro Rigo, Luca Pratelli, Patrizia Berti   +2 more
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Bayesian Inference for Multivariate Monotone Densities

Scandinavian Journal of Statistics, Volume 53, Issue 3, Page 1206-1229, September 2026.
ABSTRACT We consider a nonparametric Bayesian approach to estimation and testing for a multivariate monotone density. Instead of following the conventional Bayesian approach of imposing a prior that satisfies the monotonicity restriction, we place a prior on the step heights via binning and a Dirichlet distribution. The resulting posterior distribution
Kang Wang, Subhashis Ghosal
wiley   +1 more source

Time-varying Lifting Structures For Single-tree Complexwavelet Transform [PDF]

, 2012
In this paper, we describe a single-tree complex wavelet transform method using time-varying lifting structures. In the dualtree complex wavelet transform (DT-CWT), two different filterbanks are executed in parallel to analyze a given input signal, which
A. Enis Cetin, Cetin, A. Enis, Furkan Keskin, Keskin, Furkan   +3 more
core   +1 more source

Decay of correlations and limit theorems for random intermittent maps

Journal of the London Mathematical Society, Volume 114, Issue 3, September 2026.
Abstract In this paper, we revisit the problem of polynomial memory loss and the central limit theorem (CLT) for time‐dependent LSV maps. More precisely, we show that for random LSV maps corresponding to a random parameter β(·)$\beta (\cdot)$ we obtain quenched memory loss, decay of correlations, CLTs with rates, moment bounds, and almost sure ...
Davor Dragičević, Yeor Hafouta, Juho Leppänen   +2 more
wiley   +1 more source

Operator-valued martingale transforms

Tohoku Mathematical Journal, 2000
Let \(B_1\) and \(B_2\) be two Banach spaces, \((\Omega,{\mathcal F}, \mathbb{F}= \{{\mathcal F}_n\}_{n\geq 1}, P)\) be a stochastic basis, \(f=\{f_n\}_{n\geq 1}\) be a \(B_1\)-valued martingale and \(\{v_n\}_{n\geq 1}\) be an \({\mathcal L}(B_1,B_2)\) valued \(\mathbb{F} \)-predictable uniformly bounded sequence.
Martínez, Teresa, Torrea, José L.
openaire   +3 more sources

Option pricing with discrete time jump processes [PDF]

In this paper we propose new option pricing models based on class of models with jump contain in the Lévy-type based models (NIG-Lévy, Merton-jump (Merton 1976) and Duan based model (Duan 2007)).
Hanjarivo Lalaharison, Dominique Guegan, Florian Ielpo   +2 more
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Weight martingale-ergodic and ergodic-martingale theorems [PDF]

, 2013
In this paper we prove weighted martingale-ergodic and weighted ergodic-martingale theorems. Furthermore, analogous dominant and maximal inequalities for weighted martingale ergodic sequences and weighted ergodic martingale averages are also ...
Othman, Raihan, Ganiev, Inomjon
core   +1 more source

Some Extremal Problems for Martingale Transforms. I

Journal of Mathematical Sciences
With this paper, we begin a series of studies of extremal problems for estimating distributions of martingale transforms of bounded martingales. The Bellman functions corresponding to such problems are pointwise minimal diagonally concave functions on a horizontal strip, satisfying certain given boundary conditions.
Vasyunin, V. I., Zatitskii, P. B.
openaire   +3 more sources

Generalized spectral tests for the martingale difference hypothesis. [PDF]

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, Carlos, Escanciano, Juan Carlos
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Testing for the martingale hypothesis in Asian stock prices: evidence from a new joint variance ratio test [PDF]

This paper tests for the martingale (or random walk) hypothesis in the stock prices of a group of Asian countries. The selected countries represent well-developed markets (Hong Kong and Japan) as well as emerging markets (Korea, Taiwan and Thailand ...
Jae H. Kim
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