Results 101 to 110 of about 5,443 (259)

A note on polarization martingales [PDF]

, 2014
Date of Conference: 29 June-4 July 2014Conference Name: International Symposium on Information Theory, IEEE 2014Polarization results rely on martingales of mutual information and entropy functions.
Erdal Arikan, Arıkan, Erdal
core   +1 more source

Casi-ortogonalidad y proximidad en L2 de martingalas pii en casi intervalos

Revista de Matemática: Teoría y Aplicaciones, 2009
It was introduced in [2] the notion of prOcess with independent increments in near-intervals (PII), establishing the existence of a decomposition into components with certain regularity properties.
Jaime Lobo Segura
doaj   +1 more source

Robust Mean–Variance Portfolio Optimization: Mean–Variance–Variance Criterion Versus Mean–Variance–Standard Deviation Criterion

Mathematical Finance, EarlyView.
ABSTRACT We study a dynamic portfolio optimization problem under the mean–variance–variance (M‐V‐V) criterion proposed by Maccheroni et al. It is an analogue of the Arrow–Pratt approximation to the well‐known smooth ambiguity model. Under the standard Black–Scholes framework, we derive fully explicit equilibrium investment strategies in which a DM's ...
David Landriault, Bin Li, Yuanyuan Zhang
wiley   +1 more source

Statistical inference with exchangeability and martingales. [PDF]

Philos Trans A Math Phys Eng Sci, 2023
Holmes CC, Walker SG.
europepmc   +1 more source

Bayesian Inference for Multivariate Monotone Densities

Scandinavian Journal of Statistics, EarlyView.
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

DISCRETE-TIME MARTINGALES

, 2013
V diplomskem delu so predstavljene najosnovnejše lastnosti martingalov. Predstavljeni so znani primeri stohastičnih procesov ter njihove povezave z martingali. Martingali imajo prav tako velik pomen pri dokazovanju konvergenčnih izrekov.
Grantaša, Simona
core   +1 more source

Planar semi-martingales

, 1979
The concept of a semi-martingale is extended to processes with index set in the plane. The definitions of planar semi-martingales are similar to those of two parameter bounded variation.
Brennan, Michael D
core   +1 more source

Frequency‐dependent contraction rates for the Bayesian method to the inverse source problem

Transactions of the London Mathematical Society, Volume 13, Issue 1, December 2026.
Abstract This paper addresses an inverse source problem for acoustic waves in a range of frequencies. Our study has two main goals. First, although the problem is severely ill‐posed with a logarithmic stability estimate, we demonstrate, through careful analysis of the forward map's singular values, that increasing the frequency range enhances stability,
Pu‐Zhao Kow, Jenn‐Nan Wang
wiley   +1 more source

Martingales, the efficient market hypothesis, and spurious stylized facts

The condition for stationary increments, not scaling, detemines long time pair autocorrelations. An incorrect assumption of stationary increments generates spurious stylized facts, fat tails and a Hurst exponent Hs=1/2, when the increments are ...
Gunaratne, Gemunu h., McCauley, Joseph L., Bassler, Kevin E.   +2 more
core   +1 more source

Stopping and set-indexed local martingales

, 1995
Set-indexed local martingales are defined and studied. We present some optional sampling theorems for strong martingales, martingales and weak martingales. The class of set-indexed processes which are locally of class (D) is introduced.
Merzbach, Ely, Ivanoff, B.Gail
core   +1 more source