Results 131 to 140 of about 7,361 (242)
Decomposition of two parameter martingales.
, 1981 In this paper we exhibit some decompositions in orthogonal stochastic integrals of two-parameter square integrable martingales adapted to a Brownian sheet which generalize the representation theorem of E. Wong and M. Zakai ([6]).
Nualart Rodón, David
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Martingales with Independent Increments
We show that a discrete time martingale with respect to a filtration with atomless innovations is the (infinite) sum of martingales with independent increments. For the continuous time filtration coming from Brownian Motion filtration, we show that every
Freddy Delbaen
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Stochastics integral equations with respect to semimartingales [PDF]
Stochastic integral equations were first developed by mathematicians as a tool for the explicit construction of the paths of diffusion processes for given coefficients of drift and diffusion. Since many physical, engineering, biological as well as social
Mao, Xuerong
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, 2014 Mathematical finance extensively relies on martingales. In some cases, they need to meet constraints. For instance, they can be required to evolve in a compact set; discounted zero-coupon bond prices are risk-neutral martingales in $[0,1]$ if interest ...
Vrins, Frédéric +1 more
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Infinite-server systems with Hawkes arrivals and Hawkes services. [PDF]
Queueing Syst, 2022 Selvamuthu D, Tardelli P.
europepmc +1 more source
The Nominal Share Price Anchor: A Theoretical Model of Social Norms and Behavioral Martingales in Stock ...
Fei Qiu
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Dynamic Risk Measures for Processes via Backward Stochastic Differential Equations Associated with Lévy Processes. [PDF]
Entropy (Basel), 2021 Miao L, Liu Z, Hu Y.
europepmc +1 more source
A martingale closure theorem for \(A\)-integrable martingale sequences
, 1999 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +2 more sources
M-Convergence, et régularité des martingales multivoques: Epi-martingales
In this work, the fundamental convergence theorems for multivalued martingales are established in Mosco's sense. The notion of epi-martingale is introduced.esperance conditionnelle martingale parties decomposables epi-martingales Mosco-convergence ...
Choukairi-Dini, Ahmed
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Behavioral inference from non-stationary policies: Theory and application to ridehailing drivers during COVID-19 lockdowns. [PDF]
Transp Res Part C Emerg Technol, 2023 Battifarano M, Qian S.
europepmc +1 more source