Results 11 to 20 of about 32,104 (213)
Martingale-like sequences in Banach lattices
Modern Stochastics: Theory and Applications, 2018 Martingale-like sequences in vector lattice and Banach lattice frameworks are defined in the same way as martingales are defined in [Positivity 9 (2005), 437–456].
Haile Gessesse, Alexander Melnikov
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Transactions of the American Mathematical Society, 1968 Made available in DSpace on 2014-12-09T22:17:39Z (GMT). No. of bitstreams: 1 6801809.pdf: 1503087 bytes, checksum: 245bdef728296109a7b68790fcb8a353 (MD5) Previous issue date: 1967 ; Embargo set by: Seth Robbins for item 61756 Lift date: Forever Reason: Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs ; Restricted to ...
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Martingale structure of Skorohod integral processes [PDF]
, 2005 Let the process Y(t) be a Skorohod integral process with respect to Brownian motion. We use a recent result by Tudor (2004), to prove that Y(t) can be represented as the limit of linear combinations of processes that are products of forward and backward ...
Peccati, Giovanni +2 more
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Exact bounds for tail probabilities of martingales with bounded differences
Lietuvos Matematikos Rinkinys, 2009 We consider random walks, say Wn = {0, M1, . . ., Mn} of length n starting at 0 and based on a martingale sequence Mk = X1 + ··· + Xk with differences Xm. Assuming |Xk| \leq 1 we solve the isoperimetric problem Bn(x) = supP\{Wn visits an interval [x,∞
Dainius Dzindzalieta
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Asymptotic normality of recursive algorithms via martingale difference arrays [PDF]
Discrete Mathematics & Theoretical Computer Science, 2001 We propose martingale central limit theorems as an tool to prove asymptotic normality of the costs of certain recursive algorithms which are subjected to random input data. The recursive algorithms that we have in mind are such that if input data of size
Werner Schachinger
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On Barrier Binary Options in the Telegraph-like Financial Market Model
Computation, 2022 The article continues the study of the market model based on jump-telegraph processes. It is assumed that the price of a risky asset follows the stochastic exponential of a piecewise linear process, equipped with jumps that occur at the moments of a ...
Nikita Ratanov
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Martingale Morrey-Hardy and Campanato-Hardy Spaces
Journal of Function Spaces and Applications, 2013 We introduce generalized Morrey-Campanato spaces of martingales, which generalize both martingale Lipschitz spaces introduced by Weisz (1990) and martingale Morrey-Campanato spaces introduced in 2012.
Eiichi Nakai +2 more
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On the Second Fundamental Theorem of Asset Pricing [PDF]
, 2015 Let $X^1,\ldots, X^d$ be sigma-martingales on $(\Omega,{\cal F}, P)$. We show that every bounded martingale (with respect to the underlying filtration) admits an integral representation w.r.t.
Karandikar, Rajeeva L, Rao, B V
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Electronic Communications in Probability, 2012 Corrected several typos, improved formulations. Accepted by Electronic Communications in Probability; Electronic Communications in Probability, 2012, Volume 17, Issue ...
Perkowski, Nicolas, Ruf, Johannes
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A note on dilations and martingales
International Journal of Mathematics and Mathematical Sciences, 1993 The purpose of this note is to investigate the effect of dilations on martingales and to give conditions under which a dilated martingale will retain the martingale property.
Martin L. Jones
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