Results 21 to 30 of about 32,104 (213)
Local asymptotic normality of statistical models of discrete martingales
Lietuvos Matematikos Rinkinys, 2023 We establish general conditions assuring the local asymptotic normality of statistical experiments of discrete or purely discontinuous local martingales obtained models of point processes of all types were found out.
Vaidotas Kanišauskas
doaj +3 more sources
A Lévy-Driven Stochastic Queueing System with Server Breakdowns and Vacations
Mathematics, 2020 Motivated by modelling the data transmission in computer communication networks, we study a Lévy-driven stochastic fluid queueing system where the server may subject to breakdowns and repairs.
Yi Peng, Jinbiao Wu
doaj +1 more source
Optimal Novikov-type criteria for local martingales with jumps
, 2012 We consider local martingales $M$ with jumps larger than $a$ for some $a$ larger than or equal to -1, and prove Novikov-type criteria for the corresponding exponential local martingale to be a uniformly integrable martingale.
Sokol, Alexander
core +1 more source
Coherent-Price Systems and Uncertainty-Neutral Valuation
Risks, 2019 This paper considers fundamental questions of arbitrage pricing that arises when the uncertainty model incorporates ambiguity about risk. This additional ambiguity motivates a new principle of risk- and ambiguity-neutral valuation as an extension of the ...
Patrick Beissner
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σ-Martingales: Foundations, Properties, and a New Proof of the Ansel–Stricker Lemma
Mathematicsσ-martingales generalize local martingales through localizing sequences of predictable sets, which are essential in stochastic analysis and financial mathematics, particularly for arbitrage-free markets and portfolio theory.
Moritz Sohns
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Piecewise Constant Martingales and Lazy Clocks
, 2017 This paper discusses the possibility to find and construct \textit{piecewise constant martingales}, that is, martingales with piecewise constant sample paths evolving in a connected subset of $\mathbb{R}$.
Profeta, Christophe, Vrins, Frédéric
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Assessing the role of spatial externalities in the survival of Italian innovative startups
Regional Science Policy &Practice, EarlyView., 2023 Abstract The paper provides novel empirical evidence about the effects of spatial externalities on the survival of innovative startups in Italy. Using geocoded firm‐level data, we build micro‐geographic measures of specialization and diversity that are robust to the modifiable areal unit problem.
Diego Giuliani +4 more
wiley +1 more source
Strong laws of large numbers for arrays of row-wise exchangeable random elements
International Journal of Mathematics and Mathematical Sciences, 1985 Let {Xnk,1≤k≤n,n≤1} be a triangular array of row-wise exchangeable random elements in a separable Banach space.
Robert Lee Taylor +1 more
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Useful martingales for stochastic storage processes with L\'{e}vy-type input
, 2012 In this paper we generalize the martingale of Kella and Whitt to the setting of L\'{e}vy-type processes and show that the (local) martingales obtained are in fact square integrable martingales which upon dividing by the time index converge to zero a.s ...
Boxma, Onno, Kella, Offer
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Local martingales associated with Schramm-Loewner evolutions with internal symmetry
, 2018 We consider Schramm-Loewner evolutions (SLEs) with internal degrees of freedom that are associated with representations of affine Lie algebras, following group theoretical formulation of SLEs. We reconstruct the SLEs considered by Bettelheim {\it et al.}
Koshida, Shinji
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