Results 21 to 30 of about 5,443 (259)
The Annals of Probability, 1980 The purpose of this note is to show that the set of $L^1$-bounded "martingales in the limit", unlike the set of $L^1$-bounded "amarts", is not a vector lattice.
Bellow, A., Dvoretzky, A.
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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
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Martingales, nonlinearity, and chaos [PDF]
Journal of Economic Dynamics and Control, 2000 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
William Barnett, Apostolos Serletis
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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
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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Continuous Ocone martingales as weak limits of rescaled martingales [PDF]
, 2002 Consider a martingale $M$ with bounded jumps and two sequences $a_n, b_n to infty$. We show that if the rescaled martingales M^n_t =frac{1}{sqrt{a_n}}M_{b_n t} converge weakly, then the limit is necessarily a continous Ocone martingale.
van Zanten, J.H. +3 more
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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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IEEE Access, 2020 As a simple single-phase transmission strategy, grant-free access is believed to be an effective way to guarantee the stringent quality of service (QoS) requirements for ultra-reliable low-latency communications (URLLCs).
Ruizhe Qi +3 more
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Stochastic Gradient Descent in High Dimensions for Multi‐Spiked Tensor PCA
Communications on Pure and Applied Mathematics, EarlyView.ABSTRACT We study the high‐dimensional dynamics of online stochastic gradient descent (SGD) for the multi‐spiked tensor model. This multi‐index model arises from the tensor principal component analysis (PCA) problem with multiple spikes, where the goal is to estimate the unknown signal vectors within the N$N$‐dimensional unit sphere through maximum ...
Gérard Ben Arous +2 more
wiley +1 more source
sigma-Localization and sigma-Martingales [PDF]
, 2004 This paper introduces the concept of sigma-localization, which is a generalization of localization in the general theory of stochastic processes. The sigma-localized class derived from the set of martingales is the class of sigma-martingales, which plays
Kallsen, J., Kallsen, Jan
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