Results 31 to 40 of about 32,104 (213)

Invariant Measure and Universality of the 2D Yang–Mills Langevin Dynamic

Communications on Pure and Applied Mathematics, EarlyView.
ABSTRACT We prove that the Yang–Mills (YM) measure for the trivial principal bundle over the two‐dimensional torus, with any connected, compact structure group, is invariant for the associated renormalised Langevin dynamic. Our argument relies on a combination of regularity structures, lattice gauge‐fixing and Bourgain's method for invariant measures ...
Ilya Chevyrev, Hao Shen
wiley   +1 more source

Martingales-Based ALOHA-Type Grant-Free Access Algorithms for Multi-Channel Networks With mMTC/URLLC Terminals Co-Existence

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, Xuefen Chi, Linlin Zhao, Wanting Yang   +3 more
doaj   +1 more source

Diffusion constants and martingales for senile random walks [PDF]

, 2007
We derive diffusion constants and martingales for senile random walks with the help of a time-change. We provide direct computations of the diffusion constants for the time-changed walks.
Kager, Wouter
core   +5 more sources

A Comparison of Realized Measures of Integrated Volatility: Price Duration‐ vs. Return‐Based Approaches

Journal of Forecasting, EarlyView.
ABSTRACT We study the accuracy of a variety of parametric price duration‐based realized variance estimators constructed via various financial duration models and compare their forecasting performance with the performance of various nonparametric return‐based realized variance estimators.
Björn Schulte‐Tillmann, Mawuli Segnon, Timo Wiedemann   +2 more
wiley   +1 more source

A change of measures technique for compound mixed renewal processes with applications in Risk Theory

Modern Stochastics: Theory and Applications
Given a compound mixed renewal process S under a probability measure P, we provide a characterization of all progressively equivalent martingale probability measures Q on the domain of P, that convert S into a compound mixed Poisson process.
Spyridon M. Tzaninis, Nikolaos D. Macheras   +1 more
doaj   +1 more source

Time Integrals Under the Black–Scholes–Merton and Margrabe Economies

Journal of Futures Markets, EarlyView.
ABSTRACT The problem of integrating the Black, Scholes, and Merton (BSM) formula with respect to the time variable is paramount for an economist. Inspired by the real options literature, Shackleton and Wojakowski offer analytic formulae for valuing finite maturity (profit) caps and floors that are contingent on continuous flows following a lognormal ...
José Carlos Dias, Mark B. Shackleton, Fernando Correia da Silva, Rafał M. Wojakowski   +3 more
wiley   +1 more source

Subcomputable Schnorr Randomness [PDF]

Logical Methods in Computer Science, 2017
The notion of Schnorr randomness refers to computable reals or computable functions. We propose a version of Schnorr randomness for subcomputable classes and characterize it in different ways: by Martin L\"of tests, martingales or measure computable ...
Claude Sureson
doaj   +1 more source

Synthesizing Probabilistic Invariants via Doob's Decomposition

, 2016
When analyzing probabilistic computations, a powerful approach is to first find a martingale---an expression on the program variables whose expectation remains invariant---and then apply the optional stopping theorem in order to infer properties at ...
Barthe, Gilles, Espitau, Thomas, Fioriti, Luis María Ferrer, Hsu, Justin   +3 more
core   +1 more source

Robust Tests of Forecast Accuracy for Factor‐Augmented Regressions With an Application to the Novel EA‐MD‐QD Dataset

Journal of Applied Econometrics, EarlyView.
ABSTRACT We present four novel tests of equal predictive accuracy and encompassing á Pitarakis (2023, 2025) for factor‐augmented regressions. Factors are estimated using cross‐section averages (CAs) of grouped series and our theoretical findings are empirically relevant: asymptotic normality, robustness to an overspecification of the number of factors,
Alessandro Morico, Ovidijus Stauskas
wiley   +1 more source

Distance from fractional Brownian motion with associated Hurst index $0\mathrm{<}\mathit{H}\mathrm{<}1\mathrm{/}2$ to the subspaces of Gaussian martingales involving power integrands with an arbitrary positive exponent

Modern Stochastics: Theory and Applications, 2020
We find the best approximation of the fractional Brownian motion with the Hurst index $H\in (0,1/2)$ by Gaussian martingales of the form ${\textstyle\int _{0}^{t}}{s^{\gamma }}d{W_{s}}$, where W is a Wiener process, $\gamma >0$.
Oksana Banna, Filipp Buryak, Yuliya Mishura   +2 more
doaj   +1 more source