Results 61 to 70 of about 32,104 (213)
The Heroic Age of Probability: Kolmogorov, Doob, Lévy, Khinchin and Feller
MathematicsWe survey some of the main developments in probability theory during the so-called “heroic age”; that is, the period from the nineteen twenties to the early nineteen fifties.
Andrew J. Heunis
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ON (sub- super) asymptotic martingales
Tikrit Journal of Pure Science, 2020 In this paper we intoduce a new class of definitions (sub - super) asymptotic martingale through the concept of asymptotic martingale. we investigate and prove some properties of asymptotic martingale and (sub - super) asymptotic martingale .
Hassan H- Ebrahem, Juwan Abbas-Ali
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A Comparative Review of Specification Tests for Diffusion Models
International Statistical Review, EarlyView.Summary Diffusion models play an essential role in modelling continuous‐time stochastic processes in the financial field. Therefore, several proposals have been developed in the last decades to test the specification of stochastic differential equations.
A. López‐Pérez +3 more
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Characterization Theorems for Generalized Functionals of Discrete-Time Normal Martingale
Journal of Function Spaces, 2015 We aim at characterizing generalized functionals of discrete-time normal martingales. Let M=(Mn)n∈N be a discrete-time normal martingale that has the chaotic representation property.
Caishi Wang, Jinshu Chen
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Information and Telecommunication Sciences, 2013 Asymptotic properties of self-similar traffic models based on discrete-time and continuous-time martingales are considered. We discovered that their performance indicators are asymptotically equal at to indicators for model based on Brownian motion.
Andriy Pilipenko +2 more
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What Are Asset Price Bubbles? A Survey on Definitions of Financial Bubbles
Journal of Economic Surveys, EarlyView.ABSTRACT Financial bubbles and crashes have repeatedly caused economic turmoil notably but not just during the 2008 financial crisis. However, both in the popular press as well as scientific publications, the meaning of bubble is sometimes unspecified.
Michael Heinrich Baumann +1 more
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Asymptotic estimation for statistical models of continuous-time discrete martingales
Lietuvos Matematikos RinkinysThe paper deals with statistical experiments of the continuous-time discrete local martingales, including models of all types of point processes. The process of local density of the discrete local martingales is expressed by a stochastic exponent of the
Vaidotas Kanišauskas +1 more
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Thermodynamic bounds and symmetries in first-passage problems of fluctuating currents
New Journal of PhysicsWe develop a method for deriving thermodynamic bounds for first-passage problems of currents with two boundaries in Markov chains. Using this method, we derive a thermodynamic bound on the rate of dissipation in terms of the splitting probability and the
Adarsh Raghu, Izaak Neri
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Lineability within Peano Curves, Martingales, and Integral Theory
Journal of Function Spaces, 2018 This paper is devoted to give several improvements of some known facts in lineability approach. In particular, we prove that (i) the set of continuous mappings from the unit interval onto the unit square contains a closed, c-semigroupable convex subset, (
Artur Bartoszewicz +2 more
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Algorithmic randomness for Doob's martingale convergence theorem in continuous time [PDF]
Logical Methods in Computer Science, 2014 We study Doob's martingale convergence theorem for computable continuous time martingales on Brownian motion, in the context of algorithmic randomness. A characterization of the class of sample points for which the theorem holds is given. Such points are
Bjørn Kjos-Hanssen +2 more
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