Results 11 to 20 of about 15,383 (104)
An essay on the general theory of stochastic processes [PDF]
, 2006 This text is a survey of the general theory of stochastic processes, with a view towards random times and enlargements of filtrations. The first five chapters present standard materials, which were developed by the French probability school and which are
Nikeghbali, Ashkan
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A definition and some characteristic properties of pseudo-stopping times [PDF]
, 2004 Recently, D. Williams \cite{williams} gave an explicit example of a random time $\rho $ associated with Brownian motion such that $\rho $ is not a stopping time but $\mathbb{E}M_{\rho}=\mathbb{E}M_{0}$ for every bounded martingale $M$.
Nikeghbali, Ashkan, Yor, Marc
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The continuity of the quadratic variation of two-parameter martingales
Stochastic Processes and their Applications, 1988 Let \(M=(M_ t;t\in {\mathbb{R}}^ 2_+)\) be an L \(log^+L\)-integrable two- parameter martingale. According to a theorem by \textit{D. Bakry} [Z. Wahrscheinlichkeitstheor. Verw. Geb. 50, 149-157 (1979; Zbl 0419.60051)] and by \textit{A. Millet} and \textit{L. Sucheston} [ibid.
Frangos, Nikos E., Imkeller, Peter
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Optimal dual martingales, their analysis and application to new algorithms for Bermudan products [PDF]
, 2012 In this paper we introduce and study the concept of optimal and surely optimal dual martingales in the context of dual valuation of Bermudan options, and outline the development of new algorithms in this context.
Huang, Junbo +2 more
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Enlargements of filtrations and path decompositions at non-stopping times [PDF]
, 2006 Az\'{e}ma associated with an honest time L the supermartingale $Z_{t}^{L}=\mathbb{P}[L>t|\mathcal{F}_{t}]$ and established some of its important properties.
Nikeghbali, Ashkan
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On the relations between increasing functions associated with two-parameter continuous martingales
Stochastic Processes and their Applications, 1990 Let \((\Omega,{\mathcal F},P,({\mathcal F}_ z)_{z\in T})\), \(T=[0,1]^ 2\), be a stochastic two-parameter basis satisfying the usual (F1)-(F4) conditions of Cairoli and Walsh. Let also M be a two-parameter continuous martingale bounded in \(L^ 2\) and null on the axes. Then \(M^ 2\) has the following Doob-Meyer decomposition: \[ M^ 2_{st}=2\int^{s}_{0}\
Nualart, D., Sanz, M., Zakai, M.
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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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The full replica symmetry breaking in the Ising spin glass on random regular graph
, 2018 In this paper, we extend the full replica symmetry breaking scheme to the Ising spin glass on a random regular graph. We propose a new martingale approach, that overcomes the limits of the Parisi-M\'ezard cavity method, providing a well-defined ...
Concetti, Francesco
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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
Skew-Unfolding the Skorokhod Reflection of a Continuous Semimartingale [PDF]
, 2014 The Skorokhod reflection of a continuous semimartingale is unfolded, in a possibly skewed manner, into another continuous semimartingale on an enlarged probability space according to the excursion-theoretic methodology of Prokaj (2009).
AS Cherny +9 more
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