Amarts: A class of asymptotic martingales a. Discrete parameter
A sequence (Xn) of random variables adapted to an ascending (asc.) sequence n of [sigma]-algebras is an amart iff EX[tau] converges as [tau] runs over the set T of bounded stopping times. An analogous definition is given for a descending (desc.) sequence
Sucheston, Louis, Edgar, Gerald A.
core
A comparison of prospect theory in WTP and preference space [PDF]
The importance of willingness to pay (WTP) and willingness to accept (WTA) measures in the evaluation of policy measures has led to a constant stream of research examining survey methods and model specifications seeking to capture and explain the concept
John M. Rose, Lorenzo Masiero
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Likelihood-based inference for correlated diffusions
We address the problem of likelihood based inference for correlated diffusion processes using Markov chain Monte Carlo (MCMC) techniques. Such a task presents two interesting problems.
Roberts, Gareth O. +2 more
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No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications [PDF]
We develop a sequential procedure to test the adequacy of jump-diffusion models for return distributions. We rely on intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional moment tests ...
Tim Bollerslev +2 more
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Adapted Wasserstein distances and applications to distributionally robust optimization
This thesis studies adapted Wasserstein distances and their applications to distributionally robust optimization (DRO) problems in a dynamic context.
Jiang, Yifan
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Cumulative damage for multi-type epidemics and an application to infectious diseases. [PDF]
J Math Biol, 2023 Fierro R, Fierro R.
europepmc +1 more source
Mathematical methods for valuation and risk assessment of investment projects and real options
, 2006 In this thesis, we study the problems of risk measurement, valuation and hedging of financial positions in incomplete markets when an insufficient number of assets are available for investment (real options). We work closely with three measures of risk:
Cisneros-Molina, Myriam
core
A chain binomial epidemic with asymptomatics motivated by COVID-19 modelling. [PDF]
J Math Biol, 2021 Lefèvre C, Picard P, Simon M, Utev S.
europepmc +1 more source
Limit theorems for random fields
, 2011 Az értekezés első részében autoregressziós típusú martingál mezőket tanulmányozok. Kiindulva Fazekas István korábbi eredményeiből, sikerült kiterjeszteni az autoregressziós típusú martingálokra vonatkozó eredményeket d-paraméterű esetre.
Karácsony, Zsolt
core
The Scaling Limit of the Volume of Loop-<i>O</i>(<i>n</i>) Quadrangulations. [PDF]
Commun Math PhysAïdékon É, Da Silva W, Hu X.
europepmc +1 more source