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Some Classes of Two-Parameter Martingales
Annals of Probability, 1981 A class of two-parameter martingales, named "martingales with orthogonal increments" or "martingales of direction independent variation," is introduced. It is shown that this class, which is characterized by a sample function property, is included in the class of martingales of path independent variation and includes the class of strong martingales ...
Moshe Zakai
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Martingales and the characteristic functions of absorption time on bipartite graphs
Royal Society Open Science, 2021 Evolutionary graph theory investigates how spatial constraints affect processes that model evolutionary selection, e.g. the Moran process. Its principal goals are to find the fixation probability and the conditional distributions of fixation time, and ...
Travis Monk, André van Schaik
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A stochastic card balance management problem with continuous and batch-type bilateral transactions
Operations Research Perspectives, 2023 We study a stochastic continuous-review card balance management problem with two transaction patterns, namely, continuous and batch-type bilateral transactions, both in a Markovian environment.
Yonit Barron
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Martingales and the fixation time of evolutionary graphs with arbitrary dimensionality
Royal Society Open Science, 2022 Evolutionary graph theory (EGT) investigates the Moran birth–death process constrained by graphs. Its two principal goals are to find the fixation probability and time for some initial population of mutants on the graph.
Travis Monk, André van Schaik
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A Divergent, Two-Parameter, Bounded Martingale [PDF]
Proceedings of the American Mathematical Society, 1980 An example is given of a divergent, uniformly bounded martingale X = { X t : t ∈ T } X = \{ {X_t}:t \in T\} where the index t ranges over the set T of pairs of positive integers with the usual coordinatewise ordering.
Dubins, Lester E., Pitman, Jim
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Orlicz–Hardy Weak Martingale Spaces for Two-parameter
Taiwanese Journal of Mathematics, 2023 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, Kaituo +3 more
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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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Doob's maximal identity, multiplicative decompositions and enlargements of filtrations [PDF]
, 2006 In the theory of progressive enlargements of filtrations, the supermartingale $Z_{t}=\mathbf{P}(g>t\mid \mathcal{F}_{t}) $ associated with an honest time g, and its additive (Doob-Meyer) decomposition, play an essential role. In this paper, we propose an
Nikeghbali, A., Yor, M.
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Self-dual continuous processes [PDF]
, 2012 The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes which is, for continuous semimartingales, related to symmetry properties of both their ordinary as well as their stochastic ...
Rheinländer, Thorsten, Schmutz, Michael
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Exponential inequalities for martingales with applications [PDF]
, 2015 The paper is devoted to establishing some general exponential inequalities for supermartingales. The inequalities improve or generalize many exponential inequalities of Bennett, Freedman, de la Pe\~{n}a, Pinelis and van de Geer.
Fan, Xiequan, Grama, Ion, Liu, Quansheng
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