Results 11 to 20 of about 17,630 (184)
On two-parameter non-degenerate brownian martingales
Bulletin des Sciences Mathématiques, 1998 In the first part of the paper the authors study the existence and the properties of the density of the two-parameter Brownian martingale \(N(z)= \int_{[0,T]^2} G(\zeta) dW(\zeta)\), \(z \in [0,T]^2\), driven by a Brownian sheet \(\{W(z), z\in [0,T]^2\}\), and with a square-integrable adapted process \(G\) as integrand verifying, in addition to the ...
Nualart, David, Tindel, Samy
openaire +2 more sources
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
core +1 more source
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
core +3 more sources
User-friendly tail bounds for sums of random matrices [PDF]
, 2010 This paper presents new probability inequalities for sums of independent, random, self-adjoint matrices. These results place simple and easily verifiable hypotheses on the summands, and they deliver strong conclusions about the large-deviation behavior ...
A. Buchholz +50 more
core +6 more sources
Assessing the role of spatial externalities in the survival of Italian innovative startups
Regional Science Policy &Practice, EarlyView., 2023 Abstract The paper provides novel empirical evidence about the effects of spatial externalities on the survival of innovative startups in Italy. Using geocoded firm‐level data, we build micro‐geographic measures of specialization and diversity that are robust to the modifiable areal unit problem.
Diego Giuliani +4 more
wiley +1 more source
How powerful are integer-valued martingales?
, 2010 In the theory of algorithmic randomness, one of the central notions is that of computable randomness. An infinite binary sequence X is computably random if no recursive martingale (strategy) can win an infinite amount of money by betting on the values of
Bienvenu, Laurent +2 more
core +1 more source
A sharp analysis on the asymptotic behavior of the Durbin-Watson statistic for the first-order autoregressive process [PDF]
, 2011 The purpose of this paper is to provide a sharp analysis on the asymptotic behavior of the Durbin-Watson statistic. We focus our attention on the first-order autoregressive process where the driven noise is also given by a first-order autoregressive ...
Bercu, Bernard, Proia, Frederic
core +5 more sources
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
core +1 more source
On inequalities for two-parameter martingales
Mathematische Annalen, 1989 To date, it is not known whether Davis' inequality holds for two- parameter martingales M, i.e. whether the ``pure'' norms induced by the supremum of the modulus of M and the square root of the sum of squared two-parameter increments are equivalent. There are two relevant ``mixed'' norms associated with quantities described in the following way.
openaire +1 more source
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