Results 21 to 30 of about 17,630 (184)
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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Littlewood-Paley theory for triangle buildings [PDF]
, 2017 For the natural two parameter filtration $(\mathcal{F}_\lambda : \lambda \in P)$ on the boundary of a triangle building we define a maximal function and a square function and show their boundedness on $L^p(\Omega_0)$ for $p \in (1, \infty)$.
Steger, Tim, Trojan, Bartosz
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Journal of Forecasting, EarlyView.ABSTRACT We study the accuracy of a variety of parametric price duration‐based realized variance estimators constructed via various financial duration models and compare their forecasting performance with the performance of various nonparametric return‐based realized variance estimators.
Björn Schulte‐Tillmann +2 more
wiley +1 more source
On the Quadratic Variation of Two-Parameter Continuous Martingales
The Annals of Probability, 1984 Let M={M(z),z∈[0,1]2} be a two-parameter square integrable continuous martingale. We prove the sample continuity of the quadratic variation of M using an Ito's differentiation formula for M2.
openaire +4 more sources
Time Integrals Under the Black–Scholes–Merton and Margrabe Economies
Journal of Futures Markets, EarlyView.ABSTRACT The problem of integrating the Black, Scholes, and Merton (BSM) formula with respect to the time variable is paramount for an economist. Inspired by the real options literature, Shackleton and Wojakowski offer analytic formulae for valuing finite maturity (profit) caps and floors that are contingent on continuous flows following a lognormal ...
José Carlos Dias +3 more
wiley +1 more source
Journal of Applied Econometrics, EarlyView.ABSTRACT We present four novel tests of equal predictive accuracy and encompassing á Pitarakis (2023, 2025) for factor‐augmented regressions. Factors are estimated using cross‐section averages (CAs) of grouped series and our theoretical findings are empirically relevant: asymptotic normality, robustness to an overspecification of the number of factors,
Alessandro Morico, Ovidijus Stauskas
wiley +1 more source
, 2002 Within a path integral formalism for non-Gaussian price fluctuations we set up a simple stochastic calculus and derive a natural martingale for option pricing from the wealth balance of options, stocks, and bonds.
Barndorff-Nielsen +36 more
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Stop Using Limiting Stimuli as a Measure of Sensitivities of Energetic Materials
Propellants, Explosives, Pyrotechnics, EarlyView.ABSTRACT Accurately estimating the sensitivity of explosive materials is a potentially life‐saving task that requires standardised protocols across nations. One of the most widely applied procedures worldwide is the so‐called ‘1‐In‐6’ test from the United Nations (UN) Manual of Tests in Criteria, which estimates a ‘limiting stimulus’ for a material. In
Dennis Christensen, Geir Petter Novik
wiley +1 more source
An application of two-parameter martingales in harmonic analysis [PDF]
Studia Mathematica, 1993 Summary: Some duality results and some inequalities are proved for two-parameter Vilenkin martingales, for Fourier backwards martingales and for Vilenkin and Fourier coefficients.
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Adaptive CUSUM Chart for Simultaneous Monitoring of Mean and Variance
Quality and Reliability Engineering International, EarlyView.ABSTRACT Simultaneously monitoring changes in both the mean and variance is a fundamental problem in statistical process control, and numerous methods have been developed to address it. However, many existing approaches face notable limitations: Some rely on tuning parameters that can significantly affect performance; others are biased toward detecting
Gokul Parakulum, Jun Li
wiley +1 more source