Results 31 to 40 of about 17,630 (184)

Multiple Schramm-Loewner Evolutions and Statistical Mechanics Martingales

, 2005
A statistical mechanics argument relating partition functions to martingales is used to get a condition under which random geometric processes can describe interfaces in 2d statistical mechanics at criticality.
Denis Bernard A, Kalle Kytölä B, Michel Bauer A, Service Physique, Théorique Saclay   +4 more
core   +4 more sources

Regularities of local times of two-parameter martingales

Kyoto Journal of Mathematics, 2004
We prove that, as Wiener functionals, local times of two-parameter martingales belong to some fractional Sobolev spaces over the Wiener space and, therefore, exist (2, ∞)-quasi surely.
Liu, Jicheng, Ren, Jiagang
openaire   +2 more sources

Idiosyncratic asset return and wage risk of US households

Economic Inquiry, Volume 63, Issue 2, Page 636-657, April 2025.
Abstract This paper documents the degree of idiosyncratic asset return heterogeneity, serial correlation, and correlation with wage heterogeneity for US households. Novel panel‐data measurements for returns on household assets are proposed. Sizable transitory idiosyncratic return heterogeneity is documented to exist concurrently with permanent ...
Stephen Snudden
wiley   +1 more source

Asymptotic theory of semiparametric $Z$-estimators for stochastic processes with applications to ergodic diffusions and time series

, 2009
This paper generalizes a part of the theory of $Z$-estimation which has been developed mainly in the context of modern empirical processes to the case of stochastic processes, typically, semimartingales.
Nishiyama, Yoichi
core   +1 more source

Two-parameter diffusion processes and martingales

Stochastic Processes and their Applications, 1983
AbstractWe introduce a class of two-parameter processes which are diffusions on each coordinate and satisfy a particular Markov property related to the partial ordering in R2+. These processes can be expressed as solutions of some stochastic integral equations driven by a two-parameter Wiener process and two families of ordinary Brownian motions.
openaire   +2 more sources

Closed‐Form Optimal Investment Under Generalized GARCH Models

European Financial Management, EarlyView.
ABSTRACT This paper introduces a new class of stochastic volatility models for asset prices, the generalized Heston Nandi GARCH (GHN‐GARCH), with the primary objective of optimal dynamic asset allocation under expected utility theory for constant relative risk aversion investors. We study some of its theoretical properties, and demonstrate that the GHN‐
Marcos Escobar‐Anel, Tobias Lausser, Rudi Zagst   +2 more
wiley   +1 more source

Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance

, 2008
We are concerned with a new type of supermartingale decomposition in the Max-Plus algebra, which essentially consists in expressing any supermartingale of class $(\mathcal{D})$ as a conditional expectation of some running supremum process.
Karoui, Nicole El, Meziou, Asma
core   +1 more source

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
openaire   +2 more sources

Miners' Reward Elasticity and Stability of Competing Proof‐of‐Work Cryptocurrencies

International Economic Review, EarlyView.
ABSTRACT Proof‐of‐Work cryptocurrencies employ miners to sustain the system through algorithmic reward adjustments. We develop a stochastic model of the multicurrency mining and identify conditions for stable transaction speeds. Bitcoin's algorithm requires hash supply elasticity <$<$1 for stability, while ASERT remains stable for any elasticity and ...
Kohei Kawaguchi, Junpei Komiyama, Shunya Noda   +2 more
wiley   +1 more source

On Metric Choice in Dimension Reduction for Fréchet Regression

International Statistical Review, EarlyView.
Summary Fréchet regression is becoming a mainstay in modern data analysis for analysing non‐traditional data types belonging to general metric spaces. This novel regression method is especially useful in the analysis of complex health data such as continuous monitoring and imaging data.
Abdul‐Nasah Soale, Congli Ma, Siyu Chen, Obed Koomson   +3 more
wiley   +1 more source