Results 41 to 50 of about 17,630 (184)
Spatially independent martingales, intersections, and applications [PDF]
, 2015 We define a class of random measures, spatially independent martingales, which we view as a natural generalisation of the canonical random discrete set, and which includes as special cases many variants of fractal percolation and Poissonian cut-outs.
Shmerkin, Pablo, Suomala, Ville
core
Integral Fluctuation Relations for Entropy Production at Stopping Times
, 2019 A stopping time $T$ is the first time when a trajectory of a stochastic process satisfies a specific criterion. In this paper, we use martingale theory to derive the integral fluctuation relation $\langle e^{-S_{\rm tot}(T)}\rangle=1$ for the stochastic ...
Jülicher, Frank +3 more
core +1 more source
A Comparative Review of Specification Tests for Diffusion Models
International Statistical Review, EarlyView.Summary Diffusion models play an essential role in modelling continuous‐time stochastic processes in the financial field. Therefore, several proposals have been developed in the last decades to test the specification of stochastic differential equations.
A. López‐Pérez +3 more
wiley +1 more source
Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice
The Journal of Finance, EarlyView.ABSTRACT We study aversion to model ambiguity and misspecification in dynamic portfolio choice. Risk‐averse investors (relative risk aversion γ>1$\gamma > 1$) fear return persistence, while risk‐tolerant investors (0<γ<1$0<\gamma <1$) fear mean reversion, when confronting model misspecification concerns of identically and independently distributed (IID)
PASCAL J. MAENHOUT +2 more
wiley +1 more source
Trees under attack: a Ray-Knight representation of Feller's branching diffusion with logistic growth
, 2012 We obtain a representation of Feller's branching diffusion with logistic growth in terms of the local times of a reflected Brownian motion $H$ with a drift that is affine linear in the local time accumulated by $H$ at its current level.
Le, Vi +2 more
core +3 more sources
Learning in the Limit: Income Inference from Credit Extensions
The Journal of Finance, EarlyView.ABSTRACT Combining a randomized controlled trial with administrative and survey data, this paper shows that credit limit extensions significantly increase total spending and income expectations. By controlling for changes in personal income expectations, the spending response to credit limit extensions weakens by approximately 30%.
XIAO YIN
wiley +1 more source
A Conversation with Chris Heyde
, 2006 Born in Sydney, Australia, on April 20, 1939, Chris Heyde shifted his interest from sport to mathematics thanks to inspiration from a schoolteacher. After earning an M.Sc. degree from the University of Sydney and a Ph.D.
Glasserman, Paul, Kou, Steven
core +1 more source
Time‐Varying Dispersion Integer‐Valued GARCH Models
Journal of Time Series Analysis, EarlyView.ABSTRACT We introduce a general class of INteger‐valued Generalized AutoRegressive Conditionally Heteroscedastic (INGARCH) processes by allowing simultaneously time‐varying mean and dispersion parameters. We call such models time‐varying dispersion INGARCH (tv‐DINGARCH) models.
Wagner Barreto‐Souza +3 more
wiley +1 more source
Bibliography: Publications of J. L. Doob
, 2009 Publications of J. L. DoobComment: Compiled by Don Burkholder; Published in at http://dx.doi.org/10.1214/09-AOP466 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat ...
Burkholder, Don
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Journal of Time Series Analysis, EarlyView.ABSTRACT We propose a new formulation of the Vašičekmodel within the framework of functional data analysis. We treat observations (continuous‐time rates) within a suitably defined trading day as a single statistical object. We then consider a sequence of such objects, indexed by day.
Piotr Kokoszka +4 more
wiley +1 more source