On changes of measure in stochastic volatility models.
On changing time
On characteristic functions of kth record values from the generalized extreme value distribution and its characterization
Recurrence relations for the marginal, joint and conditional characteristic functions of kth record values from the generalized extreme value distribution are established. These relations are utilized to obtain recurrence relations for single, product and conditional moments of kth record values. Moreover, by making use of the recurrence relations the generalized extreme value distribution is characterized.
On characterizations of interpolable and minimal stationary processes
On characterizing the Pólya distribution
In this paper two characterizations of the Pólya distribution are obtained when its contagion parameter is negative. One of them is based on mixtures and the other one is obtained by characterizing a subfamily of the discrete Pearson system.
On characterizing the Pólya distribution
In this paper two characterizations of the Pólya distribution are obtained when its contagion parameter is negative. One of them is based on mixtures and the other one is obtained by characterizing a subfamily of the discrete Pearson system.
On Choquet-Deny measures
On Chung-Teicher type strong law for arrays of vector-valued random variables.
On Chung-Teicher type strong law of large numbers for -mixing random variables.
On coarse-grained entropy and mixing in statistical mechanics.
On coincidences in renewal streams
On compact Ito's formulas for martingales of mc4.
We prove that the class mc4 of continuous martingales with parameter set [0,1]2, bounded in L4, is included in the class of semi-martingales Sc∞(L0(P)) defined by Allain in [A]. As a consequence we obtain a compact Itô's formula. Finally we relate this result with the compact Itô formula obtained by Sanz in [S] for martingales of mc4.
On complete convergence for arrays of rowwise -mixing random variables and its applications.
On complete convergence for -mixingales.
On complete convergence for randomly indexed sums for a case without identical distributions.
On complete convergence for weighted sums of -mixing random variables.
On complete convergence in a Banach space.
On complete convergence of the sum of a random number of stable type random elements.
On complete moment convergence for weighted sums of AANA random variables
In this work, a complete moment convergence theorem is obtained for weighted sums of asymptotically almost negatively associated (AANA) random variables without assumption of identical distribution under some mild moment conditions. As an application, the complete convergence theorems for weighted sums of negatively associated (NA) and AANA random variables are obtained. The result not only generalizes the corresponding ones of Sung [13] and Huang et al. [8], but also improves them.
On complete moment convergence for weighted sums of negatively superadditive dependent random variables
In this work, the complete moment convergence and complete convergence for weighted sums of negatively superadditive dependent (NSD) random variables are studied, and some equivalent conditions of these strong convergences are established. These main results generalize and improve the corresponding theorems of Baum and Katz (1965) and Chow (1988) to weighted sums of NSD random variables without the assumption of identical distribution. As an application, a Marcinkiewicz-Zygmund-type strong law of...