A condition for weak disorder for directed polymers in random environment.
A conjecture on a class of matrices
A connection between controlled Markov chains and martingales
A connection between Gaussian processes and Markov processes.
A connection between the stochastic heat equation and fractional Brownian motion, and a simple proof of a result of Talagrand.
A conservative evolution of the Brownian excursion.
A Construction of Representing Measures for Elliptic and Parabolic Differential Equations.
A constructive sharp approach to functional quantization of stochastic processes.
A continuous mapping theorem for the argmin-set functional with applications to convex stochastic processes
For lower-semicontinuous and convex stochastic processes and nonnegative random variables we investigate the pertaining random sets of all -approximating minimizers of . It is shown that, if the finite dimensional distributions of the converge to some and if the converge in probability to some constant , then the converge in distribution to in the hyperspace of Vietoris. As a simple corollary we obtain an extension of several argmin-theorems in the literature. In particular, in...
A continuous martingale in the plane that may spiral away to infinity
A continuous-time model for claims reserving
Prediction of outstanding liabilities is an important problem in non-life insurance. In the framework of the Solvency II Project, the best estimate must be derived by well defined probabilistic models properly calibrated on the relevant claims experience. A general model along these lines was proposed earlier by Norberg (1993, 1999), who suggested modelling claim arrivals and payment streams as a marked point process. In this paper we specify that claims occur in [0,1] according to a Poisson point...
A continuous-time search model with finite horizon
A contractive property in finite state Markov chains
A controller and a stopper game with degenerate variance control.
A convergence of fuzzy random variables
In this paper, a general convergence theorem of fuzzy random variables is considered. Using this result, we can easily prove the recent result of Joo et al, which gives generalization of a strong law of large numbers for sums of stationary and ergodic processes to the case of fuzzy random variables. We also generalize the recent result of Kim, which is a strong law of large numbers for sums of levelwise independent and levelwise identically distributed fuzzy random variables.
A convergence theorem for Dirichlet forms with applications to boundary value problems with varying domains.
A converse comparison theorem for BSDEs and related properties of -expectation.
A converse to some inequalities and approximations in the theory of Stieltjes and stochastic integrals, and for nth derivatives
A correction to “Some mean convergence and complete convergence theorems for sequences of -linearly negative quadrant dependent random variables”
The authors provide a correction to “Some mean convergence and complete convergence theorems for sequences of -linearly negative quadrant dependent random variables”.
A counter-example concerning a condition of Ogawa integrability