Série de Taylor stochastique et formule de Campbell-Hausdorff, d'après Benarous
We characterize all subsets of such that for every bounded parabolic function on . The closely related problem of representing functions as sums of Weierstrass kernels corresponding to points of is also considered. The results provide a parabolic counterpart to results for classical harmonic functions in a ball, see References. As a by-product the question of representability of probability continuous distributions as sums of multiples of normal distributions is investigated.
A Borel subset of the unit square whose vertical and horizontal sections are two-point sets admits a natural group action. We exploit this to discuss some questions about Borel subsets of the unit square on which every function is a sum of functions of the coordinates. Connection with probability measures with prescribed marginals and some function algebra questions is discussed.
We analyze the set-valued stochastic integral equations driven by continuous semimartingales and prove the existence and uniqueness of solutions to such equations in the framework of the hyperspace of nonempty, bounded, convex and closed subsets of the Hilbert space L2 (consisting of square integrable random vectors). The coefficients of the equations are assumed to satisfy the Osgood type condition that is a generalization of the Lipschitz condition. Continuous dependence of solutions with respect...
We consider the problem of the existence of solutions of the random set-valued equation: (I) , t ∈ [0,T] -a.e.; X₀ = U p.1 where F and U are given random set-valued mappings with values in the space , of all nonempty, compact and convex subsets of the separable Banach space E. Under certain restrictions on F we obtain existence of solutions of the problem (I). The connections between solutions of (I) and solutions of random differential inclusions are investigated.
We present the concepts of set-valued stochastic integrals in a plane and prove the existence of a solution to stochastic integral inclusions of the form
The purpose of the paper is to introduce a set-valued Stratonovich integral driven by a one-dimensional Brownian motion. We discuss the existence of this integral and investigate its properties.
Subadditivity is the key property which distinguishes the popular risk measures Value-at-Risk and Expected Shortfall (ES). In this paper we offer seven proofs of the subadditivity of ES, some found in the literature and some not. One of the main objectives of this paper is to provide a general guideline for instructors to teach the subadditivity of ES in a course. We discuss the merits and suggest appropriate contexts for each proof.With different proofs, different important properties of ES are...
When proposing and processing uncertainty decision-making algorithms of various kinds and purposes, we more and more often meet probability distributions ascribing non-numerical uncertainty degrees to random events. The reason is that we have to process systems of uncertainties for which the classical conditions like -additivity or linear ordering of values are too restrictive to define sufficiently closely the nature of uncertainty we would like to specify and process. In cases of non-numerical...
We generalize a theorem of Shao [Proc. Amer. Math. Soc.123 (1995) 575–582] on the almost-sure limiting behavior of the maximum of standardized random walk increments to multidimensional arrays of i.i.d. random variables. The main difficulty is the absence of an appropriate strong approximation result in the multidimensional setting. The multiscale statistic under consideration was used recently for the selection of the regularization parameter in a number of statistical algorithms as well as...
Microscopic prolate spheroids in a given volume of an opaque material are considered. The extremes of the shape factor of the spheroids are studied. The profiles of the spheroids are observed on a random planar section and based on these observations we want to estimate the distribution of the extremal shape factor of the spheroids. We show that under a tail uniformity condition the Maximum domain of attraction is stable. We discuss the normalising constants (n.c.) for the extremes of the spheroid...