A functional central limit theorem for martingales in C(K) and its application to sequential estimates.
A functional combinatorial central limit theorem.
A functional hungarian construction for sums of independent random variables
A functional inequality for the survival function of the gamma distribution.
A functional limit theorem for a 2D-random walk with dependent marginals.
A further study of an approximation for last-exit and first-passage probabilities of a random walk.
A fuzzy approach to option pricing in a Levy process setting
In this paper the problem of European option valuation in a Levy process setting is analysed. In our model the underlying asset follows a geometric Levy process. The jump part of the log-price process, which is a linear combination of Poisson processes, describes upward and downward jumps in price. The proposed pricing method is based on stochastic analysis and the theory of fuzzy sets. We assume that some parameters of the financial instrument cannot be precisely described and therefore they are...
A game model referring to the control of independent discrete time stochastic processes
A game-theoretical model of competition for staff between two departments
The main purpose of this paper is to analyze a development of a scenario suggested by Baston and Garnaev (2005) for modelling the situation where two departments in a large organization are each seeking to make an appointment within the same area of expertise, for instance, a computer science specialist. The departments are interested in three skills of the candidate (say, writing code, communication and in algorithms). In our scenario Department 1 wants to employ a candidate with excellent skills...
A Gaussian bound for convolutions of functions on locally compact groups
We give new and general sufficient conditions for a Gaussian upper bound on the convolutions of a suitable sequence K₁, K₂, K₃, ... of complex-valued functions on a unimodular, compactly generated locally compact group. As applications, we obtain Gaussian bounds for convolutions of suitable probability densities, and for convolutions of small perturbations of densities.
A Gaussian correlation inequality and its applications to small ball probabilities.
A Gaussian Correlation Inequality for Certain Bodies in Rn .
A Gaussian oscillator.
A gaussian sheet connected to symmetric Markov chains
A Gauss-Kuzmin theorem for the Rosen fractions
Using the natural extensions for the Rosen maps, we give an infinite-order-chain representation of the sequence of the incomplete quotients of the Rosen fractions. Together with the ergodic behaviour of a certain homogeneous random system with complete connections, this allows us to solve a variant of Gauss-Kuzmin problem for the above fraction expansion.
A Gauss-Kuzmin-Lévy theorem for a certain continued fraction.
A general analytical result for non-linear SPDE's and applications.
A general bounded continuous moment problem and its sets of uniqueness
A general Choquet–Deny theorem for nilpotent groups
A general law of complete moment convergence for self-normalized sums.