Limit theorems for vertex-reinforced jump processes on regular trees.
Limiting behavior of a diffusion in an asymptotically stable environment
Limiting behavior of the perturbed empirical distribution functions evaluated at -statistics for strongly mixing sequences of random variables.
Limiting behaviour of moving average processes based on a sequence of mixing and negatively associated random variables.
Limiting spectral distribution of XX' matrices
The methods to establish the limiting spectral distribution (LSD) of large dimensional random matrices includes the well-known moment method which invokes the trace formula. Its success has been demonstrated in several types of matrices such as the Wigner matrix and the sample covariance matrix. In a recent article Bryc, Dembo and Jiang [Ann. Probab.34 (2006) 1–38] establish the LSD for random Toeplitz and Hankel matrices using the moment method. They perform the necessary counting of terms in the...
Local Conditional Expectations and an Application to a Central Limit Theorem on a Locally Compact Abelian Group.
Loi du logarithme itère pour certaines intégrales stochastiques
Loi du logarithme itère pour les suites de vecteurs gaussiens
Lyapunov exponents of linear stochastic functional differential equations driven by semimartingales. Part I : the multiplicative ergodic theory
Marcinkiewicz-type strong law of large numbers for double arrays of pairwise independent random variables.
Martingale criteria for stochastic stability
Martingale theorems in the ergodic theory
Maximal inequalities and some convergence theorems for fuzzy random variables
Some maximal inequalities for quadratic forms of independent and linearly negative quadrant dependent fuzzy random variables are established. Strong convergence of such quadratic forms are proved based on the martingale theory. A weak law of large numbers for linearly negative quadrant dependent fuzzy random variables is stated and proved.
Maximal inequalities for dependent random variables and applications.
Medidas de centralización multidimensionales (ley fuerte de los grandes números).
En este trabajo definimos una medida de centralización multidimensional para vectores aleatorios como el valor del parámetro para el que se alcanza el mínimo de las integrales de ciertas funciones. Estudiamos su relación con otras medidas de centralización multidimensionales conocidas. Finalizamos demostrando la Ley Fuerte de los Grandes Números, tanto para la medida de centralización definida como para la de dispersión asociada.
Metric results on a new notion of discrepancy
Milstein’s type schemes for fractional SDEs
Weighted power variations of fractional brownian motion B are used to compute the exact rate of convergence of some approximating schemes associated to one-dimensional stochastic differential equations (SDEs) driven by B. The limit of the error between the exact solution and the considered scheme is computed explicitly.
Models for option pricing based on empirical characteristic function of returns
The standard Merton-Black-Scholes formula for European Option pricing serves only as approximation to real values of options. More advanced extensions include applications of Lévy processes and are based on characteristic functions, which are more convenient to use than the corresponding probability distributions. We found one of the Lewis (2001) general theoretical formulae for option pricing based on characteristic functions particularly suitable for a statistical approach to option pricing. By...
Moderate deviations and laws of the iterated logarithm for the volume of the intersections of Wiener sausages.
Moment functions and laws of large numbers on hypergroups.