Elliptically contoured measures on infinite-dimensional Banach spaces
John Crawford (1977)
Studia Mathematica
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John Crawford (1977)
Studia Mathematica
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Zhao, Lin (2010)
International Journal of Stochastic Analysis
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An, Ta Thi Kieu, Øksendal, Bernt, Proske, Frank (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Enrique M. Cabaña (1985)
Trabajos de Estadística e Investigación Operativa
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An estimator of the standard deviation of the first derivative of a stationary Gaussian process with known variance and two continuous derivatives, based on the values of the relative maxima and minima, is proposed, and some of its properties are considered.
M. Talagrand (1996)
Geometric and functional analysis
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Marina L. Kleptsyna, Alain Le Breton, Michel Viot (2008)
ESAIM: Probability and Statistics
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In this paper we solve the basic fractional analogue of the classical linear-quadratic Gaussian regulator problem in continuous-time with partial observation. For a controlled linear system where both the state and observation processes are driven by fractional Brownian motions, we describe explicitly the optimal control policy which minimizes a quadratic performance criterion. Actually, we show that a separation principle holds, , the optimal control separates into two stages based...
Samuel Njoh (2007)
ESAIM: Probability and Statistics
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In many markets, especially in energy markets, electricity markets for instance, the detention of the physical asset is quite difficult. This is also the case for crude oil as treated by Davis (2000). So one can identify a good proxy which is an asset (financial or physical) (one)whose the spot price is significantly correlated with the spot price of the underlying ( electicity or crude oil). Generally, the market could become incomplete. We explicit exact hedging strategies for exponential...
Alina Kondratiuk-Janyska, Marek Kałuszka (2006)
Control and Cybernetics
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N.U. Ahmed (2008)
Discussiones Mathematicae, Differential Inclusions, Control and Optimization
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In this paper we consider a class of distributed parameter systems (partial differential equations) determined by strongly nonlinear operator valued measures in the setting of the Gelfand triple V ↪ H ↪ V* with continuous and dense embeddings where H is a separable Hilbert space and V is a reflexive Banach space with dual V*. The system is given by dx + A(dt,x) = f(t,x)γ(dt) + B(t)u(dt), x(0) = ξ, t ∈ I ≡ [0,T] where A is a strongly nonlinear operator...
Bahlali, Seïd, Mezerdi, Brahim, Djehiche, Boualem (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Dmitrasinovic-Vidovic, Gordana, Lari-Lavassani, Ali, Li, Xun, Ware, Antony (2010)
Journal of Probability and Statistics
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Picard, Jean (2006)
Electronic Journal of Probability [electronic only]
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