Displaying similar documents to “Adaptive Deterministic Dyadic Grids on Spaces of Homogeneous Type”

Survival of homogeneous fragmentation processes with killing

Robert Knobloch, Andreas E. Kyprianou (2014)

Annales de l'I.H.P. Probabilités et statistiques

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We consider a homogeneous fragmentation process with killing at an exponential barrier. With the help of two families of martingales we analyse the decay of the largest fragment for parameter values that allow for survival. In this respect the present paper is also concerned with the probability of extinction of the killed process.

Generalized homogeneous Besov spaces and their applications

Mejjaoli, Hatem (2012)

Serdica Mathematical Journal

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2010 Mathematics Subject Classification: Primary 35L05. Secondary 46E35, 35J25, 22E30. In this paper we define the homogeneous Besov spaces associated with the Dunkl operators on R^d, and we give a complete analysis on these spaces and same applications.

Two Inequalities for the First Moments of a Martingale, its Square Function and its Maximal Function

Adam Osękowski (2005)

Bulletin of the Polish Academy of Sciences. Mathematics

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Given a Hilbert space valued martingale (Mₙ), let (M*ₙ) and (Sₙ(M)) denote its maximal function and square function, respectively. We prove that 𝔼|Mₙ| ≤ 2𝔼 Sₙ(M), n=0,1,2,..., 𝔼 M*ₙ ≤ 𝔼 |Mₙ| + 2𝔼 Sₙ(M), n=0,1,2,.... The first inequality is sharp, and it is strict in all nontrivial cases.

On Existence of Local Martingale Measures for Insiders who Can Stop at Honest Times

Jakub Zwierz (2007)

Bulletin of the Polish Academy of Sciences. Mathematics

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We consider a market with two types of agents with different levels of information. In addition to a regular agent, there is an insider whose additional knowledge consists of being able to stop at an honest time Λ. We show, using the multiplicative decomposition of the Azéma supermartingale, that if the martingale part of the price process has the predictable representation property and Λ satisfies some mild assumptions, then there is no equivalent local martingale measure for the insider....