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Conjugate martingale transforms

Ferenc Weisz (1992)

Studia Mathematica

Characterizations of H₁, BMO and VMO martingale spaces generated by bounded Vilenkin systems via conjugate martingale transforms are studied.

Connectivity bounds for the vacant set of random interlacements

Vladas Sidoravicius, Alain-Sol Sznitman (2010)

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

The model of random interlacements on ℤd, d≥3, was recently introduced in [Vacant set of random interlacements and percolation. Available at http://www.math.ethz.ch/u/sznitman/preprints]. A non-negative parameter u parametrizes the density of random interlacements on ℤd. In the present note we investigate connectivity properties of the vacant set left by random interlacements at level u, in the non-percolative regime u>u∗, with u∗ the non-degenerate critical parameter for the percolation...

Consensus of heterogeneous multi-agent systems with uncertain DoS attack: Application to mobile stage vehicles

Wen-Hai Yu, Hong-Jie Ni, Hui Dong, Dan Zhang (2020)

Kybernetika

In this paper, the consensus of heterogeneous multi-agent systems (MASs) with uncertain Deny-of-Service (DoS) attack strategies is studied. In our system, all agents are time synchronized and they communicate with each other with a constant sampling period normally. When the system is under attack, all agents use the hold-input mechanism to update the control protocol. By assuming that the attack duration is upper bounded and the occurrence of the attack follows a Markovian jumping process, the...

Conservation property of symmetric jump processes

Jun Masamune, Toshihiro Uemura (2011)

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

Motivated by the recent development in the theory of jump processes, we investigate its conservation property. We will show that a jump process is conservative under certain conditions for the volume-growth of the underlying space and the jump rate of the process. We will also present examples of jump processes which satisfy these conditions.

Consistent price systems for subfiltrations

Andrea Gombani, Stefan Jaschke, Wolfgang Runggaldier (2007)

ESAIM: Probability and Statistics

Asymmetric or partial information in financial markets may be represented by different filtrations. We consider the case of a larger filtration F – the natural filtration of the “model world” – and a subfiltration ℱ ^ that represents the information available to an agent in the “real world”. Given a price system on the larger filtration that is represented by a martingale measure Q and an associated numeraire S, we show that there is a canonical and nontrivial numeraire Ŝ such that the price system...

Constrained controllability of nonlinear stochastic impulsive systems

Shanmugasundaram Karthikeyan, Krishnan Balachandran (2011)

International Journal of Applied Mathematics and Computer Science

This paper is concerned with complete controllability of a class of nonlinear stochastic systems involving impulsive effects in a finite time interval by means of controls whose initial and final values can be assigned in advance. The result is achieved by using a fixed-point argument.

Constrained optimality problem of Markov decision processes with Borel spaces and varying discount factors

Xiao Wu, Yanqiu Tang (2021)

Kybernetika

This paper focuses on the constrained optimality of discrete-time Markov decision processes (DTMDPs) with state-dependent discount factors, Borel state and compact Borel action spaces, and possibly unbounded costs. By means of the properties of so-called occupation measures of policies and the technique of transforming the original constrained optimality problem of DTMDPs into a convex program one, we prove the existence of an optimal randomized stationary policies under reasonable conditions.

Constrained portfolio liquidation in a limit order book model

Aurélien Alfonsi, Antje Fruth, Alexander Schied (2008)

Banach Center Publications

We consider the problem of optimally placing market orders so as to minimize the expected liquidity costs from buying a given amount of shares. The liquidity price impact of market orders is described by an extension of a model for a limit order book with resilience that was proposed by Obizhaeva and Wang (2006). We extend their model by allowing for a time-dependent resilience rate, arbitrary trading times, and general equilibrium dynamics for the unaffected bid and ask prices. Our main results...

Constraints on distributions imposed by properties of linear forms

Denis Belomestny (2010)

ESAIM: Probability and Statistics

Let (X1,Y1),...,(Xm,Ym) be m independent identically distributed bivariate vectors and L1 = β1X1 + ... + βmXm, L2 = β1X1 + ... + βmXm are two linear forms with positive coefficients. We study two problems: under what conditions does the equidistribution of L1 and L2 imply the same property for X1 and Y1, and under what conditions does the independence of L1 and L2 entail independence of X1 and Y1? Some analytical sufficient conditions are obtained and it is shown that in general they can not be...

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