A variational formula for positive functionals of a Poisson random measure and brownian motion is proved. The formula is based on the relative entropy representation for exponential integrals, and can be used to prove large deviation type estimates. A general large deviation result is proved, and illustrated with an example.
Parameter sensitivities of prices for derivative contracts play an important role in model calibration as well as in quantification of model risk. In this paper a unified approach to the efficient numerical computation of all sensitivities for Markovian market models is presented. Variational approximations of the integro-differential equations corresponding to the infinitesimal generators of the market model differentiated with respect to the model parameters are employed. Superconvergent approximations...
We compare alternative definitions of undirected graphical models for discrete, finite variables. Lauritzen [7] provides several definitions of such models and describes their relationships. He shows that the definitions agree only when joint distributions represented by the models are limited to strictly positive distributions. Heckerman et al. [6], in their paper on dependency networks, describe another definition of undirected graphical models for strictly positive distributions. They show that...
In this paper, we consider the ratios of order statistics in samples from uniform distribution and establish strong and weak laws for these ratios.
The Choquet-Deny theorem and Deny’s theorem are extended to the vector-valued case. They are applied to give a simple nonprobabilistic proof of the vector-valued renewal theorem, which is used to study the -dimension, the -density and the Fourier transformation of vector-valued self-similar measures. The results answer some questions raised by Strichartz.
The vector-valued T(1) theorem due to Figiel, and a certain square function estimate of Bourgain for translations of functions with a limited frequency spectrum, are two cornerstones of harmonic analysis in UMD spaces. In this paper, a simplified approach to these results is presented, exploiting Nazarov, Treil and Volberg's method of random dyadic cubes, which allows one to circumvent the most subtle parts of the original arguments.
Nous étudions un théorème de Skorohod pour des mesures vectorielles à valeurs . En notant la mesure image de par la variable aléatoire nous donnons des classes de mesures et éventuel-lement de variables telles que, si la suite converge étroitement, il existe une suite qui converge en mesure, éventuel-lement p.s.Le problème de Monge est abordé comme application. Soit la mesure variation de , pour un couple et une fonction coût le problème de Monge est l’existence d’une fonction...
We aim at characterizing viability, invariance and some reachability properties of controlled piecewise deterministic Markov processes (PDMPs). Using analytical methods from the theory of viscosity solutions, we establish criteria for viability and invariance in terms of the first order normal cone. We also investigate reachability of arbitrary open sets. The method is based on viscosity techniques and duality for some associated linearized problem. The theoretical results are applied to general...
We aim at characterizing viability, invariance and some reachability properties of controlled piecewise deterministic Markov processes (PDMPs). Using analytical methods from the theory of viscosity solutions, we establish criteria for viability and invariance in terms of the first order normal cone. We also investigate reachability of arbitrary open sets. The method is based on viscosity techniques and duality for some associated linearized problem. The theoretical results are applied to general...
We aim at characterizing viability, invariance and some reachability properties of controlled piecewise deterministic Markov processes (PDMPs). Using analytical methods from the theory of viscosity solutions, we establish criteria for viability and invariance in terms of the first order normal cone. We also investigate reachability of arbitrary open sets. The method is based on viscosity techniques and duality for some associated linearized problem. The theoretical results are applied to general...
Nous présentons une méthode permettant d’établir le théorème limite central avec vitesse en pour certains systèmes dynamiques. Elle est basée sur une propriété de décorrélation forte qui semble assez naturelle dans le cadre des systèmes quasi-hyperboliques. Nous prouvons que cette propriété est satisfaite par les exemples des flots diagonaux sur un quotient compact de et les « transformations » non uniformément hyperboliques du tore étudiées par Shub et Wilkinson.
Soit Q une probabilité de transition sur un espace mesurable E, admettant une probabilité invariante, soit (Xn)n une chaîne de Markov associée à Q, et soit ξ une fonction réelle mesurable sur E, et Sn=∑nk=1ξ(Xk). Sous des hypothèses fonctionnelles sur l’action de Q et des noyaux de Fourier Q(t), nous étudions la vitesse de convergence dans le théorème limite central pour la suite . Selon les hypothèses nous obtenons une vitesse enn−τ/2 pour tout τ<1, ou bien en n−1/2. Nous appliquons la...