Consistent non-parametric bayesian estimation for a time-inhomogeneous brownian motion
We establish posterior consistency for non-parametric Bayesian estimation of the dispersion coefficient of a time-inhomogeneous Brownian motion.
Consistent price systems for subfiltrations
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 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...
Constant rate distributions on partially ordered sets.
Constrained controllability of nonlinear stochastic impulsive systems
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
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
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
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...
Constraints on distributions imposed by properties of linear forms
Let be independent identically distributed bivariate vectors and , are two linear forms with positive coefficients. We study two problems: under what conditions does the equidistribution of and imply the same property for and , and under what conditions does the independence of and entail independence of and ? Some analytical sufficient conditions are obtained and it is shown that in general they can not be weakened.
Constructing copulas by means of pairs of order statistics
In this paper, we introduce two transformations on a given copula to construct new and recover already-existent families. The method is based on the choice of pairs of order statistics of the marginal distributions. Properties of such transformations and their effects on the dependence and symmetry structure of a copula are studied.
Constructing infinitely divisible characteristic functions
Constructing One-Parameter Transformations on White Noise Functions in Terms of Equicontinuous Generators.
Constructing quantum dissipations and their reversible states from classical interacting spin systems
Construction de l'opérateur de Malliavin sur l'espace de Poisson
Construction de processus de Markov sur
Construction de processus de Nelson réversibles
Construction de quasimartingales s'annulant sur un ensemble donné
Construction de solutions d'«équations de structure»
Construction directe d'une diffusion sur une variété
Construction d'un processus prévisible ayant une valeur donnée en un temps d'arrêt
Construction d'une martingale réelle continue de filtration naturelle donnée