All a b c d e f g h i j k l m n o p q r s t u v w x y z Other

Previous Page 2 Next

Displaying 21 – 40 of 83

Showing per page

Hiding a constant drift

Vilmos Prokaj, Miklós Rásonyi, Walter Schachermayer (2011)

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

The following question is due to Marc Yor: Let B be a brownian motion and St=t+Bt. Can we define an -predictable process H such that the resulting stochastic integral (H⋅S) is a brownian motion (without drift) in its own filtration, i.e. an -brownian motion? In this paper we show that by dropping the requirement of -predictability of H we can give a positive answer to this question. In other words, we are able to show that there is a weak solution to Yor’s question. The original question, i.e.,...

Modelling Real World Using Stochastic Processes and Filtration

Peter Jaeger (2016)

Formalized Mathematics

First we give an implementation in Mizar [2] basic important definitions of stochastic finance, i.e. filtration ([9], pp. 183 and 185), adapted stochastic process ([9], p. 185) and predictable stochastic process ([6], p. 224). Second we give some concrete formalization and verification to real world examples. In article [8] we started to define random variables for a similar presentation to the book [6]. Here we continue this study. Next we define the stochastic process. For further definitions...

Neighbourhoods of independence and associated geometry in manifolds of bivariate Gaussian and Freund distributions

Khadiga Arwini, Christopher Dodson (2007)

Open Mathematics

We provide explicit information geometric tubular neighbourhoods containing all bivariate distributions sufficiently close to the cases of independent Poisson or Gaussian processes. This is achieved via affine immersions of the 4-manifold of Freund bivariate distributions and of the 5-manifold of bivariate Gaussians. We provide also the α-geometry for both manifolds. The Central Limit Theorem makes our neighbourhoods of independence limiting cases for a wide range of bivariate distributions; the...

Currently displaying 21 – 40 of 83