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Exponential martingales and CIR model

Wojciech Szatzschneider (2008)

Banach Center Publications

With the use of exponential martingales and the Girsanov theorem we show how to calculate bond prices in a large variety of square root processes. We clarify and correct several errors that abound in financial literature concerning these processes. The most important topics are linear risk premia, the Longstaff double square model, and calculations concerning correlated CIR processes.

Józef Marcinkiewicz: analysis and probability

N. H. Bingham (2011)

Banach Center Publications

We briefly review Marcinkiewicz's work, on analysis, on probability, and on the interplay between the two. Our emphasis is on the continuing vitality of Marcinkiewicz's work, as evidenced by its influence on the standard works. What is striking is how many of the themes that Marcinkiewicz studied (alone, or with Zygmund) are very much alive today. What this demonstrates is that Marcinkiewicz and Zygmund, as well as having extraordinary mathematical ability, also had excellent mathematical taste.

Martingale operators and Hardy spaces generated by them

Ferenc Weisz (1995)

Studia Mathematica

Martingale Hardy spaces and BMO spaces generated by an operator T are investigated. An atomic decomposition of the space H p T is given if the operator T is predictable. We generalize the John-Nirenberg theorem, namely, we prove that the B M O q spaces generated by an operator T are all equivalent. The sharp operator is also considered and it is verified that the L p norm of the sharp operator is equivalent to the H p T norm. The interpolation spaces between the Hardy and BMO spaces are identified by the real method....

Monotonic rearrangements of functions with small mean oscillation

Dmitriy M. Stolyarov, Vasily I. Vasyunin, Pavel B. Zatitskiy (2015)

Studia Mathematica

We obtain sharp bounds for the monotonic rearrangement operator from "dyadic-type" classes to "continuous" ones; in particular, for the BMO space and Muckenhoupt classes. The idea is to connect the problem with a simple geometric construction named α-extension.

On a class of estimators in a multivariate RCA(1) model

Zuzana Prášková, Pavel Vaněček (2011)

Kybernetika

This work deals with a multivariate random coefficient autoregressive model (RCA) of the first order. A class of modified least-squares estimators of the parameters of the model, originally proposed by Schick for univariate first-order RCA models, is studied under more general conditions. Asymptotic behavior of such estimators is explored, and a lower bound for the asymptotic variance matrix of the estimator of the mean of random coefficient is established. Finite sample properties are demonstrated...

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