A different construction of gaussian fields from Markov chains : Dirichlet covariances
A differentiable isomorphism between Wiener space and path group
A discrete and finite approach to past physical reality.
A discrete approach to the chaotic representation property
A discrete stochastic Korovkin theorem.
A dozen de Finetti-style results in search of a theory
A duality principle for stationary random sequences
The paper is devoted to the study of stationary random sequences. A concept of dual sequences is discussed. The main aim of the paper is to establish a relationship between the errors of linear least squares predictions for sequences and their duals.
A dynamical characterization of Poisson-Dirichlet distributions.
A family of integral representations for the brownian variables
A family of non-Gaussian martingales with Gaussian marginals.
A family of stationary processes with infinite memory having the same p-marginals. Ergodic and spectral properties
We construct a large family of ergodic non-Markovian processes with infinite memory having the same p-dimensional marginal laws of an arbitrary ergodic Markov chain or projection of Markov chains. Some of their spectral and mixing properties are given. We show that the Chapman-Kolmogorov equation for the ergodic transition matrix is generically satisfied by infinite memory processes.
A formula for densities of transition functions
A functional approach for random walks in random sceneries.
A functional central limit theorem for martingales in C(K) and its application to sequential estimates.
A further study of an approximation for last-exit and first-passage probabilities of a random walk.
A fuzzy approach to option pricing in a Levy process setting
In this paper the problem of European option valuation in a Levy process setting is analysed. In our model the underlying asset follows a geometric Levy process. The jump part of the log-price process, which is a linear combination of Poisson processes, describes upward and downward jumps in price. The proposed pricing method is based on stochastic analysis and the theory of fuzzy sets. We assume that some parameters of the financial instrument cannot be precisely described and therefore they are...
A game model referring to the control of independent discrete time stochastic processes
A Gaussian bound for convolutions of functions on locally compact groups
We give new and general sufficient conditions for a Gaussian upper bound on the convolutions of a suitable sequence K₁, K₂, K₃, ... of complex-valued functions on a unimodular, compactly generated locally compact group. As applications, we obtain Gaussian bounds for convolutions of suitable probability densities, and for convolutions of small perturbations of densities.
A Gaussian correlation inequality and its applications to small ball probabilities.
A general analytical result for non-linear SPDE's and applications.