(Conférence n°4) Accouplement de processus linéaires. Images de probabilités cylindriques par certaines applications non linéaires
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Paul Krée (1971/1972)
Séminaire Équations aux dérivées partielles (Polytechnique)
Ladislav Tomášek (1989)
Commentationes Mathematicae Universitatis Carolinae
Jan Uboe (1987)
Mathematica Scandinavica
J.-A. Chao (1979)
Mathematische Annalen
Ferenc Weisz (1992)
Studia Mathematica
Characterizations of H₁, BMO and VMO martingale spaces generated by bounded Vilenkin systems via conjugate martingale transforms are studied.
Krikun, Maxim (2007)
Electronic Communications in Probability [electronic only]
Vladas Sidoravicius, Alain-Sol Sznitman (2010)
Annales de l'I.H.P. Probabilités et statistiques
The model of random interlacements on ℤd, d≥3, was recently introduced in [Vacant set of random interlacements and percolation. Available at http://www.math.ethz.ch/u/sznitman/preprints]. A non-negative parameter u parametrizes the density of random interlacements on ℤd. In the present note we investigate connectivity properties of the vacant set left by random interlacements at level u, in the non-percolative regime u>u∗, with u∗ the non-degenerate critical parameter for the percolation...
Marc Arnaudon (1992)
Séminaire de probabilités de Strasbourg
Fang, Ming, Zeitouni, Ofer (2010)
Electronic Communications in Probability [electronic only]
Andrea Gombani, Stefan Jaschke, Wolfgang Runggaldier (2007)
ESAIM: Probability and Statistics
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...
Aurélien Alfonsi, Antje Fruth, Alexander Schied (2008)
Banach Center Publications
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...
Paul-André Meyer (1979)
Séminaire de probabilités de Strasbourg
Claude Dellacherie, Paul-André Meyer (1978)
Séminaire de probabilités de Strasbourg
J. Auerhan, Dominique Lépingle, Marc Yor (1980)
Séminaire de probabilités de Strasbourg
K. Arndt, P. Franken (1979)
Applicationes Mathematicae
Shinzo Watanabe (1979)
Banach Center Publications
Steven N. Evans, Jim Pitman (1998)
Annales de l'I.H.P. Probabilités et statistiques
Shinzo Watanabe (1987)
Annales de l'I.H.P. Probabilités et statistiques
Friedrich Liese, Udo Lorz (1999)
Kybernetika
Using the concept of Hellinger integrals, necessary and sufficient conditions are established for the contiguity of two sequences of distributions of Poisson point processes with an arbitrary state space. The distribution of logarithm of the likelihood ratio is shown to be infinitely divisible. The canonical measure is expressed in terms of the intensity measures. Necessary and sufficient conditions for the LAN-property are formulated in terms of the corresponding intensity measures.
J. L. Besson (1974)
Publications du Département de mathématiques (Lyon)