A local time inequality for martingales
Displaying 81 – 100 of 456
A log-type moment result for perpetuities and its application to martingales in supercritical branching random walks.
Alsmeyer, Gerold, Iksanov, Alex (2009)
Electronic Journal of Probability [electronic only]
A lower bound in the law of the iterated logarithm for general lacunary series
Charles N. Moore, Xiaojing Zhang (2014)
Studia Mathematica
We prove a lower bound in a law of the iterated logarithm for sums of the form where f satisfies certain conditions and the satisfy the Hadamard gap condition .
A lower bound on the growth exponent for loop-erased random walk in two dimensions
Gregory F. Lawler (1999)
ESAIM: Probability and Statistics
A Lower Bound on the Growth Exponent for Loop-Erased Random Walk in Two Dimensions
Gregory F. Lawler (2010)
ESAIM: Probability and Statistics
The growth exponent α for loop-erased or Laplacian random walk on the integer lattice is defined by saying that the expected time to reach the sphere of radius n is of order nα. We prove that in two dimensions, the growth exponent is strictly greater than one. The proof uses a known estimate on the third moment of the escape probability and an improvement on the discrete Beurling projection theorem.
A Markov property for two parameter Gaussian processes.
David Nualart Rodón, M. Sanz (1979)
Stochastica
This paper deals with the relationship between two-dimensional parameter Gaussian random fields verifying a particular Markov property and the solutions of stochastic differential equations. In the non Gaussian case some diffusion conditions are introduced, obtaining a backward equation for the evolution of transition probability functions.
A Markov regime-switching marked point process for short-rate analysis with credit risk.
Siu, Tak Kuen (2010)
International Journal of Stochastic Analysis
A martingale approach to general Franklin systems
Anna Kamont, Paul F. X. Müller (2006)
Studia Mathematica
We prove unconditionality of general Franklin systems in , where X is a UMD space and where the general Franklin system corresponds to a quasi-dyadic, weakly regular sequence of knots.
A martingale approach to some Wiener-Hopf problems, I
R. R. London, H. P. Mc Kean, L. C. G. Rogers, David Williams (1982)
Séminaire de probabilités de Strasbourg
A martingale approach to some Wiener-Hopf problems, II
R. R. London, Henry P. Mc Kean, L. C. G. Rogers, David Williams (1982)
Séminaire de probabilités de Strasbourg
A martingale central limit theorem
Petr Lachout (1986)
Commentationes Mathematicae Universitatis Carolinae
A martingale control variate method for option pricing with stochastic volatility
Jean-Pierre Fouque, Chuan-Hsiang Han (2007)
ESAIM: Probability and Statistics
A generic control variate method is proposed to price options under stochastic volatility models by Monte Carlo simulations. This method provides a constructive way to select control variates which are martingales in order to reduce the variance of unbiased option price estimators. We apply a singular and regular perturbation analysis to characterize the variance reduced by martingale control variates. This variance analysis is done in the regime where time scales of associated driving volatility...
A martingale on the zero-set of a holomorphic function.
Kink, Peter (2008)
Electronic Communications in Probability [electronic only]
A martingale proof of the Khinchin iterated logarithm law for Wiener processes
Nicolai V. Krylov (1995)
Séminaire de probabilités de Strasbourg
A martingale proof of the theorem by Jessen, Marcinkiewicz and Zygmund on strong differentiation of integrals
Malgorsata Kuchta, Michal Morayne, Slawomir Solecki (2001)
Séminaire de probabilités de Strasbourg
A mathematical framework for learning and adaption: (generalized) random systems with complete connections.
Ulrich Herkenrath, Radu Theodorescu (1981)
Trabajos de Estadística e Investigación Operativa
The aim of this paper is to show that the theory of (generalized) random systems with complete connection may serve as a mathematical framework for learning and adaption. Chapter 1 is of an introductory nature and gives a general description of the problems with which one is faced. In Chapter 2 the mathematical model and some results about it are explained. Chapter 3 deals with special learning and adaption models.
A mathematical model of an In Vitro experiment to investigate endothelial cell migration.
Plank, M.J., Sleeman, B.D., Jones, P.F. (2002)
Journal of Theoretical Medicine
A matrix representation of the Bercovici-Pata bijection.
Cabanal-Duvillard, Thierry (2005)
Electronic Journal of Probability [electronic only]
A matrix with an application to the motion of an absorbing Markov chain. I.
Mohamed A. El-Shehawey, A. M. Trabya (1996)
Mathematica Slovaca
A maximal inequality for martingale local times
Saul D. Jacka (1987)
Séminaire de probabilités de Strasbourg