On extrapolation in multiple ARMA processes
On Extrapolation of Moving Average and Autoregressive Processes
On extremal dependence of block vectors
Due to globalization and relaxed market regulation, we have assisted to an increasing of extremal dependence in international markets. As a consequence, several measures of tail dependence have been stated in literature in recent years, based on multivariate extreme-value theory. In this paper we present a tail dependence function and an extremal coefficient of dependence between two random vectors that extend existing ones. We shall see that in weakening the usual required dependence allows to...
On extremal solutions of martingale problems
On factorization components of the sojourn times for semicontinuous random walks in a strip.
On Feller's criterion for the law of the iterated logarithm.
On filtrations related to purely discontinuous martingales
On fractional fields indexed by metric spaces.
On fully coupled continuous time random walks
Continuous time random walks with jump sizes equal to the corresponding waiting times for jumps are considered. Sufficient conditions for the weak convergence of such processes are established and the limiting processes are identified. Furthermore one-dimensional distributions of the limiting processes are given under an additional assumption.
On Gaussian Brunn-Minkowski inequalities
We are interested in Gaussian versions of the classical Brunn-Minkowski inequality. We prove in a streamlined way a semigroup version of the Ehrhard inequality for m Borel or convex sets based on a previous work by Borell. Our method also yields semigroup proofs of the geometric Brascamp-Lieb inequality and of its reverse form, which follow exactly the same lines.
On generalized linear discrete inversion filters
On harmonic functions of symmetric Lévy processes
We consider some classes of Lévy processes for which the estimate of Krylov and Safonov (as in (Potential Anal.17 (2002) 375–388)) fails and thus it is not possible to use the standard iteration technique to obtain a-priori Hölder continuity estimates of harmonic functions. Despite the failure of this method, we obtain some a-priori regularity estimates of harmonic functions for these processes. Moreover, we extend results from (Probab. Theory Related Fields135 (2006) 547–575) and obtain asymptotic...
On Higher Riesz Transforms for Gaussian Measures.
On impulsive control with long run average cost criterion
On independent times and positions for Brownian motions.
On inequalities for two-parameter martingales.
On infection spreading and competition between independent random walks.
On infinite horizon multi-person stopping games with priorities
We study nonzero-sum multi-person multiple stopping games with players' priorities. The existence of Nash equilibrium is proved. Examples of multi stopping of Markov chains are considered. The game may also be presented as a special case of a stochastic game which leads to many variations of it, in which stopping is a part of players' strategies.
On intensities of modulated Cox measures.
On interpolation of moving average processes