The ordering of experimental designs. A Hilbert space approach
The packing measure of the trajectory of a one-dimensional symmetric Cauchy process.
The partial inner product space method: a quick overview.
The Poisson boundary of random rational affinities
We prove that in order to describe the Poisson boundary of rational affinities, it is necessary and sufficient to consider the action on real and all -adic fileds.
The Pólya-Aeppli process and ruin problems.
The present and future of signal processing
The pricing of credit risky securities under stochastic interest rate model with default correlation
In this paper, we study the pricing of credit risky securities under a three-firms contagion model. The interacting default intensities not only depend on the defaults of other firms in the system, but also depend on the default-free interest rate which follows jump diffusion stochastic differential equation, which extends the previous three-firms models (see R. A. Jarrow and F. Yu (2001), S. Y. Leung and Y. K. Kwok (2005), A. Wang and Z. Ye (2011)). By using the method of change of measure and...
The probability that brownian motion almost contains a line
The Radon-Nikodym property and convergence of amarts in Frechet spaces
The Rate of Convergence in the Functional Central Limit Theorem for Random Quadratic Forms with Some Applications to the Law of Iterated Logarithm.
The rate of convergence of option prices when general martingale discrete-time scheme approximates the Black-Scholes model
We take the martingale central limit theorem that was established, together with the rate of convergence, by Liptser and Shiryaev, and adapt it to the multiplicative scheme of financial markets with discrete time that converge to the standard Black-Scholes model. The rate of convergence of put and call option prices is shown to be bounded by . To improve the rate of convergence, we suppose that the increments are independent and identically distributed (but without binomial or similar restrictions...
The renewal theorem for random walk in two-dimensional time
The Rényi distances of Gaussian measures
The author in the paper evaluates the Rényi distances between two Gaussian measures using properties of nuclear operators and expresses the formula for the asymptotic rate of the Rényi distances of stationary Gaussian measures by the corresponding spectral density functions in a general case.
The representation of Poisson functionals
The Resolvent for Simple Random Walks on the Free Product of Two Discrete Groups.
The Riesz transform for Gaussian measures
The scaling limit of senile reinforced random walk.
The secretary problem : optimal selection with batch-interviewing and cost
The Skorokhod embedding problem and its offspring.
The smallest g-supermartingale and reflected BSDE with single and double obstacles