Local extinction for superprocesses in random environments.
Local martingales and filtration shrinkage
A general theory is developed for the projection of martingale related processes onto smaller filtrations, to which they are not even adapted. Martingales, supermartingales, and semimartingales retain their nature, but the case of local martingales is more delicate, as illustrated by an explicit case study for the inverse Bessel process. This has implications for the concept of No Free Lunch with Vanishing Risk, in Finance.
Local martingales and filtration shrinkage
A general theory is developed for the projection of martingale related processes onto smaller filtrations, to which they are not even adapted. Martingales, supermartingales, and semimartingales retain their nature, but the case of local martingales is more delicate, as illustrated by an explicit case study for the inverse Bessel process. This has implications for the concept of No Free Lunch with Vanishing Risk, in Finance.
Local martingales measures
Local maxima of a random algebraic polynomial.
Local solutions for stochastic Navier Stokes equations
Local Solutions for Stochastic Navier Stokes Equations
In this article we consider local solutions for stochastic Navier Stokes equations, based on the approach of Von Wahl, for the deterministic case. We present several approaches of the concept, depending on the smoothness available. When smoothness is available, we can in someway reduce the stochastic equation to a deterministic one with a random parameter. In the general case, we mimic the concept of local solution for stochastic differential equations.
Local time and pathwise uniqueness for stochastic differential equations
Local times and singularities of continuous local martingales
Local volatility in the Heston model: a Malliavin calculus approach.
Localisation pour l'opérateur de Schrödinger aléatoire dans un ruban
Localization for random Schrödinger operators with Poisson potential
Localization of spectrum bottom for the Stokes operator in a random porous medium.
Locally periodic homogenization of reflected diffusion.
Log-optimal investment in the long run with proportional transaction costs when using shadow prices
We consider a non-consuming agent interested in the maximization of the long-run growth rate of a wealth process investing either in a money market and in one risky asset following a geometric Brownian motion or in futures following an arithmetic Brownian motion. The agent faces proportional transaction costs, and similarly as in [17] where the case of stock trading is considered, we show how the log-optimal optimal policies in the long run can be derived when using the technical tool of shadow...
Lois de martingale, densités et décomposition de Föllmer Schweizer
Long-memory stable Ornstein-Uhlenbeck processes.
Long-term behavior for superprocesses over a stochastic flow.
Long-time behavior of solutions to a class of quasilinear parabolic equations with random coefficients
Low-variance direct Monte Carlo simulations using importance weights
We present an efficient approach for reducing the statistical uncertainty associated with direct Monte Carlo simulations of the Boltzmann equation. As with previous variance-reduction approaches, the resulting relative statistical uncertainty in hydrodynamic quantities (statistical uncertainty normalized by the characteristic value of quantity of interest) is small and independent of the magnitude of the deviation from equilibrium, making the simulation of arbitrarily small deviations from equilibrium possible....