Displaying 41 – 60 of 280

Showing per page

On certain Markov processes attached to exponential functionals of Brownian motion: application to Asian options.

Catherine Donati-Martin, Raouf Ghomrasni, Marc Yor (2001)

Revista Matemática Iberoamericana

We obtain a closed formula for the Laplace transform of the first moment of certain exponential functionals of Brownian motion with drift, which gives the price of Asian options. The proof relies on an identity in law between the average on [0,t] of a geometric Brownian motion and the value at time t of a Markov process, for which we can compute explicitly the resolvent.

On changing time

R. Cairoli, J. B. Walsh (1977)

Séminaire de probabilités de Strasbourg

On convergence of homogeneous Markov chains

Petr Kratochvíl (1983)

Aplikace matematiky

Let p t be a vector of absolute distributions of probabilities in an irreducible aperiodic homogeneous Markov chain with a finite state space. Professor Alladi Ramakrishnan conjectured the following strict inequality for norms of differences p t + 2 - p t + 1 < p t + 1 - p t . In the paper, a necessary and sufficient condition for the validity of this inequality is proved, which may be useful in investigating the character of convergence of distributions in Markov chains.

On dependence structure of copula-based Markov chains

Martial Longla (2014)

ESAIM: Probability and Statistics

We consider dependence coefficients for stationary Markov chains. We emphasize on some equivalencies for reversible Markov chains. We improve some known results and provide a necessary condition for Markov chains based on Archimedean copulas to be exponential ρ-mixing. We analyse the example of the Mardia and Frechet copula families using small sets.

On entropy and Hausdorff dimension of measures defined through a non-homogeneous Markov process

Athanasios Batakis (2006)

Colloquium Mathematicae

We study the Hausdorff dimension of measures whose weight distribution satisfies a Markov non-homogeneous property. We prove, in particular, that the Hausdorff dimensions of this kind of measures coincide with their lower Rényi dimensions (entropy). Moreover, we show that the packing dimensions equal the upper Rényi dimensions. As an application we get a continuity property of the Hausdorff dimension of the measures, when viewed as a function of the distributed weights under the norm.

Currently displaying 41 – 60 of 280