搜索结果: 1-15 共查到“Martingale”相关记录20条 . 查询时间(0.037 秒)
Martingale Couplings and Bounds on the Tails of Probability Distributions
Martingale Couplings Probability Distributions
2011/7/19
Hoeffding has shown that tail bounds on the distribution for sampling from a finite population with replacement also apply to the corresponding cases of sampling without replacement.
Weighted Monte Carlo: Calibrating the Smile and Preserving Martingale Condition
Monte Carlo exotic options the Martingale condition might geometric cliquet option
2011/3/23
Weighted Monte Carlo prices exotic options calibrating the probabilities of previously generated paths by a regular Monte Carlo to fit a set of option premiums. When only vanilla call and put options ...
Minimal $f$-divergence martingale measures and optimal portfolios for exponential Levy models with a change-point
f-divergence exponential Levy models
2010/10/19
We consider the exponential Levy models and we study the conditions under which f-minimal equivalent martingale measure preserves Levy property. Then we give a general formula for optimal strategy in...
Minimal $f$-divergence martingale measures and optimal portfolios for exponential Levy models with a change-point
f-divergence exponential Levy models change-point optimal portfolio
2010/4/28
We consider the exponential Levy models and we study the conditions under which f-minimal equivalent martingale measure preserves Levy property. Then we give a general formula for optimal strategy in ...
Martingale representation for Poisson processes with applications to minimal variance hedging
Martingale representation Poisson processes applications minimal variance hedging
2010/10/18
We consider a Poisson process $\eta$ on a measurable space $(\BY,\mathcal{Y})$ equipped with a partial ordering, assumed to be strict almost everwhwere with respect to the intensity measure $\lambda$...
A martingale approach to continuous time marginal structural models
martingale approach continuous time marginal structural models
2010/3/17
Marginal structural models were introduced in order to provide
estimates of causal effects from interventions based on observational studies
in epidemiological research. We present a variant of the ...
Weak martingale Hardy spaces generated by an operator
T are investigated. The concept of weak atoms is introduced and
an atomic decomposition of the space wW; is given if the operator T is
predicta...
On martingale measures for stochastic processes with discrete time
martingale measures stochastic processes discrete time
2009/9/22
Let (X(t); f E N') be a random sequence adopted to .
a filtration (Ft)in (a,F ,P ) satisfying some natural assumption. If
none of the events (X (t + 1) > X (t)), (X (t + 1) < X (t)) can be predicted...
Martingale characterizations of stochastic processes on compact groups
Martingale characterizations of stochastic processes compact groups
2009/9/22
By a classical result of P. Lbvy, the Brownian motion
(Btjtb0 on R may be characterized as a continuous process on R such
that (B,),,, and (3;-t),,, are martingales. Generalizations of this
result ...
Proofs of the martingale FCLT
functional central limit theorems martingales diffusion approximations invariance principles
2009/5/18
This is an expository review paper elaborating on the proof of the martingale functional central limit theorem (FCLT). This paper also reviews tightness and stochastic boundedness, highlighting one-di...
Martingale proofs of many-server heavy-traffic limits for Markovian queues
multiple-server queues many-server heavy-traffic limits for queues diffusion approximations martingales functional central limit theorems
2009/5/18
This is an expository review paper illustrating the “martin- gale method” for proving many-server heavy-traffic stochastic-process limits for queueing models, supporting diffusion-process approximatio...
Martingale Representation and a Simple Proof of Logarithmic Sobolev Inequalities on Path Spaces
Martingale Representation Logarithmic Sobolev Inequality Hypercontractivity PathSpace
2009/5/8
We show how the Clark-Ocone-Haussmann formula for Brownian motion on a compact Riemannian manifold put forward by S. Fang in his proof of the spectral gap inequality for the Ornstein-Uhlenbeck operato...
An Exponential Martingale Equation
Backward stochastic dierential equation exponential martingale
2009/4/22
We prove an existence of a unique solution of an exponential martingale equation in the class of BMO martingales. The solution is used to characterize optimal martingale measures.
We prove an existence of a unique solution of an exponential martingale equation in the class of BMO martingales. The solution is used to characterize optimal martingale measures.
Some remarks on tangent martingale difference sequences in L1-spaces
tangent martingale difference sequences L1-spaces
2009/3/31
Let X be a Banach space. Suppose that for all p in (1, ∞) a constant Cp,X depending only on X and p exists such that for any two X-valued martingales f and g with tangent martingale difference sequenc...