Zobrazeno 1 - 10
of 130 254
pro vyhledávání: '"martingale"'
Autor:
Fitzsimmons, P. J.
We prove the Martingale Convergence Theorem by using the work of L. Dubins and I. Monroe about embedding a given discrete-time martingale in the sample paths of a Brownian motion.
Externí odkaz:
http://arxiv.org/abs/2412.14228
Autor:
Murugan, Mathav
Given a strongly local Dirichlet form on a metric measure space that satisfies Gaussian heat kernel bounds, we show that the martingale dimension of the associated diffusion process coincides with Cheeger's analytic dimension of the underlying metric
Externí odkaz:
http://arxiv.org/abs/2412.06737
We propose a discrete time formulation of the semi-martingale optimal transport problem based on multi-marginal entropic transport. This approach offers a new way to formulate and solve numerically the calibration problem proposed by [17], using a mu
Externí odkaz:
http://arxiv.org/abs/2412.00030