Zobrazeno 1 - 10
of 1 356
pro vyhledávání: '"60G44"'
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
Autor:
Kassis, Georges, Macrina, Andrea
Randomized arcade processes are a class of continuous stochastic processes that interpolate in a strong sense, i.e., omega by omega, between any given ordered set of random variables, at fixed pre-specified times. Utilizing these processes as generat
Externí odkaz:
http://arxiv.org/abs/2410.16339
Autor:
Criens, David, Urusov, Mikhail
In a seminal paper, F. Delbaen and W. Schachermayer proved that the classical NA ("no arbitrage") condition implies the existence of an "absolutely continuous local martingale measure" (ACLMM). It is known that in general the existence of an ACLMM al
Externí odkaz:
http://arxiv.org/abs/2410.09789
Autor:
Okazaki, Fumiya
In this article, we investigate sequences of discontinuous martingales on submanifolds of higher-dimensional Euclidean space. Those sequences naturally arise when we deal with a sequence of harmonic maps with respect to non-local Dirichlet forms, suc
Externí odkaz:
http://arxiv.org/abs/2409.17118
Let $E$ be the class of finite (resp. probability) measures absolutely continuous with respect to a $\sigma$-finite Radon measure on a Polish space. We present a criterion on the quasi-regularity of Dirichlet forms on $E$ in terms of upper bound cond
Externí odkaz:
http://arxiv.org/abs/2408.15687
The concept of signatures and expected signatures is vital in data science, especially for sequential data analysis. The signature transform, a Cartan type development, translates paths into high-dimensional feature vectors, capturing their intrinsic
Externí odkaz:
http://arxiv.org/abs/2408.05085
Autor:
Melnikov, Vasily
Publikováno v:
Journal of Theoretical Probability 38:1 (2025)
Given a bounded sequence $\{X^{n}\}_{n}$ of semimartingales on a time interval $[0,T]$, we find a sequence of convex combinations $\{Y^{n}\}_{n}$ and a limiting semimartingale $Y$ such that $\{Y^{n}\}_{n}$ converges to $Y$ in a $\sigma$-localized mod
Externí odkaz:
http://arxiv.org/abs/2408.03476
Autor:
Delbaen, Freddy
We show that a discrete time martingale with respect to a filtration with atomless innovations is the (infinite) sum of martingales with independent increments. For the continuous time filtration coming from Brownian Motion filtration, we show that e
Externí odkaz:
http://arxiv.org/abs/2406.18716
In previous work J. Backhoff-Veraguas, M. Beiglb\"ock and the present authors showed that the notions of stretched Brownian motion and Bass martingale between two probability measures on Euclidean space coincide if and only if these two measures sati
Externí odkaz:
http://arxiv.org/abs/2406.10656
We introduce and study geometric Bass martingales. Bass martingales were introduced in \cite{Ba83} and studied recently in a series of works, including \cite{BaBeHuKa20,BaBeScTs23}, where they appear as solutions to the martingale version of the Bena
Externí odkaz:
http://arxiv.org/abs/2406.04016