Zobrazeno 1 - 10
of 1 899
pro vyhledávání: '"60H05"'
Autor:
Cont, Rama, Lim, Fang Rui
We study properties of causal couplings for probability measures on the space of continuous functions. We first provide a characterization of bicausal couplings between weak solutions of stochastic differential equations. We then provide a complete d
Externí odkaz:
http://arxiv.org/abs/2412.02948
The aim of this paper is to identify the limit in a high temperature regime of classical beta ensembles on the real line and related eigenvalue processes by using the Markov--Krein transform. We show that the limiting measure of Gaussian beta ensembl
Externí odkaz:
http://arxiv.org/abs/2412.01015
We study the distributional properties of linear neural networks with random parameters in the context of large networks, where the number of layers diverges in proportion to the number of neurons per layer. Prior works have shown that in the infinit
Externí odkaz:
http://arxiv.org/abs/2411.15267
Autor:
D'Auria, Bernardo, Escudero, Carlos
We study the anticipating version of the classical portfolio optimization problem in a financial market with the presence of a trader who possesses privileged information about the future (insider information), but who is also subjected to a delay in
Externí odkaz:
http://arxiv.org/abs/2410.16010
Autor:
Malinowski, Marek T.
This paper contains a study on stochastic Volterra integral equations with fuzzy sets-values and involving on a constant retardation. Moreover, the form of the equation is symmetric in the sense that fuzzy stochastic integrals are placed on both side
Externí odkaz:
http://arxiv.org/abs/2410.15169
We propose a quantitative direct method of proving the local stability for the trivial solution of a rough differential equation and of its regular discretization scheme. Using Doss-Sussmann technique and stopping time analysis, we prove that the tri
Externí odkaz:
http://arxiv.org/abs/2410.07842
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
Autor:
Cox, Sonja, van Winden, Joris
We provide sharp bounds for the supremum of countably many stochastic convolutions taking values in a 2-smooth Banach space. As a consequence, we obtain sharp bounds on the modulus of continuity of a family of stochastic integrals indexed by paramete
Externí odkaz:
http://arxiv.org/abs/2409.13615
Autor:
Dorogovtsev, A. A., Salhi, Naoufel
In this paper we collect several examples of convergence of functions of random processes to generalized functionals of those processes. We remark that the limit is always finitely absolutely continuous with respect to Wiener measure. We try to unify
Externí odkaz:
http://arxiv.org/abs/2409.09303
Autor:
Radchenko, Vadym
Random functions $\mu(x)$, generated by values of stochastic measures are considered. The Besov regularity of the continuous paths of $\mu(x)$, $x\in[0,1]^d$ is proved. Fourier series expansion of $\mu(x)$, $x\in[0,2\pi]$ is obtained. These results a
Externí odkaz:
http://arxiv.org/abs/2409.06497