Zobrazeno 1 - 10
of 9 901
pro vyhledávání: '"Azéma A"'
Autor:
Chao, Tsung-Ming, Chou, Ching-Sung
Publikováno v:
Bernoulli, 2000 Jun 01. 6(3), 435-445.
Externí odkaz:
https://www.jstor.org/stable/3318669
Publikováno v:
Bernoulli, 2000 Aug 01. 6(4), 633-651.
Externí odkaz:
https://www.jstor.org/stable/3318511
Autor:
Dassios, Angelos1 (AUTHOR), Lim, Jia Wei2 (AUTHOR) jiawei.lim@brunel.ac.uk, Qu, Yan3 (AUTHOR)
Publikováno v:
Mathematical Finance. Oct2020, Vol. 30 Issue 4, p1497-1526. 30p.
Autor:
Cox, A. M. G., Hobson, D. G.
Publikováno v:
Bernoulli, 2007 Feb 01. 13(1), 114-130.
Externí odkaz:
https://www.jstor.org/stable/25464865
Autor:
Dassios, Angelos1 (AUTHOR), Lim, Jia Wei2 (AUTHOR) jl14400@bristol.ac.uk
Publikováno v:
Mathematical Finance. Oct2019, Vol. 29 Issue 4, p1116-1130. 15p.
Autor:
Obłój, Jan, Spoida, Peter
Publikováno v:
The Annals of Probability, 2017 Jul 01. 45(4), 2210-2247.
Externí odkaz:
https://www.jstor.org/stable/26362253
Publikováno v:
The Annals of Applied Probability, 2017 Apr 01. 27(2), 686-719.
Externí odkaz:
https://www.jstor.org/stable/44249149
Autor:
Song, Shiqi
We characterize the random times $\rho$ whose Azema supermartingales $Z^\rho$ take the form $Z^\rho=U/U^*$ for some non negative local martingales $U$ starting from 1 vanishing at infinity, where $U^*$ denotes the running maximum process of $U$.
Externí odkaz:
http://arxiv.org/abs/1602.04480
We consider the optimal Skorokhod embedding problem (SEP) given full marginals over the time interval $[0,1]$. The problem is related to the study of extremal martingales associated with a peacock ("process increasing in convex order", by Hirsch, Pro
Externí odkaz:
http://arxiv.org/abs/1503.00500
The bulk behaviour of granular materials is tied to its mesoscale and particle-scale features: strength properties arise from the buildup of various anisotropic structures at the particle-scale induced by grain connectivity (fabric), force transmissi
Externí odkaz:
http://arxiv.org/abs/2409.08140