Zobrazeno 1 - 10
of 18
pro vyhledávání: '"David Criens"'
Autor:
Noam Berger, David Criens
Publikováno v:
Archive for Rational Mechanics and Analysis. 245:899-947
We consider difference equations in balanced, i.i.d. environments which are not necessary elliptic. In this setting we prove a parabolic Harnack inequality (PHI) for non-negative solutions to the discrete heat equation satisfying a (rather mild) grow
Autor:
David Criens
Publikováno v:
Journal of Theoretical Probability. 33:1791-1800
Autor:
David Criens
Publikováno v:
Stochastic Processes and their Applications. 130:2693-2736
We give necessary and sufficient criteria for the Feller–Dynkin property of solutions to martingale problems in terms of Lyapunov functions. Moreover, we derive a Khasminskii-type integral test for the Feller–Dynkin property of multidimensional d
Autor:
David Criens
Publikováno v:
Mathematics and Financial Economics. 14:461-506
We derive integral tests for the existence and absence of arbitrage in a financial market with one risky asset which is either modeled as stochastic exponential of an Ito process or a positive diffusion with Markov switching. In particular, we derive
Autor:
David Criens
Publikováno v:
Journal of Theoretical Probability. 33:866-905
We prove limit theorems for cylindrical martingale problems associated with Levy generators. Furthermore, we give sufficient and necessary conditions for the Feller property of well-posed problems with continuous coefficients. We discuss two applicat
Autor:
David Criens
Publikováno v:
Stochastics. 92:785-813
We prove the existence of quasi-left continuous semimartingales with continuous local semimartingale characteristics which satisfy a Lyapunov-type or a linear growth condition, where latter takes the whole history of the paths into consideration. The
Autor:
David Criens
Publikováno v:
Statistics & Probability Letters. 146:161-167
Strassen’s theorem states that the usual stochastic order of two processes is equivalent to the existence of a pathwise ordered coupling. In the case of processes with independent increments, we construct explicit pathwise ordered couplings under s
Autor:
David Criens
Publikováno v:
Electronic Communications in Probability. 26
Autor:
David Criens
It is well known that the law of a one-dimensional diffusion on natural scale is fully characterized by its speed measure. Stone proved a continuous dependence of such diffusions on their speed measures. In this paper we establish the converse direct
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::35df41890fe480662b44bcd0d8433826
Autor:
Moritz Ritter, David Criens
We consider analytically weak solutions to semilinear stochastic partial differential equations with non-anticipating coefficients driven by a cylindrical Brownian motion. The solutions are allowed to take values in Banach spaces. We show that weak u
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f2075a925a98e92b47b4783491dac51a
http://arxiv.org/abs/2012.14262
http://arxiv.org/abs/2012.14262