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1.
V. O. Koval’ 《Ukrainian Mathematical Journal》2006,58(7):1139-1143
We investigate a bounded law of the iterated logarithm for matrix-normalized weighted sums of martingale differences in R
d
. We consider the normalization of matrices inverse to the covariance matrices of these sums by square roots. This result
is used for the proof of the bounded law of the iterated logarithm for martingales with arbitrary matrix normalization.
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Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 58, No. 7, pp. 1006–1008, July, 2006. 相似文献
2.
T. E. Duncan 《Journal of multivariate analysis》1975,5(4):425-433
Some function space laws of the iterated logarithm for Brownian motion with values in finite and infinite dimensional vector spaces are shown to follow from Hincin's classical law of the iterated logarithm and some martingale techniques. A law of the iterated logarithm for Brownian motion in a differentible manifold is also stated. 相似文献
3.
Yuri Kifer 《Transactions of the American Mathematical Society》1998,350(4):1481-1518
I derive general relativized central limit theorems and laws of iterated logarithm for random transformations both via certain mixing assumptions and via the martingale differences approach. The results are applied to Markov chains in random environments, random subshifts of finite type, and random expanding in average transformations where I show that the conditions of the general theorems are satisfied and so the corresponding (fiberwise) central limit theorems and laws of iterated logarithm hold true in these cases. I consider also a continuous time version of such limit theorems for random suspensions which are continuous time random dynamical systems.
4.
Victor H. de la Peña Michael J. Klass Tze Leung Lai 《Stochastic Processes and their Applications》2009
Multivariate self-normalized processes, for which self-normalization consists of multiplying by the inverse of a positive definite matrix (instead of dividing by a positive random variable as in the scalar case), are ubiquitous in statistical applications. In this paper we make use of a technique called “pseudo-maximization” to derive exponential and moment inequalities, and bounds for boundary crossing probabilities, for these processes. In addition, Strassen-type laws of the iterated logarithm are developed for multivariate martingales, self-normalized by their quadratic or predictable variations. 相似文献
5.
Henning Sulzbach 《Random Structures and Algorithms》2017,50(3):493-508
For a martingale (Xn) converging almost surely to a random variable X, the sequence (Xn– X) is called martingale tail sum. Recently, Neininger (Random Structures Algorithms 46 (2015), 346–361) proved a central limit theorem for the martingale tail sum of Régnier's martingale for the path length in random binary search trees. Grübel and Kabluchko (in press) gave an alternative proof also conjecturing a corresponding law of the iterated logarithm. We prove the central limit theorem with convergence of higher moments and the law of the iterated logarithm for a family of trees containing binary search trees, recursive trees and plane‐oriented recursive trees. © 2016 Wiley Periodicals, Inc. Random Struct. Alg., 50, 493–508, 2017 相似文献
6.
Fu Qing Gao 《数学学报(英文版)》2009,25(2):209-222
Three types of laws of the iterated logarithm (LIL) for locally square integrable martingales with continuous parameter are considered by a discretization approach. By this approach, a lower bound of LIL and a number of FLIL are obtained, and Chung LIL is extended. 相似文献
7.
Dr. William F. Stout 《Probability Theory and Related Fields》1970,15(4):279-290
Summary Kolmogorov's law of the iterated logarithm is extended to the martingale case.This research was supported by National Science Foundation Grant GP 7363. 相似文献
8.
Zacharie Dindar 《Transactions of the American Mathematical Society》2001,353(2):427-440
The author investigates the almost sure behaviour of the increments of the partially observed, uniform empirical process. Some functional laws of the iterated logarithm are obtained for this process. As an application, new laws of the iterated logarithm are established for kernel density estimators.
9.
C.C. Heyde 《Stochastic Processes and their Applications》1974,2(4):359-370
The analysis of asymptotic behaviour of stochastic approximation procedures rests heavily on the use of martingale limit theory, although explicit recognition of this situation is notable for its absence in the literature. This point is emphasized and in illustration a martingale iterated logarithm result is used to obtain strong convergence results of iterated logarithm type for the basic Robbins–Monro and Kiefer–Wolfowitz procedures. 相似文献
10.
Consider a continuous local martingale X. We say that X satisfies the representation property if any martingale Y of X can be represented as stochastic ITÔ integral of X. On the basis of part I of the present paper, in section 4 several general examples of continuous local martingales X satisfying the representation property are given: Stochastic continuous GAUSSian martingales, processes with conditionally independent increments, stopped continuous local martingales, random time change of WIENER processes, weak solutions of stochastic differential equations. Theorem 7 states that every (homogeneous) continuous strong MARKOV local martingale has the representation property. In section 5, the results of part I are applied to n-dimensional continuous local martingales and analogous representation results are obtained. In section 6, we consider an application of section 5 to the n-dimensional time change for reducing every n-dimensional continuous local martingale with orthogonal components to the WIENER process. This improves a theorem of F. B. KNIGHT and simplifies its proof considerably. 相似文献
11.
V. V. Kostin 《Mathematical Notes》2000,68(1):84-89
In this paper new sufficient (necessary and sufficient for martingales of special form) conditions for the martingale closure
from the right in the sense of theA-integral are given. These results follow from the theorem about passing to the limit under theA-integral. The theorem is established using the criterion for transposing iterated limits with respect to the base. It is
shown that the sufficient conditions thus obtained are stronger than those previously known.
Translated fromMatematicheskie Zametki, Vol.68, No. 1, pp. 98–104, July, 2000. 相似文献
12.
Jiming Jiang 《Journal of Theoretical Probability》1999,12(1):49-74
We prove some laws of the iterated logarithm for two parameter martingale differences of the following type: E(X
t|(X
s, s
1<t
1 or s
2<t
2))=0 a.s. 相似文献
13.
R. Bórquez 《Stochastics An International Journal of Probability and Stochastic Processes》2018,90(2):165-171
The property of countable convexity of the set which contains all dominated martingale laws, for a family of measurable functions with values in a separable Borel space, is proved to be equivalent to the existence of a sufficient statistic. The result is then used to derive a representation of such laws in terms of their extreme points, which are laws of uniformly integrable martingales. Finally, we show that martingales with sufficient statistics converge with probability 1. 相似文献
14.
A. N. Frolov 《Journal of Mathematical Sciences》2006,133(3):1356-1370
We derive universal strong laws for increments of sums of independent, nonidentically distributed, random variables. These
results generalize universal results of the author for the i.i.d. case which include the strong law of large numbers, law
of the iterated logarithm, Erdos-Renyi law, and Csorgo-Revesz laws. Bibliography: 27 titles.
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Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 311, 2004, pp. 260–285. 相似文献
15.
16.
Consider a continuous local martingale X. We say that X satisfies the representation property if any martingale Y of X can be represented as stochastic ITǒ integral of X. Using the method of random time change systematically, in the present paper the representation problem for continuous local martingales is treated. We describe a class of martingales Y that can be represented as stochastic integral of X by probabilistic conditions. This leads to sufficient conditions for the representation property of X being true. Besides, an interesting characterization of continuous processes with independent increments is obtained. In part II. we proceed with general examples, applications to the n-dimensional case, and, in particular, to the n-dimensional time change of continuous local martingales with orthogonal components. 相似文献
17.
By applying the Skorohod martingale embedding method, a strong approximation theorem for partial sums of asymptotically negatively dependent (AND) Gaussian sequences, under polynomial decay rates, is established. As applications, the law of the iterated logarithm, the Chung-type law of the iterated logarithm and the almost sure central limit theorem for AND Gaussian sequences are derived. 相似文献
18.
Akimichi Takemura Vladimir Vovk Glenn Shafer 《Annals of the Institute of Statistical Mathematics》2011,63(5):873-885
We prove game-theoretic generalizations of some well-known zero-one laws. Our proofs make the martingales behind the laws
explicit, and our results illustrate how martingale arguments can have implications going beyond measure-theoretic probability. 相似文献
19.
吴黎明 《应用数学学报(英文版)》2000,16(2):149-161
1.IntroductionandMainResultsAssumethat(Xt),.T(T~NorAl)isaPolishspaceE-valuedMarkovprocess,definedon(fi,F,(R),(ot),(P-c)..E),withitssemigroupoftransitionkernels(Pt).Here(ot)isthesemigroupofshiftsonfisuchthatX.(otw)~X. t(w),Vs,tET;(R)isthenaturalfiltration.Throughoutthispaperweassumethat(Pt)issymmetricandergodicwithrespectto(w.r.t.forshort)aprobabilitymeasurepon(E,e)(eistheBorela--fieldofE),i.e.,.Symmetry:(Ptf,g)~(f,Pig):~isfptgdp,acET,if,gCL'(P);.ErgodicitytFOranyfEL'(P),ifPtf~f… 相似文献
20.
本文利用鞅的Skorohod表示, 在序列是高斯的且序列的协方差系数以幂指数速度递减的条件下,证明了相伴高斯随机变量序列的一个强不变原理\bd 作为推论得到了相伴高斯随机变量序列的重对数律和钟重对数律 相似文献