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In this paper, we prove a kind of Abelian theorem for a class of stochastic volatility models (X,V) where both the state process X and the volatility process V may have jumps. Our results relate the asymptotic behavior of the characteristic function of XΔ for some Δ>0 in a stationary regime to the Blumenthal–Getoor indexes of the Lévy processes driving the jumps in X and V. The results obtained are used to construct consistent estimators for the above Blumenthal–Getoor indexes based on low-frequency observations of the state process X. We derive convergence rates for the corresponding estimator and show that these rates cannot be improved in general. 相似文献
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For a Tychonoff space X , we denote by Cp(X) and Cc(X) the space of continuous real-valued functions on X equipped with the topology of pointwise convergence and the compact-open topology respectively. Providing a characterization of the Lindelöf Σ-property of X in terms of Cp(X), we extend Okunev?s results by showing that if there exists a surjection from Cp(X) onto Cp(Y) (resp. from Lp(X) onto Lp(Y)) that takes bounded sequences to bounded sequences, then υY is a Lindelöf Σ-space (respectively K-analytic) if υX has this property. In the second part, applying Christensen?s theorem, we extend Pelant?s result by proving that if X is a separable completely metrizable space and Y is first countable, and there is a quotient linear map from Cc(X) onto Cc(Y), then Y is a separable completely metrizable space. We study also a non-separable case, and consider a different approach to the result of J. Baars, J. de Groot, J. Pelant and V. Valov, which is based on the combination of two facts: Complete metrizability is preserved by ?p-equivalence in the class of metric spaces (J. Baars, J. de Groot, J. Pelant). If X is completely metrizable and ?p-equivalent to a first-countable Y, then Y is metrizable (V. Valov). Some additional results are presented. 相似文献
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The main result of the paper says that if X is a paracompact GO-space, meaning a subspace of a linearly ordered space and M a paracompact space satisfying the first axiom of countability such that X can be embedded in Mω1 then the product X×Y is paracompact for every paracompact space Y if and only if the first player of the G(DC,X) game, introduced by Telgarsky has a winning strategy. In particular we obtain that if X is paracompact GO-space of weight not greater than ω1 then the product X×Y is paracompact for every paracompact space Y if and only if the first player of the G(DC,X) game has a winning strategy. 相似文献
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We prove a conjecture of Bahri, Bendersky, Cohen and Gitler: if K is a shifted simplicial complex on n vertices, X1,…,Xn are pointed connected CW-complexes and CXi is the cone on Xi, then the polyhedral product determined by K and the pairs (CXi,Xi) is homotopy equivalent to a wedge of suspensions of smashes of the Xi’s. Earlier work of the authors dealt with the special case where each Xi is a loop space. New techniques are introduced to prove the general case. These have the advantage of simplifying the earlier results and of being sufficiently general to show that the conjecture holds for a substantially larger class of simplicial complexes. We discuss connections between polyhedral products and toric topology, combinatorics, and classical homotopy theory. 相似文献
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We investigate the existence of globally generated vector bundles of rank 2 with c1≤3 on a smooth quadric threefold and determine their Chern classes. As an automatic consequence, every rank 2 globally generated vector bundle on Q with c1=3 is an odd instanton up to twist. 相似文献
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Let k be a field of characteristic zero and R a factorial affine k-domain. Let B be an affineR-domain. In terms of locally nilpotent derivations, we give criteria for B to be R-isomorphic to the residue ring of a polynomial ring R[X1,X2,Y] over R by the ideal (X1X2−φ(Y)) for φ(Y)∈R[Y]?R. 相似文献
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It is shown that if a sequence of open n-sets Dk increases to an open n-set D then reflected stable processes in Dk converge weakly to the reflected stable process in D for every starting point x in D. The same result holds for censored α-stable processes for every x in D if D and Dk satisfy the uniform Hardy inequality. Using the method in the proof of the above results, we also prove the weak convergence of reflected Brownian motions in unbounded domains. 相似文献
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We estimate a median of f(Xt) where f is a Lipschitz function, X is a Lévy process and t is an arbitrary time. This leads to concentration inequalities for f(Xt). In turn, corresponding fluctuation estimates are obtained under assumptions typically satisfied if the process has a regular behavior in small time and a, possibly different, regular behavior in large time. 相似文献
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We consider a multidimensional diffusion X with drift coefficient b(α,Xt) and diffusion coefficient ?σ(β,Xt). The diffusion sample path is discretely observed at times tk=kΔ for k=1…n on a fixed interval [0,T]. We study minimum contrast estimators derived from the Gaussian process approximating X for small ?. We obtain consistent and asymptotically normal estimators of α for fixed Δ and ?→0 and of (α,β) for Δ→0 and ?→0 without any condition linking ? and Δ. We compare the estimators obtained with various methods and for various magnitudes of Δ and ? based on simulation studies. Finally, we investigate the interest of using such methods in an epidemiological framework. 相似文献
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We study the asymptotic behaviour of Markov chains (Xn,ηn) on Z+×S, where Z+ is the non-negative integers and S is a finite set. Neither coordinate is assumed to be Markov. We assume a moments bound on the jumps of Xn, and that, roughly speaking, ηn is close to being Markov when Xn is large. This departure from much of the literature, which assumes that ηn is itself a Markov chain, enables us to probe precisely the recurrence phase transitions by assuming asymptotically zero drift for Xn given ηn. We give a recurrence classification in terms of increment moment parameters for Xn and the stationary distribution for the large- X limit of ηn. In the null case we also provide a weak convergence result, which demonstrates a form of asymptotic independence between Xn (rescaled) and ηn. Our results can be seen as generalizations of Lamperti’s results for non-homogeneous random walks on Z+ (the case where S is a singleton). Motivation arises from modulated queues or processes with hidden variables where ηn tracks an internal state of the system. 相似文献
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Let T:D⊂X→X be an iteration function in a complete metric space X. In this paper we present some new general complete convergence theorems for the Picard iteration xn+1=Txn with order of convergence at least r≥1. Each of these theorems contains a priori and a posteriori error estimates as well as some other estimates. A central role in the new theory is played by the notions of a function of initial conditions of T and a convergence function of T. We study the convergence of the Picard iteration associated to T with respect to a function of initial conditions E:D→X. The initial conditions in our convergence results utilize only information at the starting point x0. More precisely, the initial conditions are given in the form E(x0)∈J, where J is an interval on R+ containing 0. The new convergence theory is applied to the Newton iteration in Banach spaces. We establish three complete ω-versions of the famous semilocal Newton–Kantorovich theorem as well as a complete version of the famous semilocal α-theorem of Smale for analytic functions. 相似文献