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本文引进了广义极限鞅的概念,证明了 L~1有界的广义极限鞅 a.s.收敛于—可积随机变量。这样推广了通常极限鞅的相应收敛定理,并回答了 Stout 提出的问题:L~1有界的弱鞅在一定的条件下是 a.s.收敛的。 相似文献
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In this paper, by applying some improved inequalities, we extend the Burkholder–Davis–Gundy inequalities for α ∈ (0,1) to more general functions and submartingales. Moreover, a series of inequalities for a logarithmic function are also obtained correspondingly. Finally, we give an application to a stopped Brownian motion. 相似文献
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In this article, it is proved that the maximal operator of one-dimensional dyadic derivative of dyadic integral I* and Cesàro mean operator σ* are bounded from the B-valued martingale Hardy spaces pΣα, Dα, pLα, p H#α, pKr to Lα (0 < α < ∞), respectively. The facts show that it depends on the geometrical properties of the Banach space. 相似文献
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本文将古典风险模型推广为带干扰的一类相依风险模型。在此风险模型中,保单到达过程为一Pois-son过程,而索赔到达过程为保单到达过程的P-稀疏过程。利用鞅的方法得到了破产概率和Lundberg不等式。 相似文献
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Walter A. Rosenkrantz 《Queueing Systems》1992,12(3-4):319-324
In a previous paper we have given a unified approach to the PASTA and the conditional PASTA property that is based upon the observation that the difference between the two limits can be represented as a stochastic integral with respect to a square integrable martingale. The equality of the two limits is then a consequence of a strong law of large numbers for martingales. In this paper we derive a non-standard version of Little's theorem via the same method. The moral of the story is that each of these theorems is but a particular case of a more general theory. 相似文献
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本文给出了一种新型单点水平期权,通过鞅定价方法并借助极值的概率分布研究其定价问题,得到了该新型单点水平看涨期权与看跌期权的定价公式. 相似文献
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The main notions and tools from white noise analysis are set up on the basis of the calculus of Gaussian random variables and the S -transform. A new proof of the formula for the S -transform of Itô integrals is given. Moreover, measurability and the martingale property with respect to the Brownian filtration are characterized in terms of the S-transform. This allows the extension of these notions to random variables and processes, respectively, in the space of Hida distributions. 相似文献
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Vladimir Pozdnyakov Joseph Glaz Martin Kulldorff J. Michael Steele 《Annals of the Institute of Statistical Mathematics》2005,57(1):21-37
Scan statistics are commonly used in biology, medicine, engineering and other fields where interest is in the probability
of observing clusters of events in a window at an unknown location. Due to the dependent nature of the number of events in
a large number of overlapping window locations, even approximate solutions for the simplest scan statistics may require elaborate
calculations. We propose a new martingale method which allows one to approximate the distribution for a wide variety of scan
statistics, including some for which analytical results are computationally infeasible. 相似文献
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复测度鞅变换的收敛性及其应用 总被引:2,自引:1,他引:1
在满足b_∞~(K)∩a_1(K)条件的情况下,讨论了关于复测度dμ=ωdν的鞅变换,证明了复测度鞅变换的几乎处处收敛性定理。并且,作为该定理的一个应用,对复测度鞅的点态收敛性作了较精细的讨论。 相似文献
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在Cathcart and E1—Jahel(1998)的Signaling方法的基础上,本文发展了一个具有市场信号变量δt以及随机回收率f(δt)的可违约债券定价的连续时间简化型模型,并用鞅测度的方法给出了近似求解公式. 相似文献
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We consider an incomplete market model where asset prices are modelled by Ito processes, and derive the first fundamental theorem of asset pricing using standard stochastic calculus techniques. This contrasts with the sophisticated functional analytic theorems required in the comprehensive works of F. Delbaen and W. Schachermayer (1993) No Arbitrage and the Fundamental Theorem of Asset Pricing, pp. 37–38; Math. Finance 4 (1994), pp. 343–348; Math. Ann. 300 (1994), pp. 464–520; Ann. Appl. Probab. 5 (1995), pp. 926–645 and Proc. Sympos. Appl. Math. 57 (1999), pp. 49–58, and the comparative lack of transparency of the associated technical conditions. An additional benefit is that a clear relationship between no arbitrage and the existence of equivalent local martingale measures is also presented. 相似文献
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In this article, we establish a complete representation theorem for G-martingales. Unlike the existing results in the literature, we provide the existence and uniqueness of the second-order term, which corresponds to the second-order derivative in Markovian case. The main ingredient of the article is a new norm for that second-order term, which is based on an operator introduced by Song. 相似文献
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We characterize a Brownian motion indexed by a semilattice of sets, using the theory of set-indexed martingales: a square integrable continuous set-indexed strong martingale is a Brownian motion if and only if its compensator is deterministic and continuous.Research supported by a grant from the Natural Sciences and Engineering Research Council of Canada.Research done while this author was visiting the University of Ottawa. He wishes to thank Professor Ivanoff for her kind hospitality. 相似文献
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将多险种风险模型推广到带干扰项的一种新模型,讨论了收益过程的性质,并利用鞅的方法得出了破产概率所满足的Lundberg不等式及其一般公式. 相似文献