排序方式: 共有25条查询结果,搜索用时 15 毫秒
1.
Rasul A. Khan 《Journal of Theoretical Probability》2009,22(2):348-364
The Dubins–Savage inequality is generalized by using the pth (1<p≤2) conditional moment of the martingale differences. This inequality is further extended under suitable conditions when p>2. Another martingale inequality due to Freedman is also generalized when 0<p≤2. Implications of these inequalities for strong convergence are discussed. Some general exponential inequalities are also
given for martingales (supermartingales) under suitable conditions.
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2.
本文首先给出了一个右连续上鞅的SD提升,在引进S-上鞅和强S-上鞅概念之后,研究了一一致可积上鞅与S-上鞅,类上鞅与强S-上鞅之间的关系,并得到了S-上鞅与强S-上鞅的许多性质,作为其直接结果,给出了类上鞅的Doob-MNeyer分解。 相似文献
3.
Sergio Albeverio Yeneng Sun Jiang-Lun Wu 《Transactions of the American Mathematical Society》2007,359(2):517-527
It is shown that for a large collection of independent martingales, the martingale property is preserved on the empirical processes. Under the assumptions of independence and identical finite-dimensional distributions, it is proved that a large collection of stochastic processes are martingales essentially if and only if the empirical processes are also martingales. These two results have implications on the testability of the martingale property in scientific modeling. Extensions to submartingales and supermartingales are given.
4.
本文研究了连续时间的集值序上鞅,在一定的假设下我们证明了集值序上鞅有h-Riesz分解,然后证明了集值序上鞅的Doob-Meyer分解定理。 相似文献
5.
《Stochastics An International Journal of Probability and Stochastic Processes》2013,85(3-4):273-295
This paper discusses asymptotic properties, especially asymptotic stability of neutral stochastic differential delay equations. New techniques are developed to cope with the neutral delay case, and the results of this paper are more general than the author's earlier work within the delay equations 相似文献
6.
关于集值上鞅分解式的注记 总被引:1,自引:0,他引:1
李高明 《纯粹数学与应用数学》2009,25(1):69-71
讨论了集值上鞅与支撑函数的一些性质,利用支撑函数研究了一般Banach空间上集值上鞅的Riesz分解定理,推广和改进了以往的结果。 相似文献
7.
本文给出了当终端时间趋于无穷时一类有限时间区间上的倒向随机微分方程的解的收敛性,并且证明了这类解平方收敛到特定的无穷时间区间上的倒向随机微分方程的解.本文主要研究了由倒向随机微分方程生成的非线性期望及其鞅的性质,证明了当生成元g是超线性时的g-上鞅Riesz分解定理.并且指出经典鞅论中的Riesz分解定理和下期望(又称最小期望)对应的上鞅Riesz分解定理是g-上鞅Riesz分解定理的两种特殊情况. 相似文献
8.
Adam Osekowski 《Proceedings of the American Mathematical Society》2008,136(8):2951-2958
Let be a nonnegative supermartingale and be a predictable process with values in . Let denote the stochastic integral of with respect to . The paper contains the proof of the sharp inequality where . A discrete-time version of this inequality is also established.
9.
假设问题中所含随机过程为鞅,本文证明了带随机过程的随机规划问题共最优值过程与最优解集过程分别为实值上鞅与集值上鞅,且存在最优鞅通过程。 相似文献
10.
The present research is motivated by the recent results of Jeanblanc and Song (2011) and . Our aim is to demonstrate, with the help of multiplicative systems introduced in Meyer (1979) [21], that for any given positive F-submartingale F such that F∞=1, there exists a random time τ on some extension of the filtered probability space such that the Azéma submartingale associated with τ coincides with F. Pertinent properties of this construction are studied and it is subsequently extended to the case of several correlated random times with the predetermined univariate conditional distributions. 相似文献