鞅空间理论的新进展

本文是一篇综述性的文字,内容主要是近年来有关鞅空间理论的发展状况,特别是集中于B-值鞅和弱型鞅空间两个部分,可以看做是整个鞅空间理论发展的一个侧面.希望以此引起读者对鞅论的了解和进一步研究的兴趣.具体内容分为以下三节:1.研究鞅空间理论的意义,阐述鞅空间理论与调和分析的关系;2.鞅空间理论的向量值化,阐述B-值鞅不等式与Banach空间几何学的相互依存关系;3.弱型鞅空间与变指数鞅空间的不等式及其应用.     

三叉树模型下的等价鞅测度

本文研究了三叉树模型下的等价鞅测度刻划问题，得到了三叉树模型的最小熵鞅测度，逆相对熵鞅测度，方差最优鞅测度和极小鞅测度的精确表达式。     

Weak martingale Hardy spaces and weak atomic decompositions

In this paper we define some weak martingale Hardy spaces and three kinds of weak atoms. They are the counterparts of martingale Hardy spaces and atoms in the classical martingale Hp-theory. And then three atomic decomposition theorems for martingales in weak martingale Hardy spaces are proved. With the help of the weak atomic decompositions of martingale, a sufficient condition for a sublinear operator defined on the weak martingale Hardy spaces to be bounded is given. Using the sufficient condition, we obtain a series of martingale inequalities with respect to the weak Lp-norm, the inequalities of weak (p ,p)-type and some continuous imbedding relationships between various weak martingale Hardy spaces. These inequalities are the weak versions of the basic inequalities in the classical martingale Hp-theory.     

多重时间标度鞅半方差与加权鞅半方差β系数研究

本文根据投资者持有资产周期的不同,提出了基于小波多分辨率分析的多重时间标度CAPM模型,得到多重时间标度β系数。由于投资者在进行投资时更关注下行风险,本文进一步提出了基于鞅半方差与加权鞅半方差的下行β系数计算方法,并通过实证检验证明了用鞅半方差β系数与加权鞅半方差β系数来衡量系统风险较其他方法更具合理性及优越性。最后,本文将小波多分辨率分析与鞅半方差β系数及加权鞅半方差β系数结合,得到多重时间标度下的鞅半方差β系数及加权鞅半方差β系数计算方法。     

弱Orlicz鞅空间的弱原子分解及其应用

对3类由凹函数生成的弱Orlicz鞅空间建立了相应的弱原子分解.作为应用,首先给出了这些弱Orlicz鞅空间上次线性算子有界的一个充分条件,并在此基础上证明了一些弱型鞅不等式,然后证明了关于这些弱Orlicz鞅空间的Marcinkiewicz型插值定理.     

Doob's inequality,Burkholder-Gundy inequality and martingale transforms on martingale Morrey spaces

We introduce the martingale Morrey spaces built on Banach function spaces. We establish the Doob's inequality, the Burkholder-Gundy inequality and the boundedness of martingale transforms for our martingale Morrey spaces. We also introduce the martingale block spaces. By the Doob's inequality on martingale block spaces, we obtain the Davis' decompositions for martingale Morrey spaces.     

Maximal Inequalities for Fractional Lévy and Related Processes

In this article we study processes that are constructed by a convolution of a deterministic kernel with a martingale. A special emphasis is put on the case where the driving martingale is a centred Lévy process, which covers the popular class of fractional Lévy processes. As a main result we show that, under appropriate assumptions on the kernel and the martingale, the maximum process of the corresponding “convoluted martingale” is p-integrable and we derive maximal inequalities in terms of the kernel and of the moments of the driving martingale.     

On Martingale Approximation of Adapted Processes

We show that the existence of a martingale approximation of a stationary process depends on the choice of the filtration. There exists a stationary linear process which has a martingale approximation with respect to the natural filtration, but no approximation with respect to a larger filtration with respect to which it is adapted and regular. There exists a stationary process adapted, regular, and having a martingale approximation with respect to a given filtration but not (regular and having a martingale approximation) with respect to the natural filtration.     

Statistical causality,martingale problems and local uniqueness

The paper considers a statistical concept of causality in continuous time in the filtered probability spaces which is based on the Granger’s definition of causality. The given causality concept is then applied to the solution of the martingale problem (associated with the stochastic differential equation driven with semimartingales). More precisely, we show that the given causality concept is closely connected to the concept of extremality of measures for the solutions of the martingale problem, for the stopped martingale problem and for the local martingale problem. We also show the equivalence between some models of causality and local uniqueness (for the solutions of the martingale problem).     

Weak convergence of hilbert valued martingale measures

In this paper, we discuss the property of Hilbert valued martingale measure and introduce the concept of convergence of martingale measures in distribution. The sufficient. and necessary conditions are provided for strongly orthogonal martingale measures with independent increments (Theorem 2.2). The conditions are given for convergence of martingale measures     

Atomic decompositions of martingale hardy–morrey spaces

We establish the atomic decompositions of martingale Hardy– Morrey spaces. The martingale Hardy–Morrey spaces are generalizations of martingale Hardy spaces. Therefore, the atomic decompositions presented in this paper are extensions of the atomic decompositions of martingale Hardy spaces.     

Real interpolation between martingale hardy and BMO spaces

In this paper, we consider the real interpolation with a function parameter between martingale Hardy and BMO spaces. An interpolation theorem for martingale Hardy and BMO spaces is formulated. As an application, real interpolation between martingale Lorentz and BMO spaces is given.     

Complete convergence and complete moment convergence for martingale difference sequence

In the paper,we investigate the complete convergence and complete moment convergence for the maximal partial sum of martingale diference sequence.Especially,we get the Baum–Katz-type Theorem and Hsu–Robbins-type Theorem for martingale diference sequence.As an application,a strong law of large numbers for martingale diference sequence is obtained.     

Optimal martingale measures for defaultable assets

We model a defaultable asset as solution to a stochastic differential equation driven by both a Brownian motion and the counting process martingale associated to the one-jump process. We discuss in this framework the minimal entropy martingale measure as well as the linear Esscher and the minimal martingale measure. In particular we deal with some rather delicate verification issues.     

渐近鞅差序列的大数定律

研究渐近鞅的收敛性及渐近鞅的 Doob分解 ,证明了渐近鞅差序列服从大数定律     

On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps

We compute and then discuss the Esscher martingale transform for exponential processes, the Esscher martingale transform for linear processes, the minimal martingale measure, the class of structure preserving martingale measures, and the minimum entropy martingale measure for stochastic volatility models of the Ornstein–Uhlenbeck type as introduced by Barndorff-Nielsen and Shephard. We show that in the model with leverage, with jumps both in the volatility and in the returns, all those measures are different, whereas in the model without leverage, with jumps in the volatility only and a continuous return process, several measures coincide, some simplifications can be made and the results are more explicit. We illustrate our results with parametric examples used in the literature.     

Orlicz空间鞅算子不等式(英文)

在本文中我们研究了由具有弱(p,p)型和(∞,∞)型的鞅算子T所推广鞅Orlicz空间,而鞅算子T是经典鞅论中极大算子M和均方算子S的推广.为了说明具有弱(p,p)型和(∞,∞)型的鞅算子T的存在性,我们引进了鞅算子Mp.利用鞅算子Mp,我们得到了鞅算子的双Φ不等式的最优条件,而且我们还得到了鞅算子Mp的Doob不等式.     

Interpolation on weak martingale Hardy space

By the weak atomic decompositions of weak martingale Hardy spaces, we investigate the interpolation spaces between weak martingale Hardy spaces and martingale Hardy spaces.     

Interpolation theorems on weighted Lorentz martingale spaces

In this paper several interpolation theorems on martingale Lorentz spaces are given.The proofs are based on the atomic decompositions of martingale Hardy spaces over weighted measure spaces.Applying the interpolation theorems,we obtain some inequalities on martingale transform operator.     

Banach值鞅变换算子的有界性

本文运用Banach值鞅不等式和鞅空间的相互嵌入关系．讨论了Banach空间值鞅空间上鞅变换算子L的有界性．并给出了鞅变换算子的有界性与Banach空间几何性质的关系．