THE DYADIC DERIVATIVE AND CESARO MEAN OF BANACH-VALUED MARTINGALES

In this article, the Banach space X and the martingales with values in it are considered. It is shown that the maximal operators of the one-dimensional dyadic derivative of the dyadic integral and Cesaro means are bounded from the dyadic Hardy- Lorentz space pH^-ra（X） to Lra（X） when X is isomorphic to a p-uniformly smooth space （1 〈p ≤ 2）. And it is also bounded from Hra（X） to Lra（X） （0 〈 r 〈 ∞,0 〈 a≤oc） when X has Radon-Nikodym property. In addition, some weak-type inequalities are given.     

拟对称Markov链泛函型中心极限定理

本文研究了一般的马尔可夫链特别是拟对称马尔可夫链．利用Lyons-Meyer-Zheng对称马尔可夫过程的鞅分解，建立了泛函型中心极限定理．推广到了一般平稳遍历马尔可夫过程。     

Time-risk Discount Valuation of Life Contracts

In this paper a new approach is developed to value life insurance contracts by means of the method of backward stochastic differential equation. Such a valuation may relax certain market limitations. Following this approach, the values of single decrement policies are studied and Thiele‘s-type PDEs for general life insurance contracts are derived.     

On Conservative Confidence Intervals

The subject of the paper – (conservative) confidence intervals – originates in applications to auditing. Auditors are interested in upper confidence bounds for an unknown mean for all sample sizes n. The samples are drawn from populations such that often only a few observations are nonzero. The conditional distribution of an observation given that it is nonzero usually has a very irregular shape. However, it can be assumed that observations are bounded. We propose a way to reduce the problem to inequalities for tail probabilities of certain relevant statistics. Note that a traditional approach involving limit theorems forces to impose additional conditions on regularity of samples and leads to approximate or asymptotic bounds. In the case of , as a statistic we can use sample mean, say , and we have to use Hoeffding [7] inequalities, since currently they are the best available. This leads to upper confidence bounds for which are of (asymptotic) size at most in the case of risk =0.05, where is the unknown standard deviation. We have , where is the bound in a model with normally distributed observations. It seems that the bound is very robust and can be improved replacing Hoeffding's inequalities by more refined ones. The commonly used Stringer bound (it is still not known whether it is an upper confidence bound) is of asymptotic size c with equality only for Bernoulli distributions, and the ratio c / can be arbitrary large already for rather simple distributions. Our bounds can involve a priori information (professional judgment of an auditor) of type ₀ or/and ₀, which leads to improvements. Most of the results also hold for sampling without replacement from finite populations. The i.i.d. condition can be replaced by a martingale-type dependence assumption. Finally, the results can be extended to the noni.i.d. case and for settings with several samples.     

Doob-meyer decomposition for set-indexed submartingales

Set-indexed martingales and submartingales are defined and studied. The admissible function of a submartingale is defined and some class (D) conditions are given which allow the extension of the function to a -additive measure on the predictable -algebra. Then, we prove a Doob-Meyer decomposition: A set-indexed submartingale can be decomposed into the sum of a weak martingale and an increasing process. A hypothesis of predictability ensures the uniqueness of this decomposition. An explicit construction of the increasing process associated with a submartingale is given. Finally, some remarks, about quasimartingales are discussed.Research supported by a grant from the Natural Sciences and Engineering Research Council of Canada. Dept. of Math. University of Ottawa, Ottawa, Ontario, Canada, K1N 6N5.The third author wishes to thank Professor Ivanoff and Dr. Dozzi for their kind hospitality. Dept. of Math. & Comp. Sci. Bar-Ilan University, Ramat-Gan 52900, Israel.     

两指标B值强鞅空间与Banach空间的几何性质

讨论了两指标B值强鞅空间的相互嵌入关系与Banach空间的几何性质之间的联系：Banach空间的几何性质决定着强鞅空间的相互嵌入关系;强鞅空间的嵌入关系也可刻划Banach空间的几何性质。     

一类特殊半鞅模型中无套利测度的刻划

本文研究金融市场中一类特殊半鞅模型,其价格过程具有X=LD的形式,这里L是局部有界鞅,D是可料有限变差过程.对这类模型我们导出其等价鞅测度存在的充分必要条件.另外,我们将[2]中的条件/△M/≤C推广到M为局部有界鞅,得到相应的结果.     

Martingales in Banach Lattices

In this article, we present a version of martingale theory in terms of Banach lattices. A sequence of contractive positive projections (E_n) on a Banach lattice F is said to be a filtration if E_nE_m = E_{n∧ m}. A sequence (x_n) in F is a martingale if E_nx_m = x_n whenever n ≤ m. Denote by M = M(F, (E_n)) the Banach space of all norm uniformly bounded martingales. It is shown that if F doesn’t contain a copy of c₀ or if every E_n is of finite rank then M is itself a Banach lattice. Convergence of martingales is investigated and a generalization of Doob Convergence Theorem is established. It is proved that under certain conditions one has isometric embeddings . Finally, it is shown that every martingale difference sequence is a monotone basic sequence. Mathematics Subject Classification (2000). 60G48, 46B42     

Partial regularity for the stochastic Navier-Stokes equations

The effects of random forces on the emergence of singularities in the Navier-Stokes equations are investigated. In spite of the presence of white noise, the paths of a martingale suitable weak solution have a set of singular points of one-dimensional Hausdorff measure zero. Furthermore statistically stationary solutions with finite mean dissipation rate are analysed. For these stationary solutions it is proved that at any time the set of singular points is empty. The same result holds true for every martingale solution starting from -a.e. initial condition , where is the law at time zero of a stationary solution. Finally, the previous result is non-trivial when the noise is sufficiently non-degenerate, since for any stationary solution, the measure is supported on the whole space of initial conditions.

     

带预期的最优消费选择：鞅方法

本文研究了投资者最优消费投资问题,这类投资者拥有Brown运动的终端信息,但该信息可能受噪声干扰,在对证券价格过程和投资者偏好作极其一般的假设条件下,我们利用鞅和对偶技术建立了最优策略的存在性,并就对数效用投资者,我们建立了 最优消费投资公式。