2005, ISBN 0521850150, x, 381

This book, first published in 2005, introduces measure and integration theory as it is needed in many parts of analysis and probability theory. The basic...

Measure theory | Integrals | Martingales (Mathematics) | Travel | Discounts for older people | Services for | United States | Recreation | Older people

Measure theory | Integrals | Martingales (Mathematics) | Travel | Discounts for older people | Services for | United States | Recreation | Older people

Book

2013, Graduate studies in mathematics, ISBN 9781470409074, Volume 149, xi, 284

Book

Journal of theoretical probability, ISSN 0894-9840, 09/2020, Volume 33, Issue 3, pp. 1791 - 1800

Journal Article

1984, London Mathematical Society lecture note series, ISBN 0521317150, Volume 100, xvi, 351

This book considers convergence of adapted sequences of real and Banach space-valued integrable functions, emphasizing the use of stopping time techniques. Not...

Martingales (Mathematics) | Convergence

Martingales (Mathematics) | Convergence

Book

1991, Grundlehren der mathematischen Wissenschaften, ISBN 3540521674, Volume 293, ix, 533 p. --

Book

1980, Probability and mathematical statistics., ISBN 9780123193506, xii, 308

Book

The Annals of applied probability, ISSN 1050-5164, 4/2013, Volume 23, Issue 2, pp. 764 - 810

The Markowitz problem consists of finding, in a financial market, a self-financing trading strategy whose final wealth has maximal mean and minimal variance....

Optimal strategies | Integrands | Dynamic programming | Random variables | Coefficients | Stopping distances | Financial portfolios | Martingales | Perceptron convergence procedure | E-martingales | Opportunity process | Linear-quadratic control | Mean-variance hedging | Portfolio selection | Markowitz problem | Cone constraints | BSDEs | Stochastic control | Martingale optimality principle | Semimartingales | epsilon-martingales | linear-quadratic control | cone constraints | martingale optimality principle | MARKET | VARIANCE PORTFOLIO SELECTION | portfolio selection | EQUATIONS | STATISTICS & PROBABILITY | opportunity process | mean-variance hedging | stochastic control | semimartingales | 93E20 | 91G10 | mathcal{E}-martingales | 91G80 | 60G48 | 49N10

Optimal strategies | Integrands | Dynamic programming | Random variables | Coefficients | Stopping distances | Financial portfolios | Martingales | Perceptron convergence procedure | E-martingales | Opportunity process | Linear-quadratic control | Mean-variance hedging | Portfolio selection | Markowitz problem | Cone constraints | BSDEs | Stochastic control | Martingale optimality principle | Semimartingales | epsilon-martingales | linear-quadratic control | cone constraints | martingale optimality principle | MARKET | VARIANCE PORTFOLIO SELECTION | portfolio selection | EQUATIONS | STATISTICS & PROBABILITY | opportunity process | mean-variance hedging | stochastic control | semimartingales | 93E20 | 91G10 | mathcal{E}-martingales | 91G80 | 60G48 | 49N10

Journal Article

1992, Cambridge mathematical textbooks, ISBN 9780521406055, xv, 251

Book

Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, ISSN 1350-7265, 2019, Volume 25, Issue 3, pp. 1659 - 1689

In this paper, we consider Meyer–Yoeurp decompositions for UMD Banach space-valued martingales. Namely, we prove that X is a UMD Banach space if and only if...

Meyer–Yoeurp decomposition | Continuous martingales | UMD Banach spaces | Yoeurp decomposition | Accessible jumps | Brownian representation | Differential subordination | Canonical decomposition of martingales | Stochastic integration | Quasi-left continuous | Purely discontinuous martingales | Burkholder function | Weak differential subordination | differential subordination | purely discontinuous martingales | Meyer-Yoeurp decomposition | STATISTICS & PROBABILITY | stochastic integration | weak differential subordination | accessible jumps | quasi-left continuous | canonical decomposition of martingales | continuous martingales

Meyer–Yoeurp decomposition | Continuous martingales | UMD Banach spaces | Yoeurp decomposition | Accessible jumps | Brownian representation | Differential subordination | Canonical decomposition of martingales | Stochastic integration | Quasi-left continuous | Purely discontinuous martingales | Burkholder function | Weak differential subordination | differential subordination | purely discontinuous martingales | Meyer-Yoeurp decomposition | STATISTICS & PROBABILITY | stochastic integration | weak differential subordination | accessible jumps | quasi-left continuous | canonical decomposition of martingales | continuous martingales

Journal Article

05/2016, Cambridge studies in advanced mathematics, ISBN 9781107137240, Volume 155, 592

This book focuses on the major applications of martingales to the geometry of Banach spaces, and a substantial discussion of harmonic analysis in Banach space...

Martingales (Mathematics) | Banach spaces

Martingales (Mathematics) | Banach spaces

eBook

1994, 2nd ed., Wiley series in probability and mathematical statistics., ISBN 0521775930, v.

This celebrated book has been prepared with readers' needs in mind, remaining a systematic treatment of the subject whilst retaining its vitality. The second...

Markov processes | Diffusion processes | Martingales (Mathematics)

Markov processes | Diffusion processes | Martingales (Mathematics)

Book

Stochastic processes and their applications, ISSN 0304-4149, 2019, Volume 129, Issue 11, pp. 4480 - 4499

Let (Wn(θ))n∈N0 be Biggins’ martingale associated with a supercritical branching random walk, and let W(θ) be its almost sure limit. Under a natural condition...

Autoregressive process | Biggins’ martingale | Branching random walk | Martingale | Stable distribution | THEOREM | CONVERGENCE | STATISTICS & PROBABILITY | Biggins' martingale

Autoregressive process | Biggins’ martingale | Branching random walk | Martingale | Stable distribution | THEOREM | CONVERGENCE | STATISTICS & PROBABILITY | Biggins' martingale

Journal Article

1994, 2nd ed., Wiley series in probability and mathematical statistics., ISBN 0521775930, v.

Book

The Annals of probability, ISSN 0091-1798, 5/2014, Volume 42, Issue 3, pp. 959 - 993

We consider the boundary case (in the sense of Biggins and Kyprianou [Electron. J. Probab. 10 (2005) 609-631] in a one-dimensional supercritical branching...

Brownian motion | Integers | Determinism | Random walk | Traveling waves | Laplace transformation | Random variables | Martingales | Vertices | Additive martingale | Seneta-heyde norming | Derivative martingale | Branching random walk | Seneta-Heyde norming | BROWNIAN-MOTION | SURVIVAL | additive martingale | MARTINGALE CONVERGENCE | STATISTICS & PROBABILITY | derivative martingale | TRAVELING-WAVES | TREES | GALTON-WATSON PROCESS | ABSORPTION | MINIMAL POSITION | EQUATION | FIXED-POINTS | Mathematics - Probability | Probability | Mathematics | 60F05 | 60J80 | Seneta–Heyde norming

Brownian motion | Integers | Determinism | Random walk | Traveling waves | Laplace transformation | Random variables | Martingales | Vertices | Additive martingale | Seneta-heyde norming | Derivative martingale | Branching random walk | Seneta-Heyde norming | BROWNIAN-MOTION | SURVIVAL | additive martingale | MARTINGALE CONVERGENCE | STATISTICS & PROBABILITY | derivative martingale | TRAVELING-WAVES | TREES | GALTON-WATSON PROCESS | ABSORPTION | MINIMAL POSITION | EQUATION | FIXED-POINTS | Mathematics - Probability | Probability | Mathematics | 60F05 | 60J80 | Seneta–Heyde norming

Journal Article

1984, ISBN 9780521247580, xi, 202

This book provides an introduction to the rapidly expanding theory of stochastic integration and martingales. The treatment is close to that developed by the...

Stochastic integrals | Martingales (Mathematics)

Stochastic integrals | Martingales (Mathematics)

Book

1980, Probability and mathematical statistics, ISBN 0124914500, xii, 196

Book

1979, ISBN 0471914827, v.

Book

1972, Lecture notes in mathematics, ISBN 0387059830, Volume 284., v.

Book

2000, Monographs on statistics and applied probability (Series), ISBN 9781584880820, Volume 85, 212

Book

Transactions of the American Mathematical Society, ISSN 0002-9947, 01/2019, Volume 372, Issue 1, pp. 187 - 231

We provide a compactness criterion for the set of laws \mathfrak{P}^{ac}_{sem}(\Theta ) on the Skorokhod space for which the canonical process X is a...

MATHEMATICS | DUALITY | MARTINGALE OPTIMAL TRANSPORT

MATHEMATICS | DUALITY | MARTINGALE OPTIMAL TRANSPORT

Journal Article

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