Works about MARTINGALES (Mathematics)

Results: 1702

Application and Model of Term Structure of Stochastic Interest Rate Based on the Inflation Rate.

Published in:

Journal of Systems Science & Information, 2007, v. 5, n. 2, p. 191

By:

Yonghong Ma;
Rongxi Zhou;
Zhenguang Li

Publication type:

Article

Framed Field Experiment with Stock Market Professionals.

Published in:

Journal of Behavioral Finance, 2012, v. 13, n. 4, p. 251, doi. 10.1080/15427560.2012.733984

By:

Ilomäki, Jukka

Publication type:

Article

A tutorial on elementary cellular automata with fully asynchronous updating: General properties and convergence dynamics.

Published in:

Natural Computing, 2020, v. 19, n. 1, p. 179, doi. 10.1007/s11047-020-09782-7

By:

Fatès, Nazim

Publication type:

Article

The Multivariate Generalized Linear Hawkes Process in High Dimensions with Applications in Neuroscience.

Published in:

Methodology & Computing in Applied Probability, 2024, v. 26, n. 1, p. 1, doi. 10.1007/s11009-023-10063-w

By:

Fallahi, Masoumeh;
Pourtaheri, Reza;
Eskandari, Farzad

Publication type:

Article

Profile of Random Exponential Recursive Trees.

Published in:

Methodology & Computing in Applied Probability, 2022, v. 24, n. 1, p. 259, doi. 10.1007/s11009-020-09831-9

By:

Mahmoud, Hosam

Publication type:

Article

On Nodes of Small Degrees and Degree Profile in Preferential Dynamic Attachment Circuits.

Published in:

Methodology & Computing in Applied Probability, 2020, v. 22, n. 2, p. 625, doi. 10.1007/s11009-019-09726-4

By:

Zhang, Panpan;
Mahmoud, Hosam M.

Publication type:

Article

Ruin Probability in a Correlated Aggregate Claims Model with Common Poisson Shocks: Application to Reinsurance.

Published in:

Methodology & Computing in Applied Probability, 2016, v. 18, n. 3, p. 675, doi. 10.1007/s11009-015-9448-5

By:

Hu, Xiang;
Zhang, Lianzeng

Publication type:

Article

Option Pricing Under Jump-Diffusion Processes with Regime Switching.

Published in:

Methodology & Computing in Applied Probability, 2016, v. 18, n. 3, p. 829, doi. 10.1007/s11009-015-9462-7

By:

Ratanov, Nikita

Publication type:

Article

On the Price of Risk of the Underlying Markov Chain in a Regime-Switching Exponential Lévy Model.

Published in:

Methodology & Computing in Applied Probability, 2016, v. 18, n. 1, p. 107, doi. 10.1007/s11009-014-9399-2

By:

Momeya, Romuald;
Morales, Manuel

Publication type:

Article

Market Viability and Martingale Measures under Partial Information.

Published in:

Methodology & Computing in Applied Probability, 2015, v. 17, n. 1, p. 15, doi. 10.1007/s11009-014-9397-4

By:

Fontana, Claudio;
Øksendal, Bernt;
Sulem, Agnès

Publication type:

Article

Approximation of Fractional Brownian Motion by Martingales.

Published in:

Methodology & Computing in Applied Probability, 2014, v. 16, n. 3, p. 539, doi. 10.1007/s11009-012-9313-8

By:

Shklyar, Sergiy;
Shevchenko, Georgiy;
Mishura, Yuliya;
Doroshenko, Vadym;
Banna, Oksana

Publication type:

Article

An Urn Model for Population Mixing and the Phases Within.

Published in:

Methodology & Computing in Applied Probability, 2013, v. 15, n. 3, p. 683, doi. 10.1007/s11009-012-9275-x

By:

Tong, Zhang;
Mahmoud, Hosam

Publication type:

Article

Call Option Prices Based on Bessel Processes.

Published in:

Methodology & Computing in Applied Probability, 2011, v. 13, n. 2, p. 329, doi. 10.1007/s11009-009-9151-5

By:

Yen, Ju-Yi;
Yor, Marc

Publication type:

Article

Option Pricing for Log-Symmetric Distributions of Returns.

Published in:

Methodology & Computing in Applied Probability, 2009, v. 11, n. 3, p. 339, doi. 10.1007/s11009-007-9038-2

By:

Klebaner, Fima C.;
Landsman, Zinoviy

Publication type:

Article

A Stopping Criterion for a Dynamic Competing Risks Model.

Published in:

Methodology & Computing in Applied Probability, 2000, v. 2, n. 2, p. 203, doi. 10.1023/A:1010002224000

By:

Agustin, Marcus A.

Publication type:

Article

Option Pricing for Symmetric Lévy Returns with Applications.

Published in:

Asia-Pacific Financial Markets, 2015, v. 22, n. 1, p. 27, doi. 10.1007/s10690-014-9192-9

By:

Hamza, Kais;
Klebaner, Fima;
Landsman, Zinoviy;
Tan, Ying-Oon

Publication type:

Article

The Minimal Entropy Martingale Measure (MEMM) for a Markov-Modulated Exponential Lévy Model.

Published in:

Asia-Pacific Financial Markets, 2012, v. 19, n. 1, p. 63, doi. 10.1007/s10690-011-9142-8

By:

Momeya, Romuald;
Salah, Zied

Publication type:

Article

A Note on Utility Maximization with Unbounded Random Endowment.

Published in:

Asia-Pacific Financial Markets, 2011, v. 18, n. 1, p. 89, doi. 10.1007/s10690-010-9122-4

By:

Owari, Keita

Publication type:

Article

q-Optimal Martingale Measures for Discrete Time Models.

Published in:

Asia-Pacific Financial Markets, 2008, v. 15, n. 3/4, p. 155, doi. 10.1007/s10690-008-9076-y

By:

Arai, Takuji;
Kawaguchi, Muneki

Publication type:

Article

Unifying Black–Scholes Type Formulae Which Involve Brownian Last Passage Times up to a Finite Horizon.

Published in:

Asia-Pacific Financial Markets, 2008, v. 15, n. 2, p. 97, doi. 10.1007/s10690-008-9068-y

By:

Madan, D.;
Roynette, B.;
Yor, M.

Publication type:

Article

From the Minimal Entropy Martingale Measures to the Optimal Strategies for the Exponential Utility Maximization: the Case of Geometric Lévy Processes.

Published in:

Asia-Pacific Financial Markets, 2004, v. 11, n. 4, p. 367, doi. 10.1007/s10690-006-9019-4

By:

Fujiwara, Tsukasa

Publication type:

Article

No Arbitrage Condition for Positive Diffusion Price Processes.

Published in:

Asia-Pacific Financial Markets, 2002, v. 9, n. 3/4, p. 159, doi. 10.1023/A:1024173029378

By:

Delbaen, Freddy;
Shirakawa, Hiroshi

Publication type:

Article

The Relations between Minimal Martingale Measure and Minimal Entropy Martingale Measure.

Published in:

Asia-Pacific Financial Markets, 2001, v. 8, n. 2, p. 167, doi. 10.1023/A:1011984313198

By:

Arai, Takuji

Publication type:

Article

Minimal Entropy Martingale Measures of Jump Type Price Processes in Incomplete Assets Markets.

Published in:

Asia-Pacific Financial Markets, 1999, v. 6, n. 2, p. 97, doi. 10.1023/A:1010062625672

By:

Miyahara, Yoshio

Publication type:

Article

Evaluation of the Asian Option by the Dual Martingale Measure.

Published in:

Asia-Pacific Financial Markets, 1999, v. 6, n. 2, p. 183, doi. 10.1023/A:1010097114285

By:

Shirakawa, Hiroshi

Publication type:

Article

Annihilation-Derivative, Creation-Derivative and Representation of Quantum Martingales.

Published in:

Communications in Mathematical Physics, 2009, v. 286, n. 2, p. 751, doi. 10.1007/s00220-008-0702-3

By:

Un Cig Ji;
Obata, Nobuaki

Publication type:

Article

Two-parameter stochastic Volterra equations.

Published in:

Mathematical Notes, 2009, v. 86, n. 3/4, p. 493, doi. 10.1134/S0001434609090259

By:

Kolodii, N. A.

Publication type:

Article

Littlewood–Paley–Rubio De Francia Inequality for the Two-Parameter Walsh System.

Published in:

Journal of Mathematical Sciences, 2022, v. 262, n. 3, p. 746, doi. 10.1007/s10958-022-05785-0

By:

Borovitskiy, V.

Publication type:

Article

Littlewood–Paley–Rubio De Francia Inequality for the Two-Parameter Walsh System.

Published in:

Journal of Mathematical Sciences, 2022, v. 261, n. 6, p. 746, doi. 10.1007/s10958-022-05785-0

By:

Borovitskiy, V.

Publication type:

Article

Martingale Interpretation of Weakly Cancelling Differential Operators.

Published in:

Journal of Mathematical Sciences, 2020, v. 251, n. 2, p. 286, doi. 10.1007/s10958-020-05089-1

By:

Stolyarov, D.

Publication type:

Article

A Functional CLT for Fields of Commuting Transformations Via Martingale Approximation.

Published in:

Journal of Mathematical Sciences, 2016, v. 219, n. 5, p. 765, doi. 10.1007/s10958-016-3145-y

By:

Cuny, C.;
Dedecker, J.;
Volný, D.

Publication type:

Article

Stationary statistical experiments and the optimal estimator for a predictable component.

Published in:

Journal of Mathematical Sciences, 2016, v. 214, n. 2, p. 220, doi. 10.1007/s10958-016-2770-9

By:

Koroliouk, Dmitri

Publication type:

Article

Sharp Inequalities for Linear Combinations of Orthogonal Martingales.

Published in:

Frontiers of Mathematics, 2024, v. 19, n. 3, p. 419, doi. 10.1007/s11464-022-0116-0

By:

Ding, Yong;
Grafakos, Loukas;
Zhu, Kai

Publication type:

Article

Analysis of a Forecasting-Production-Inventory System with Stationary Demand.

Published in:

Management Science, 2001, v. 47, n. 9, p. 1268, doi. 10.1287/mnsc.47.9.1268.9787

By:

Toktay, L. Beril;
Wein, Lawrence M.

Publication type:

Article

Asymptotic Distribution of the EMS Option Price Estimator.

Published in:

Management Science, 2001, v. 47, n. 8, p. 1122, doi. 10.1287/mnsc.47.8.1122.10234

By:

Duan, Jin-chuan;
Gauthier, Genevieve;
Simonato, Jean-guy

Publication type:

Article

Empirical Martingale Simulation for Asset Prices.

Published in:

Management Science, 1998, v. 44, n. 9, p. 1218, doi. 10.1287/mnsc.44.9.1218

By:

Duan, Jin-chuan;
Simonato, Jean-guy

Publication type:

Article

A MINIMUM VARIANCE RESULT IN CONTINUOUS TRADING PORTFOLIO OPTIMIZATION.

Published in:

Management Science, 1989, v. 35, n. 9, p. 1045, doi. 10.1287/mnsc.35.9.1045

By:

Richardson, Henry R.

Publication type:

Article

Solution Representations for Poisson's Equation, Martingale Structure, and the Markov Chain Central Limit Theorem.

Published in:

Stochastic Systems, 2024, v. 14, n. 1, p. 47, doi. 10.1287/stsy.2022.0001

By:

Glynn, Peter W.;
Infanger, Alex

Publication type:

Article

On Bid-price Controls for Network Revenue Management.

Published in:

Stochastic Systems, 2015, v. 5, n. 2, p. 268, doi. 10.1287/12-SSY081

By:

Ata, Barış;
Akan, Mustafa

Publication type:

Article

Lévy-driven Polling Systems and Continuous-State Branching Processes.

Published in:

Stochastic Systems, 2011, v. 1, n. 2, p. 411, doi. 10.1287/10-SSY008

By:

Boxma, Onno;
Ivanovs, Jevgenijs;
Kosiński, Kamil;
Mandjes, Michel

Publication type:

Article

Lévy 过程驱使的非线性随机微分方程的参数估计.

Published in:

Journal of Jilin University (Science Edition) / Jilin Daxue Xuebao (Lixue Ban), 2023, v. 61, n. 3, p. 531, doi. 10.13413/j.cnki.jdxblxb.2022336

By:

李明蔚;
吕艳

Publication type:

Article

非负弱下鞅的一类极大型ϕ-不等式.

Published in:

Journal of Jilin University (Science Edition) / Jilin Daxue Xuebao (Lixue Ban), 2022, v. 60, n. 3, p. 552, doi. 10.13413/j.cnki.jdxblxb.2021297

By:

蔺霞;
冯德成;
鲁雅莉

Publication type:

Article

Bernoulli 泛函空间中广义计数算子的表示.

Published in:

Journal of Zhejiang University (Science Edition), 2022, v. 49, n. 3, p. 316, doi. 10.3785/j.issn.1008-9497.2022.03.008

By:

周玉兰;
陈嘉;
孔华芳;
薛蕊;
程秀强

Publication type:

Article

RISK MODELS OF ORDER K.

Published in:

Annals: Series on Mathematics & its Applications, 2019, v. 11, n. 2, p. 259

By:

Kostadinova, Krasimira Y.;
Lazarova, Meglena

Publication type:

Article

Sharp $H_{p}$ - $L_{p}$ type inequalities of weighted maximal operators of Vilenkin-Nörlund means and its applications.

Published in:

Journal of Inequalities & Applications, 2016, v. 2016, n. 1, p. 1, doi. 10.1186/s13660-016-1182-1

By:

Baramidze, Lasha;
Persson, Lars-Erik;
Tephnadze, George;
Wall, Peter

Publication type:

Article

Fractional Brownian sheet and martingale difference random fields.

Published in:

Journal of Inequalities & Applications, 2016, v. 2016, n. 1, p. 1, doi. 10.1186/s13660-016-1144-7

By:

Wang, Zhi;
Cui, Jing

Publication type:

Article

A maximal inequality for pth power of stochastic convolution integrals.

Published in:

Journal of Inequalities & Applications, 2016, v. 2016, n. 1, p. 1, doi. 10.1186/s13660-016-1094-0

By:

Salavati, Erfan;
Zangeneh, Bijan

Publication type:

Article

An approximation to the subfractional Brownian sheet using martingale differences.

Published in:

Journal of Inequalities & Applications, 2015, v. 2015, n. 1, p. 1, doi. 10.1186/s13660-015-0625-4

By:

Zhang, Jinhong;
Shen, Guangjun;
Li, Mengyu

Publication type:

Article

The moment of maximum normed randomly weighted sums of martingale differences.

Published in:

Journal of Inequalities & Applications, 2015, v. 2015, n. 1, p. 1, doi. 10.1186/s13660-015-0786-1

By:

Yao, Mei;
Lin, Lu

Publication type:

Article

PAC-Bayesian inequalities of some random variables sequences.

Published in:

Journal of Inequalities & Applications, 2015, v. 2015, n. 1, p. 1, doi. 10.1186/s13660-015-0768-3

By:

Wang, Zhen;
Shen, Luming;
Miao, Yu;
Chen, Shanshan;
Xu, Wenfei

Publication type:

Article