Dungeon
发表于 2025-3-28 18:00:20
Self-similar fragmentations and stable subordinators,. Let (..(.), . ≥ 0) be the stable subordinator of index 1/2. Aldous and Pitman showed that the distribution of the sizes of the fragments of .(.) is the same as the conditional distribution of the jump sizes of .. up to time ., given ..(.) = 1. We show that this is a special property of the stable
Myocyte
发表于 2025-3-28 19:01:13
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decipher
发表于 2025-3-28 23:48:13
A note on representations of eigenvalues of classical Gaussian matrices,servation due to Johansson in order to derive new representations for the eigenvalues of GUE. For instance, it is possible to recover the celebrated equality in distribution between the maximal eigenvalue of GUE and a last-passage time in some directed Brownian percolation. Similar identities for th
inclusive
发表于 2025-3-29 05:25:45
Necessary and sufficient conditions for the supermartingale property of a stochastic integral with . A basic answer is due to Ansel and Stricker ..Recently, Schachermayer , and Kabanov and Stricker have also dealt with this problem requiring an integrability condition at arbitrary sequences of stopping times (cf. (7)). The subject of this paper is how to improve these results by imposin
下船
发表于 2025-3-29 09:47:21
,On the Derivation of the Black–Scholes Formula, is mathematically justified. In the process, we have to confront a novel free boundary problem for parabolic equations.. Derivative pricing, Black Scholes equation, call option, self financing, hedging portfolio, parabolic equation.
泄露
发表于 2025-3-29 12:14:30
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vertebrate
发表于 2025-3-29 18:21:52
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Arrhythmia
发表于 2025-3-29 21:34:17
On the reduction of a multidimensional continuous martingale to a Brownian motion,ze them, for instance with the Gram–Schmidt algorithm. This is indeed what was done by Knight himself when first using his theorem (see , Theorem 2.2); but he was working in a particular setting (Hunt processes) and did not give explicit formulas. Other examples where this orthogonalization is used are references and .
休息
发表于 2025-3-30 00:40:59
The time to a given drawdown in Brownian Motion, function was studied by Dubins & Schwarz ..Our treatment of the problem involves a stopped Brownian Motion formula by Taylor (see Taylor and Williams ), first exit times by Brownian Motion from open intervals, processes with dichotomous transitions and the Azéma–Yor stopping time.
Cardiac
发表于 2025-3-30 04:26:38
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