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Efficient Discretization of Stochastic Integrals
Efficient Discretization Stochastic Integrals Probability
2012/4/18
Sharp asymptotic lower bounds of the expected quadratic variation of discretization error in stochastic integration are given. The theory relies on inequalities for the kurtosis and skewness of a gene...
Predictable projections of conformal stochastic integrals: an application to Hermite series and to Widder's representation
conformal stochastic integrals Widder's representation Hermite series
2011/9/21
Abstract: In this article, we study predictable projections of stochastic integrals with respect to the conformal Brownian motion, extending the connection between powers of the conformal Brownian mot...
Asymptotic error distribution for approximation of a stochastic integral with respect to continuous semimartingale by Riemann sum with general stochastic partition is studied. Effective discretization...
Sharp Norm Inequality for Bounded Submartingales and Stochastic Integrals
Martingale Submartingale Stochastic integral Norm inequality Differential subordination
2010/1/22
Let be a fixed number and be a nonnegative submartingale bounded from above by . Assume is a process satisfying, with probability , We provide a sharp bound for the first moment of the proc...
On Some Inequalities of Local Times of Iterated Stochastic Integrals
Continuous local martingale Continuous semimartingale Iterated stochastic integrals Local time Random time Burkholder-Davis-Gundy inequalities Barlow-Yor inequalities
2008/6/27
On Some Inequalities of Local Times of Iterated Stochastic Integrals.
Fractional Smoothness of Some Stochastic Integrals
fractional Sobolev space stochastic integral interpolation
2007/12/12
We study the fractional smoothness in the sense of Malliavin calculus of stochastic integrals of the form $\int_0^1\p(X_s)dX_s$, where $X_s$ is a semimartingale and $\p$ belongs to some fractional Sob...
DISCRETIZATION OF JUMP STOCHASTIC DIFFERENTIAL EQUATIONS IN TERMS OFMULTIPLE STOCHASTIC INTEGRALS
2007/12/12
In the Stratonovich-Taylor and Stratonovich-Taylor-Hall discretization
schemes for stochastic differential equations (SDEs), there appear two
types of multiple stochastic integrals respectively. The...