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Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 80 for “"martingale"”.
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Martingale Integrals
Made available in DSpace on 2014-12-09T22:17:39Z (GMT). No. of bitstreams: 1 6801809.pdf: 1503087 bytes, checksum: 245bdef728296109a7b68790fcb8a353 (MD5) Previous issue date: 1967
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Martingale Comparisons
Made available in DSpace on 2014-12-09T22:17:48Z (GMT). No. of bitstreams: 1 6910678.pdf: 1179128 bytes, checksum: 14aef8622ccab63dbb6844a080470412 (MD5) Previous issue date: 1968
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Abstract Martingale Convergence Theorems
Made available in DSpace on 2014-12-05T21:50:12Z (GMT). No. of bitstreams: 1 5805490.pdf: 2335967 bytes, checksum: 1934b12289ce1392bfd78249385afd6b (MD5) Previous issue date: 1958
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A martingale-based trust system
… in this project is to formulate and examine a martingale-based trust framework. The goal is to develop strategies for probing the links that could exist within a trust model to determine if the vector of link states is in a specified set of good states. One example for the set of good network …
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Martingale Convergence Techniques in Noncommutative Integration
… techniques and constructions from the theory of martingales and Banach space geometry to solve problems in noncommutative analysis. The first problem we study is norm convergence for the Fourier transform of the noncommutative Vilenkin system. By using martingale constructions and techniques from …
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The Martingale Approach to Financial Mathematics
… on establishing meaningful connections between martingale theory, stochastic calculus, and measure-theoretic probability. We first consider a simple binomial model in discrete time, and assume the impossibility of earning a riskless profit, known as arbitrage. Under this no-arbitrage assumption …
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Some Sharp Inequalities for Martingale Transforms
… their extensions to differentially subordinate martingales.
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Properties and applications of a martingale hypothesis test
In this thesis, I explore the properties of a martingale hypothesis test, and present three applications of the test that address empirical questions in asset-pricing finance. The martingale test exploits the lack of correlation between forecast error and the current information set. The test is …
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Geometrical and Martingale characterizations of UMD and Hilbert spaces
Suppose that X is a real or complex Banach space with norm $\vert \cdot \vert$. Then X is a Hilbert space if and only if $E\vert x + Y\vert \geq 1$ for all x $\in$ X and all X-valued Bochner integrable functions Y on the Lebesgue unit interval satisfying EY = 0 and $\vert Y\vert \geq$ 1 a.e. This …
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Asian Options: Inverse Laplace Transforms and Martingale Methods Revisited
Arithmetic Asian options are difficult to price and hedge, since, at the present, no closed-form analytical solution exists to price them. This difficulty, moreover, has led to the development of various methods and models used to price these instruments. The purpose of this thesis is two-fold. …
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A Weak Type Inequality for Martingale Transforms and Other Subordinate Martingales
… the best constant in a weak type inequality for martingale transforms extending the result of Burkholder (1966). First, we study the inequality for the discrete-time martingale case. We present examples of martingales that give good lower estimates of the best constant. We then find a biconcave …
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On the Operator Space UMD Property and Non-Commutative Martingale Inequalities
We prove that for 1 ≤ p < q < infinity the analogue of the classical result BMO,Lp pq = Lq holds in the setting of a finite von Neumann algebra M , equipped with an increasing filtration ( M n)n≥1 of von Neumann subalgebras. We also obtain the corresponding results for the real method of …
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Martingales in Filtering and Geometry
We give three applications of martingale theory. First, we study a problem in real-time target tracking. Realistic assumptions, namely limited processing power, turn the variance into a stochastic process. We transform and compensate the variance process so as to obtain a martingale. We find …
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Statistical inference of multivariate time series and functional data using new dependence metrics
… metrics which can be viewed as an extension of Martingale Difference Divergence (MDD) [see Shao and Zhang (2014)] that quantifies the conditional mean dependence of two random vectors. For one part, the new approaches to dimension reduction of multivariate time series for conditional mean and …
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Pointwise Relations Between Ergodic Averages and Martingales
… can be pointwise dominated by one reversed martingale, situations when a reversed martingale can be pointwise dominated by ergodic averages, and when differentiation averages can be dominated by a martingale.
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Two Approaches to Non-Zero-Sum Stochastic Differential Games of Control and Stopping
This dissertation takes two approaches - martingale and backward stochastic differential equation (BSDE) - to solve non-zero-sum stochastic differential games in which all players can control and stop the reward streams of the games. Existence of equilibrium stopping rules is proved under some …
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Derivative pricing and logarithmic portfolio optimization in incomplete markets
… contingent claims any more. Each equivalent martingale measure yields a possible price. Therefore additional criteria have to be imposed for derivative pricing. One approach is to consider the martingale measure wich minimizes a certain distance. One result of this thesis is the …
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Risk neutral measures and GARCH model calibration
… valuation relationship, the mean correcting martingale measure, the conditional Esscher transform and the second order Esscher transform as martingale measure candidates. All these methods lead to the respective risk neutral return dynamics. We empirically examine in-sample and out-ofsample …
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On moment conditions for the Girsanov Theorem
… motivated by the desire to avoid using the local martingale theory in the proof of the Girsanov Theorem. Namely, we will only use the martingale theory to prove the Girsanov Theorem. Many sufficient conditions for the validity of the Girsanov Theorem have been found since the publication of the …
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