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作者：Engelbert, HJ
作者单位：Friedrich Schiller University of Jena
摘要：We consider the one-dimensional stochastic equation X-t = X-0 + integral(0)(t) b(X-s) dM(s) where M is a continuous local martingale and b a measurable real function. Suppose that b(-2) is locally integrable. D. N. Hoover asserted that, on a saturated probability space, there exists a solution X of the above equation with X-0 = 0 having no occupation time in the zeros of b and, moreover, the pair (X, M) is unique in law for all such X. We will give an example which shows that the uniqueness as...
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作者：Sturm, KT
作者单位：University of Bonn
摘要：We develop a nonlinear martingale theory for time discrete processes (Y-n)(nis an element ofN0). These processes are defined on any filtered probability space (Omega, F, F-n, P)(nis an element ofN0) and have values in a metric space (N, d) of nonpositive curvature (in the sense of A. D. Alexandrov). The defining martingale property for such processes is E(Yn+1\F-n) = Y-n, P-a.s., where the conditional expectation on the left-hand side is defined as the minimizer of the functional Z --> Ed(2)(Z...
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作者：Grandits, P; Rheinländer, T
作者单位：University of Cambridge; Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：Let X be a locally bounded semimartingale. Using the theory of BMO-martingales we give a sufficient criterion for a martingale measure for X to minimize relative entropy among all martingale measures. This is applied to prove convergence of the q-optimal martingale measure to the minimal entropy martingale measure in entropy for q down arrow 1 under the assumption that X is continuous and that the density process of some equivalent martingale measure satisfies a reverse LLogL-inequality.
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作者：Bramson, M; Mountford, T
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：The product Bernoulli measures rho(alpha) with densities alpha, alpha is an element of [0, 1], are the extremal translation invariant stationary measures for an exclusion process with irreducible random walk kernel p((.)). In d = 1, stationary measures that are not translation invariant are known to exist for specific p((.)) satisfying Sigma(x) xp(x) > 0. These measures are concentrated on configurations that are completely occupied by particles far enough to the right and are completely empty...
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作者：Bloznelis, M; Götze, F
作者单位：Vilnius University; University of Bielefeld
摘要：Let T be a symmetric statistic based on sample of size n drawn without replacement from a finite population of size N, where N > n. Assuming that the linear part of Hoeffding's decomposition of T is nondegenerate we construct a one term Edgeworth expansion for the distribution function of T and prove the validity of the expansion with the remainder O(1/n*) as n* --> infinity, where n* = min{n, N - n}.
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作者：Gravner, J; Tracy, CA; Widom, H
作者单位：University of California System; University of California Davis; University of California System; University of California Santa Cruz
摘要：We consider a model of interface growth in two dimensions, given by a height function on the sites of the one-dimensional integer lattice. According to the discrete time update rule, the height above the site x increases to the height above x - 1, if the latter height is larger; otherwise the height above x increases by I with probability p(x). We assume that p(x) are chosen independently at random with a common distribution F and that the initial state is such that the origin is far above the...
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作者：Buckdahn, R; Ma, J
作者单位：Universite de Bretagne Occidentale; Purdue University System; Purdue University
摘要：In this paper we study a new type of Taylor expansion for Ito-type random fields, up to the second order. We show that an M-type random field with reasonably regular integrands can be expanded, up to the second order, to the linear combination of increments of temporal and spatial variables, as well as the driven Brownian motion, around even a random (t, x)-point. Also, the remainder can be estimated in a pathwise manner. We then show that such a Taylor expansion is valid for the solutions to ...
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作者：Griffin, PS; Qazi, FS
作者单位：Syracuse University; St. Marys College of Maryland
摘要：Let X, X-1, X-2,... be a sequence of independent and identically distributed random variables. Let X-(1)(n),...,X-(n)(n) be an arrangement of X-1, X-2,..., X-n in decreasing order of magnitude, and set((rn))S(n) = X-(rn+1)(n) + (...) + X-(n)(n). This is known as the modulus trimmed sum. We obtain a complete characterization of the class of limit laws of the normalized modulus trimmed sum when the underlying distribution is symmetric and r(n) --> infinity, r(n)n(-1) --> 0.
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作者：Houdré, C
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：We obtain deviation inequalities for some classes of functions of infinitely divisible random vectors having finite exponential moments.
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作者：Fuhrman, M; Tessitore, G
作者单位：Polytechnic University of Milan; University of Parma
摘要：Solutions of semilinear parabolic differential equations in infinite dimensional spaces are obtained by means of forward and backward infinite dimensional stochastic evolution equations. Parabolic equations are intended in a mild sense that reveals to be suitable also towards applications to optimal control.
