作者：Li, Libo; Rutkowski, Marek
作者单位：University of Sydney; Warsaw University of Technology
摘要：We deal with various alternative decompositions of F-martingales with respect to the filtration G, which represents the enlargement of a filtration F by a progressive flow of observations of a random time that either belongs to the class of pseudo-honest times or satisfies the extended density hypothesis. Several related results from the existing literature are revisited and essentially extended. Results on G-semimartingale decompositions of F-local martingales are crucial for applications in ...
作者：Liu, Jingchen; Xu, Gongjun
作者单位：Columbia University; University of Minnesota System; University of Minnesota Twin Cities
摘要：In this paper, we consider the extreme behavior of a Gaussian random field f(t) living on a compact set T. In particular, we are interested in tail events associated with the integral integral(T) e(f(t)) dt. We construct a (non-Gaussian) random field whose distribution can be explicitly stated. This field approximates the conditional Gaussian random field f (given that integral(T) e(f(t)) dt exceeds a large value) in total variation. Based on this approximation, we show that the tail event of ...
