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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...
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...
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...