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Limit theorems for multiple stochastic integrals
Stable convergence Weak convergence Independently scattered measure
2009/6/12
We show that the general stable convergence results proved in Peccati and Taqqu(2007)for generalized adapted stochastic integrals can be used to obtain limit theorems for multiple stochastic integrals...
L1-Norm of Infinitely Divisible Random Vectors and Certain Stochastic Integrals
Infinitely divisible random variables stochastic integrals
2009/5/4
Equivalent upper and lower bounds for the L1 norm of Hilbert space valued infinitely divisible random variables are obtained and used to find bounds for different types of stochastic integrals.
Sharp maximal inequality for martingales and stochastic integrals
Martingale stochastic integral maximal function
2009/4/29
Let $X=(X_t)_{tgeq 0}$ be a martingale and $H=(H_t)_{tgeq 0}$ be a predictable process taking values in $[-1,1]$. Let $Y$ denote the stochastic integral of $H$ with respect to $X$. We show that $$ ||s...
Sharp maximal inequality for martingales and stochastic integrals
martingales stochastic integrals
2009/4/22
Let $X=(X_t)_{tgeq 0}$ be a martingale and $H=(H_t)_{tgeq 0}$ be a predictable process taking values in $[-1,1]$. Let $Y$ denote the stochastic integral of $H$ with respect to $X$. We show that $$ ||s...