Found 144 Documents (Results 1–100)
A composite generalization of Ville’s martingale theorem using e-processes. (English) Zbl 1537.60009
Nonlinear BSDEs with two optional Doob’s class barriers satisfying weak Mokobodzki’s condition and extended Dynkin games. (English) Zbl 1523.60100
RBDSDEs with jumps and optional barrier and mean field game with common noise. (English) Zbl 1524.60118
Émile Borel’s denumerable martingales, 1909–1949. (English) Zbl 1523.60006
Mazliak, Laurent (ed.) et al., The splendors and miseries of martingales. Their history from the casino to mathematics. Cham: Birkhäuser. Trends Hist. Sci., 51-65 (2022).
Characterisation of honest times and optional semimartingales of class-\((\Sigma)\). (English) Zbl 1515.60120
Valid sequential inference on probability forecast performance. (English) Zbl 07582644
Biometrika 109, No. 3, 647-663 (2022); correction ibid. 109, No. 4, 1181-1182 (2022).
MSC:
62-XX
Consensus in the Hegselmann-Krause model. (English) Zbl 1490.60276
MSC:
60K35
Probability of consensus in spatial opinion models with confidence threshold. (English) Zbl 1484.60110
Testing exchangeability: fork-convexity, supermartingales and e-processes. (English) Zbl 07460558
MSC:
68T37
Optional stopping with Bayes factors: a categorization and extension of folklore results, with an application to invariant situations. (English) Zbl 07807548
MSC:
62-XX
Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space. (English) Zbl 1480.60160
BSDEs with jumps and two completely separated irregular barriers in a general filtration. (English) Zbl 1469.60190
Probability of consensus in the multivariate Deffuant model on finite connected graphs. (English) Zbl 1477.60140
MSC:
60K35
Reflected backward stochastic differential equations with two optional barriers. (English) Zbl 1471.60088
Time-like graphical models. (English) Zbl 1437.62005
Memoirs of the American Mathematical Society 1262. Providence, RI: American Mathematical Society (AMS) (ISBN 978-1-4704-3685-8/pbk; 978-1-4704-5416-6/ebook). vii, 170 p. (2019).
Reviewer: Fraser Daly (Edinburgh)
Almost the best of three worlds: risk, consistency and optional stopping for the switch criterion in nested model selection. (English) Zbl 1382.62006
Reflected BSDEs when the obstacle is not right-continuous and optimal stopping. (English) Zbl 1379.60045
On arbitrage and duality under model uncertainty and portfolio constraints. (English) Zbl 1411.91541
Random time with differentiable conditional distribution function. (English. Russian original) Zbl 1375.60083
Theory Probab. Appl. 60, No. 4, 647-669 (2016); translation from Teor. Veroyatn. Primen. 60, No. 4, 740-769 (2015).
Stochastic finance. An introduction in discrete time. 4th revised edition. (English) Zbl 1343.91001
de Gruyter Textbook. Berlin: de Gruyter (ISBN 978-3-11-046344-6/pbk; 978-3-11-046345-3/ebook). xii, 596 p. (2016).
Strong supermartingales and limits of nonnegative martingales. (English) Zbl 1339.60045
Reviewer: Guy Jumarie (Montréal)
Optional sampling theorem for deformed submartingales. (English) Zbl 1326.60055
Theory Probab. Appl. 59, No. 3, 499-507 (2015); translation from Teor. Veroyatn. Primen. 59, No. 3, 585–594 (2015).
Filtration shrinkage, strict local martingales and the Föllmer measure. (English) Zbl 1304.60050
Reviewer: Yuliya S. Mishura (Kyïv)
Generalization of Doob’s optional sampling theorem for deformed submartingales. (English. Russian original) Zbl 1326.60054
Russ. Math. Surv. 68, No. 6, 1139-1141 (2013); translation from Usp. Mat. Nauk 68, No. 6, 175-176 (2013).
Reviewer: Bernhard Burgstaller (Florianópolis)
Generalized Kuhn-Tucker conditions for \(N\)-firm stochastic irreversible investment under limited resources. (English) Zbl 1283.91143
Reviewer: Yuliya S. Mishura (Kyïv)
Martingales in discrete time. Theory and applications. (Martingale in diskreter Zeit. Theorie und Anwendungen.) (German) Zbl 1262.60002
Berlin: Springer Spektrum (ISBN 978-3-642-29960-5/pbk; 978-3-642-29961-2/ebook). xiv, 458 p. (2013).
Reviewer: Heinrich Hering (Rockenberg)
Adaptive and dynamic adaptive procedures for false discovery rate control and estimation. (English) Zbl 1411.62226
The time to ruin in some additive risk models with random premium rates. (English) Zbl 1264.60067
Reviewer: Klaus Schürger (Bonn)
On some universal \(\sigma\)-finite measures related to a remarkable class of submartingales. (English) Zbl 1275.60045
One optional observation inflates \(\alpha\) by \({100/\sqrt{n}}\) per cent. (English) Zbl 1206.62024
Discussion on “Quickest detection problems: fifty years later” by Albert N. Shiryaev. (English) Zbl 1274.62544
On risk model with dividends payments perturbed by a Brownian motion – an algorithmic approach. (English) Zbl 1169.91389
MSC:
91B30
60J65
I-type optional increasing paths. (Chinese. English summary) Zbl 1174.60374
The ruin probability of the compound negative binomial risk model with a completely stochastic premium. (English) Zbl 1145.91358
Gao, Hongwei (ed.) et al., Proceedings of the second international conference on game theory and applications, Qingdao, China, September 17–19, 2007. Liverpool: World Academic Union (World Academic Press) (ISBN 978-1-84626-166-4/hbk). 214-218 (2007).
MSC:
91B30
60G40
The application of martingale in ruin probability of the compound negative binomial risk model. (English) Zbl 1145.91359
Gao, Hongwei (ed.) et al., Proceedings of the second international conference on game theory and applications, Qingdao, China, September 17–19, 2007. Liverpool: World Academic Union (World Academic Press) (ISBN 978-1-84626-166-4/hbk). 209-213 (2007).
MSC:
91B30
60G40
Martingale methods in problems on boundary intersections of Brownian motions. (О мартингальных методах в задачах о пересечении границ броуновским движением.) (Russian) Zbl 1145.60004
Sovremennye Problemy Matematiki 8. Moskva: MatematicheskiĭInstitut im. V. A. Steklova, RAN (ISBN 5-98419-020-6/pbk). 78 p. (2007).
Reviewer: Pavel Gapeev (London)
A note on absorption probabilities in one-dimensional random walk via complex-valued martingales. (English) Zbl 1138.60036
Reviewer: Aleksander Iksanov (Kiev)
The optional sampling theorem for submartingales in the sequentially planned context. (English) Zbl 1114.62078
Non-stopping times and stopping theorems. (English) Zbl 1121.60046
Reviewer: Klaus Schürger (Bonn)
Stop times in Fock space quantum probability. (English) Zbl 1118.81048
Reviewer: Franco Fagnola (Milano)
Bias correction and confidence intervals following sequential tests. (English) Zbl 1268.62095
Sun, Jiayang (ed.) et al., Recent developments in nonparametric inference and probability. Festschrift for Michael Woodroofe. Some papers presented at the ‘Conference on nonparametric inference and probability with applications to science’, Ann Arbor, MI, USA, September 24–25, 2005. Beachwood, OH: IMS, Institute of Mathematical Statistics (ISBN 978-0-940600-66-9/pbk). Institute of Mathematical Statistics Lecture Notes - Monograph Series 50, 44-57 (2006).
Some random times and martingales associated with \(BES_0(\delta)\) processes \((0<\delta<2)\). (English) Zbl 1105.60062
The time to ruin for a class of Markov additive risk process with two-sided jumps. (English) Zbl 1100.60021
Reviewer: Uta Freiberg (Canberra)
On Robins’ formula. (English) Zbl 1074.62033
A stochastic representation theorem with applications to optimization and obstacle problems. (English) Zbl 1058.60022
Reviewer: Stefan Weber (Berlin)
Reduction of dimension for spatial point processes and right continuous martingales. (English) Zbl 1004.60048
Reviewer: V.Oganyan (Erevan)
On hitting times for compound Poisson dams with exponential jumps and linear release rate. (English) Zbl 0994.60092
Reviewer: S.Asmussen (Lund)
Continuous properties of \(g\)-martingales. (English) Zbl 0980.60084
Reviewer: Rainer Buckdahn (Brest)
Properties of optional increasing paths. (Chinese. English summary) Zbl 0956.60036
MSC:
60G40
Basic stochastic processes. A course through exercises. (English) Zbl 0922.60003
Springer Undergraduate Mathematics Series. Berlin: Springer. x, 225 p. (1999).
Reviewer: Yu.S.Mishura (Kyïv)
The integral analogue of the Hardy-Littlewood \(L\log L\)-inequality for Brownian motion. (English) Zbl 0897.60048
Asymptotically pointwise optimal rules of sequential estimation of mean vector when an information matrix has some structure in a multivariate normal population. (English) Zbl 0897.62092
Asymptotically pointwise optimal rules for estimating the mean in general exponential distributions for squared loss. (English) Zbl 0928.62064
Probability theory. Translated from the German by Robert B. Burckel. (English) Zbl 0868.60001
de Gruyter Studies in Mathematics. 23. Berlin: de Gruyter. xv, 523 p. (1996).
Reviewer: M.Schweizer (Berlin)
Optional skipping of martingale differences and related sequences. (English) Zbl 0887.60055
Reviewer: N.Weber (Sydney)
On the general stopping time changes of right processes. (Chinese. English summary) Zbl 0845.60074
MSC:
60J25
Martingales and stochastic analysis. (English) Zbl 0848.60001
Series on Multivariate Analysis. 1. Singapore: World Scientific. xiii, 501 p. (1995).
Reviewer: F.Flandoli (Pisa)
A game with three players. (Swedish. English summary) Zbl 0837.90146
MSC:
91A60
From perpetual strangles to Russian options. (English) Zbl 0822.60042
Reviewer: V.Mackevičius (Vilnius)
Tower problems and martingales. (English) Zbl 0806.60032
Reviewer: M.Boutahar (Marseille)
MSC:
60G42
Some aspects of insurance mathematics. (English. Russian original) Zbl 0803.62092
Theory Probab. Appl. 38, No. 2, 262-295 (1993); translation from Teor. Veroyatn. Primen. 38, No. 2, 374-416 (1993).
MSC:
62P05
91B30
Set-indexed stochastic processes and predictability. (English. Russian original) Zbl 0794.60044
Theory Probab. Appl. 37, No. 1, 61-66 (1992); translation from Teor. Veroyatn. Primen. 37, No. 1, 57-63 (1992).
MSC:
60G48
Set-indexed stochastic processes and predictability. (Russian) Zbl 0754.60047
Reviewer: B.G.Ivanoff (Ottawa)
MSC:
60G48
Optional sampling of submartingales with scanned index sets. (English) Zbl 0759.60050
Reviewer: E.Valkeila (Helsinki)
Probability theory. 4., völlig überarb. u. neugestaltete Aufl. des Werkes: Wahrscheinlichkeitstheorie und Grundzüge der Maßtheorie. (Wahrscheinlichkeitstheorie.) (German) Zbl 0714.60001
De Gruyter Lehrbuch. Berlin etc.: Walter de Gruyter. xvii, 520 S. DM 98.00/hbk; DM 68.00/pbk (1991).
Reviewer: Klaus D. Schmidt (Dresden)
Optional Sampling Theoreme für Submartingale mit partiell geordneten Indexmengen. (Optimal sampling theorems for submartingales with partially ordered index sets). (German) Zbl 0713.60056
Münster: Univ. Münster, FB Mathematik, Diss. 151 S. (1990).
Reviewer: M.Dozzi
Optimal switching between a pair of Brownian motions. (English) Zbl 0712.60046
Reviewer: K.Szajowski
Martingales and random walks. (English) Zbl 0709.60044
Stochastic models, Handb. Oper. Res. Manage. Sci. 2, 125-144 (1990).
Reviewer: Z.Rychlik
Martingales and random walks. (English) Zbl 0708.60038
Stochastic models, Handb. Oper. Res. Manage. Sci. 2, 125-144 (1990).
Reviewer: H.M.Taylor
Optimale sequentiell geplante Entscheidungsverfahren. Teil 1: Theorie. (Optimal sequentially planned decision procedures. Part 1: Theory). Unter Mitwirkung von G. Duscha, M. Harenbrock und J. Lübbert. (German) Zbl 0693.62063
Skripten zur Mathematischen Statistik, 18. Münster: Univ. Münster, Institut für Mathematische Statistik. iv, 179 S. (1989).
Reviewer: V.Mammitzsch
A martingale approach to the investigation of the duration of a mild epidemic. (English) Zbl 0691.92012
BMO-sequences and amarts. (English) Zbl 0685.60052
Reviewer: T.F.Móri
Filter Results by …
Document Type
- Journal Articles (121)
- Collection Articles (11)
- Books (12)
all
top 5
Author
- Grünwald, Peter D. (4)
- Lanchier, Nicolas (4)
- Merzbach, Ely (4)
- Harenbrock, Marion (3)
- Klimsiak, Tomasz (3)
- Larsson, Martin (3)
- Nikeghbali, Ashkan (3)
- Ouknine, Youssef (3)
- Ramdas, Aaditya K. (3)
- Rzymowski, Maurycy (3)
- Bauer, Heinz (2)
- Embrechts, Paul (2)
- Fouque, Jean-Pierre (2)
- Gerber, Hans U. (2)
- Grigorova, Miryana (2)
- Henzi, Alexander (2)
- Hilbert, Astrid (2)
- Ivanoff, B. Gail (2)
- Jacobsen, Martin (2)
- Koolen, Wouter M. (2)
- Li, Hsin-Lun (2)
- Mandelbaum, Avi (2)
- Marzougue, Mohamed (2)
- Millet, Annie (2)
- Nagao, Hisao (2)
- Nazarko, Olga V. (2)
- Niculescu, Stefan P. (2)
- Pavlov, Igor V. (2)
- Peng, Shige (2)
- Peskir, Goran (2)
- Quenez, Marie-Claire (2)
- Ruf, Johannes (2)
- Sandell, Dennis (2)
- Schmitz, Norbert J. (2)
- Shiu, Elias S. W. (2)
- Taylor, Howard M. III (2)
- Woodroofe, Michael Barrett (2)
- Xia, Yafeng (2)
- Yor, Marc (2)
- Zhou, Xiaoxing (2)
- Zhou, Xinquan (2)
- Aïssani, Amar (1)
- Aksamit, Anna (1)
- Al-Hussaini, Ata N. (1)
- Aletti, Giacomo (1)
- Asmussen, Søren (1)
- Bank, Peter (1)
- Barnett, Christopher (1)
- Bayraktar, Erhan (1)
- Berrhazi, Badreddine (1)
- Berry, Donald Arthur (1)
- Bertoin, Jean (1)
- Bilotti-Aliaga, Martha (1)
- Biswas, Suddhendu (1)
- Bouhadou, Siham (1)
- Bouzar, Nadjib (1)
- Bru, Bernard (1)
- Bru, Marie-France (1)
- Brzeźniak, Zdzisław (1)
- Buckdahn, Rainer (1)
- Bùi Khȯ’i Dàm (1)
- Capasso, Vincenzo (1)
- Chang, Zhihua (1)
- Chen, Louis Hsiao-Yun (1)
- Chen, Zengjing (1)
- Chiarolla, Maria B. (1)
- Choulli, Tahir (1)
- Chuang, Chin-Shan (1)
- Clayton, Murray K. (1)
- Czichowsky, Christoph (1)
- Dalang, Robert C. (1)
- Dassios, Angelos (1)
- Dawid, Alexander Philip (1)
- de Heide, Rianne (1)
- del Pilar Ibarrola Munoz, Maria (1)
- Di Bucchianico, Alessandro (1)
- Dimitrijević, Slađana (1)
- Dinculeanu, Nicolae (1)
- Duscha, Günter (1)
- El Fatini, Mohamed (1)
- El Karoui, Nicole (1)
- El Otmani, Mohamed (1)
- Elliott, Robert James (1)
- Engelbert, Hans-Jürgen (1)
- Ethier, Stewart N. (1)
- Falkner, Neil (1)
- Fenoy, M. Mar (1)
- Ferrari, Giorgio (1)
- Fletcher, Samuel Craig (1)
- Föllmer, Hans (1)
- Frostig, Esther (1)
- Galtchouk, Leonid I. (1)
- Gänßler, Peter (1)
- Gasparyan, K. V. (1)
- Getoor, Ronald Kay (1)
- Gilliland, Dennis C. (1)
- Graversen, Svend Erik (1)
- Greenwood, Priscilla E. (1)
- Grey, D. R. (1)
- Groote, Jan Friso (1)
- and 90 more Authors
all
top 5
Serial
- Ann. Probab. (7)
- J. Appl. Probab. (5)
- Stat. Probab. Lett. (5)
- Stochastics (4)
- Ann. Appl. Probab. (4)
- Stochastic Processes Appl. (4)
- Theory Probab. Appl. (3)
- J. Multivariate Anal. (3)
- Sequential Anal. (3)
- Electron. J. Probab. (3)
- ALEA, Lat. Am. J. Probab. Math. Stat. (3)
- Teor. Veroyatn. Primen. (2)
- Bull. Math. Soc. Sci. Math. Répub. Soc. Roum., Nouv. Sér. (2)
- J. Am. Stat. Assoc. (2)
- Z. Wahrscheinlichkeitstheor. Verw. Geb. (2)
- Insur. Math. Econ. (2)
- Probab. Theory Relat. Fields (2)
- J. Theor. Probab. (2)
- C. R. Acad. Sci., Paris, Sér. I (2)
- Stochastics (2)
- Probab. Uncertain. Quant. Risk (2)
- Adv. Appl. Probab. (1)
- Can. J. Stat. (1)
- J. Stat. Phys. (1)
- Lith. Math. J. (1)
- Math. Biosci. (1)
- Math. Proc. Camb. Philos. Soc. (1)
- Metrika (1)
- Russ. Math. Surv. (1)
- Z. Angew. Math. Mech. (1)
- An. Univ. Bucur., Mat. (1)
- Ann. Stat. (1)
- Appl. Math. Optim. (1)
- Biom. J. (1)
- Biometrika (1)
- J. Stat. Plann. Inference (1)
- Math. Japon. (1)
- Math. Nachr. (1)
- Math. Sci. (1)
- Mem. Am. Math. Soc. (1)
- Metron (1)
- Normat (1)
- Proc. Am. Math. Soc. (1)
- SIAM J. Control Optim. (1)
- J. Math., Wuhan Univ. (1)
- Uch. Zap. Erevan. Gos. Univ., Estestv. Nauki (1)
- Chin. Ann. Math., Ser. B (1)
- Acta Math. Hung. (1)
- Stat. Decis. (1)
- Commun. Stat., Stochastic Models (1)
- Stat. Sci. (1)
- Int. J. Approx. Reasoning (1)
- Queueing Syst. (1)
- Ann. Inst. Henri Poincaré, Nouv. Sér., Sect. B (1)
- Commun. Stat., Simulation Comput. (1)
- J. R. Stat. Soc., Ser. B (1)
- Math. USSR, Sb. (1)
- Stochastics Stochastics Rep. (1)
- Chin. Sci. Bull. (1)
- Appl. Math., J. Chin. Univ. (1)
- Random Oper. Stoch. Equ. (1)
- Bull. Sci. Math. (1)
- Stat. Sin. (1)
- Pure Appl. Math. (1)
- Electron. Commun. Probab. (1)
- Bernoulli (1)
- J. Baoji Coll. Arts Sci., Nat. Sci. (1)
- Math. Finance (1)
- Math. Inequal. Appl. (1)
- Infin. Dimens. Anal. Quantum Probab. Relat. Top. (1)
- J. R. Stat. Soc., Ser. B, Stat. Methodol. (1)
- Methodol. Comput. Appl. Probab. (1)
- ASTIN Bull. (1)
- Adv. Stud. Contemp. Math., Kyungshang (1)
- J. Électron. Hist. Probab. Stat. (1)
- CBMS-NSF Reg. Conf. Ser. Appl. Math. (1)
- De Gruyter Stud. Math. (1)
- Skripten Math. Stat. (1)
- Ser. Multivariate Anal. (1)
- Math. Medley (1)
- Eur. J. Philos. Sci. (1)
- Bayesian Anal. (1)
- J. Oper. Res. Soc. China (1)
- Springer Undergrad. Math. Ser. (1)
- De Gruyter Textb. (1)
- RIMS Kokyuroku (1)
- De Gruyter Lehrb. (1)
all
top 5
Year of Publication
- 2024 (5)
- 2023 (5)
- 2022 (7)
- 2021 (6)
- 2020 (3)
- 2019 (2)
- 2018 (2)
- 2017 (3)
- 2016 (3)
- 2015 (2)
- 2014 (1)
- 2013 (3)
- 2012 (3)
- 2011 (2)
- 2010 (1)
- 2008 (3)
- 2007 (7)
- 2006 (2)
- 2005 (1)
- 2004 (3)
- 2002 (2)
- 2001 (2)
- 1999 (2)
- 1998 (1)
- 1997 (3)
- 1996 (4)
- 1995 (4)
- 1994 (2)
- 1993 (1)
- 1992 (6)
- 1991 (2)
- 1990 (4)
- 1989 (4)
- 1988 (4)
- 1987 (2)
- 1986 (4)
- 1985 (3)
- 1984 (3)
- 1983 (4)
- 1982 (5)
- 1981 (8)
- 1980 (5)
- 1979 (3)
- 1978 (2)
Biographic Reference
- Borel, Émile (1)
- de Finetti, Bruno (1)
