Related papers: Structure of infinitely divisible semimartingales
We study a well-known estimator of the fractal index of a stochastic process. Our framework is very general and encompasses many models of interest; we show how to extend the theory of the estimator to a large class of non-Gaussian…
Purpose: To develop the algebraic foundation of finite commutative ternary $\Gamma$-semirings by identifying their intrinsic invariants, lattice organization, and radical behavior that generalize classical semiring and $\Gamma$-ring…
We give a collection of explicit sufficient conditions for the true martingale property of a wide class of exponentials of semimartingales. We express the conditions in terms of semimartingale characteristics. This turns out to be very…
We study the existence of densities for distributions of piecewise deterministic Markov processes. We also obtain relationships between invariant densities of the continuous time process and that of the process observed at jump times. In…
We present new properties for the Fractional Poisson process and the Fractional Poisson field on the plane. A martingale characterization for Fractional Poisson processes is given. We extend this result to Fractional Poisson fields,…
This paper studies new classes of infinitely divisible distributions on R^d. Firstly, the connecting classes with a continuous parameter between the Jurek class and the class of selfdecomposable distributions are revisited. Secondly, the…
We consider the infinite divisibility of distributions of some well-known inverse subordinators. Using a tail probability bound, we establish that distributions of many of the inverse subordinators used in the literature are not infinitely…
In this paper we consider two semimartingales driven by diffusions and jumps. We allow both for finite activity and for infinite activity jump components. Given discrete observations we disentangle the {\it integrated covariation} (the…
An estimation method is proposed for a wide variety of discrete time stochastic processes that have an intractable likelihood function but are otherwise conveniently specified by an integral transform such as the characteristic function,…
In the paper we present results to develop an irreducible theory of complex systems in terms of self-organization processes of prime integer relations. Based on the integers and controlled by arithmetic only the self-organization processes…
This paper studies an equity market of stochastic dimension, where the number of assets fluctuates over time. In such a market, we develop the fundamental theorem of asset pricing, which provides the equivalence of the following statements:…
A `whole-part' theory is developed for a set of finite quantum systems $\Sigma (n)$ with variables in ${\mathbb Z}(n)$. The partial order `subsystem' is defined, by embedding various attributes of the system $\Sigma (m)$ (quantum states,…
We give a complete list of indecomposable characters of the infinite symmetric semigroup. In comparison with the analogous list for the infinite symmetric group, one should introduce only one new parameter, which has a clear combinatorial…
The objective of this paper is to establish the decomposition theorem for supermartingales under the $G$-framework. We first introduce a $g$-nonlinear expectation via a kind of $G$-BSDE and the associated supermartingales. We have shown…
We establish a sample path generation scheme in a unified manner for general multivariate infinitely divisible processes based on shot noise representation of their integrators. The approximation is derived from the decomposition of the…
Advances in information technology have led to extremely large datasets that are often kept in different storage centers. Existing statistical methods must be adapted to overcome the resulting computational obstacles while retaining…
Comparison results for Markov processes w.r.t. function class induced (integral) stochastic orders have a long history. The most general results so far for this problem have been obtained based on the theory of evolution systems on Banach…
A general diffusion semimartingale is a one-dimensional path-continuous semimartingale that is also a regular strong Markov process. We say that a continuous semimartingale has the representation property if all local martingales w.r.t. its…
Integer partitions have fascinated people for centuries, from Ramanujan's groundbreaking congruences to the modern theory of modular forms. This paper investigates the statistical properties of odd unimodal sequences--a natural refinement…
We define a class of random measures, spatially independent martingales, which we view as a natural generalisation of the canonical random discrete set, and which includes as special cases many variants of fractal percolation and Poissonian…