Related papers: Comparison of path-dependent functionals of semima…
This thesis develops a mathematical framework for the analysis of continuous-time trading strategies which, in contrast to the classical setting of continuous-time finance, does not rely on stochastic integrals or other probabilistic…
The semimartingale stochastic approximation procedure, namely, the Robbins-Monro type SDE is introduced which naturally includes both generalized stochastic approximation algorithms with martingale noises and recursive parameter estimation…
Classical Schur analysis is intimately connected to the theory of orthogonal polynomials on the circle [Simon, 2005]. We investigate here the connection between multipoint Schur analysis and orthogonal rational functions. Specifically, we…
When predicting scalar responses in the situation where the explanatory variables are functions, it is sometimes the case that some functional variables are related to responses linearly while other variables have more complicated…
The Macdonald symmetric functions are used to define measures on the set of all partitions of all integers. Probabilistic algorithms are given for growing partitions according to these measures. The case of Hall-Littlewood polynomials is…
The map-matching is an essential preprocessing step for most of the trajectory-based applications. Although it has been an active topic for more than two decades and, driven by the emerging applications, is still under development. There is…
Uncertainty associated with statistical problems arises due to what has not been seen as opposed to what has been seen. Using probability to quantify the uncertainty the task is to construct a probability model for what has not been seen…
We derive a forward partial integro-differential equation for prices of call options in a model where the dynamics of the underlying asset under the pricing measure is described by a -possibly discontinuous- semimartingale. A uniqueness…
In this paper, we study the asymptotic behavior of sums of functions of the increments of a given semimartingale, taken along a regular grid whose mesh goes to 0. The function of the $i$th increment may depend on the current time, and also…
Functional data analysis is becoming increasingly popular to study data from real-valued random functions. Nevertheless, there is a lack of multiple testing procedures for such data. These are particularly important in factorial designs to…
In this paper we present a nonparametric method for extending functional regression methodology to the situation where more than one functional covariate is used to predict a functional response. Borrowing the idea from Kadri et al.…
In this paper, we develop necessary and sufficient conditions for the validity of a martingale approximation for the partial sums of a stationary process in terms of the maximum of consecutive errors. Such an approximation is useful for…
The approximation of integral type functionals is studied for discrete observations of a continuous It\^o semimartingale. Based on novel approximations in the Fourier domain, central limit theorems are proved for $L^2$-Sobolev functions…
We give an infinitesimal meaning to the symbol $dX_t$ for a continuous semimartingale $X$ at an instant in time $t$. We define a vector space structure on the space of differentials at time $t$ and deduce key properties consistent with the…
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 extend path analysis by giving sufficient conditions for computing the partial covariance of two random variables from their covariance. This is specifically done by correcting the covariance with the product of some partial variance…
We study the functional calculus for operators of the form $f_h(P(h))$ within the theory of semiclassical pseudodifferential operators, where $\{f_h\}_{h\in (0,1]}\subset C^\infty_c(\mathbb{R})$ denotes a family of $h$-dependent functions…
By using limit theorems of uniform mixing Markov processes and martingale difference sequences, the strong law of large numbers, central limit theorem, and the law of iterated logarithm are established for additive functionals of…
The article is devoted to comparative analysis of the efficiency of application of Legendre polynomials and trigonometric functions to the numerical integration of Ito stochastic differential equations in the framework of the method of…
In this study, the orthogonalization process for different inner products is applied to pairwise comparisons. Properties of consistent approximations of a given inconsistent pairwise comparisons matrix are examined. A method of a derivation…