相关论文: On progressive filtration expansion with a process

We consider the problem of maximising expected utility from terminal wealth in a semimartingale setting, where the semimartingale is written as a sum of a time-changed Brownian motion and a finite variation process. To solve this problem,…

We investigate light propagation through materials with periodically modulated gain/loss profile in both transverse and longitudinal directions, i.e. in material with two-dimensional modulation in space. We predict effects of…

In stochastic analysis, the flow of information through time is typically modelled using a filtration. We introduce some of the basic ideas involving enlargements of filtration. Here, we focus mainly on initial enlargements, where a given…

We consider inhomogeneous branching diffusions on an infinite domain of $\mathbb{R}^d$. The first aim of this article is to derive a general criterium under which the size process (number of particles) and the genealogy of the particle…

Based on the similarity of paraxial diffraction and dispersion mathematical descriptions, the temporal imaging of optical pulses combines linear dispersive filters and quadratic phase modulations operating as time lenses. We consider…

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…

A new sampling methodology based on incomplete cosine expansion series is presented as an alternative to the traditional sinc function approach. Numerical integration shows that this methodology is efficient and practical. Applying the…

This paper examines the impact of approximation steps that become necessary when particle filters are implemented on resource-constrained platforms. We consider particle filters that perform intermittent approximation, either by subsampling…

We develop a fully Bayesian hierarchical model for trend filtering, itself a new development in nonparametric, univariate regression. The framework more broadly applies to the generalized lasso, but focus is on Bayesian trend filtering. We…

We study diffusion processes driven by a Brownian motion with regular drift in a finite dimension setting. The drift has two components on different time scales, a fast conservative component and a slow dissipative component. Using the…

Many real-life signals are defined on spherical domains, in particular in geophysics and physics applications. In this work, we tackle the problem of extending the iterative filtering algorithm, developed for the decomposition of…

Reflection, propagation and energy analysis are crucially important in designing structures, especially plates. A thick plate is considered based on first order shear deformation theory. Wave Propagation Method (WPM) is employed to exactly…

Stricker's theorem states that a Gaussian process is a semimartingale in its natural filtration if and only if it is the sum of an independent increment Gaussian process and a Gaussian process of finite variation, see [1983, Z. Wahrsch.…

Consider a filtering process associated to a hidden Markov model with densities for which both the state space and the observation space are complete, separable, metric spaces. If the underlying, hidden Markov chain is strongly ergodic and…

We consider triangular arrays of Markov chains that converge weakly to a diffusion process. Second order Edgeworth type expansions for transition densities are proved. The paper differs from recent results in two respects. We allow…

Lagrangian averaging is a valuable tool for the analysis and modelling of multiscale processes in fluid dynamics. The numerical computation of Lagrangian (time) averages from simulation data is challenging, however. It can be carried out by…

This paper provides a new version of the condition of Di Nunno et al. (2003), Ankirchner and Imkeller (2005) and Biagini and \{O}ksendal (2005) ensuring the semimartingale property for a large class of continuous stochastic processes.…

We give a substitute to Feller property for semigroups of time-changed processes; under some conditions this leads to establish sufficient (new) conditions for the semigroups to be Feller. Moreover, given a standard process and a sequence…

The martingale expansion provides a refined approximation to the marginal distributions of martingales beyond the normal approximation implied by the martingale central limit theorem. We develop a martingale expansion framework specifically…

The contour of a family of filters along a filter is a set-theoretic lower limit. Topologicity and regularity of convergences can be characterized with the aid of the contour operation. Contour inversion is studied, in particular, for…