相关论文: Realized cumulants for martingales

We study the structure of the asymptotic expansion of the probability that a combinatorial object is connected. We show that the coefficients appearing in those asymptotics are integers and can be interpreted as the counting sequences of…

The Kullback-Leibler cluster entropy $\mathcal{D_{C}}[P \| Q] $ is evaluated for the empirical and model probability distributions $P$ and $Q$ of the clusters formed in the realized volatility time series of five assets (SP\&500, NASDAQ,…

The q-semicircular distribution is a probability law that interpolates between the Gaussian law and the semicircular law. There is a combinatorial interpretation of its moments in terms of matchings where q follows the number of crossings,…

In multi-state life insurance, an adequate balance between analytic tractability, computational efficiency, and statistical flexibility is of great importance. This might explain the popularity of Markov chain modelling, where matrix…

The copulas of random vectors with standard uniform univariate margins truncated from the right are considered and a general formula for such right-truncated conditional copulas is derived. This formula is analytical for copulas that can be…

A new concept of (asymptotic) qualitative robustness for plug-in estimators based on identically distributed possibly dependent observations is introduced, and it is shown that Hampel's theorem for general metrics $d$ still holds. Since…

We investigate the unconditional basis property of martingale differences in weighted $L^2$ spaces in the non-homogeneous situation (i.e. when the reference measure is not doubling). Specifically, we prove that finiteness of the quantity…

The characteristic polynomial of the effective Hamiltonian for a general model has been discussed. It is found that, compared with the associated energy eigenvalues, this characteristic polynomial generally has better analytical properties…

Motivated by recent work of George Andrews and Mircea Merca on the expansion of the quotient of the truncation of Euler's pentagonal number series by the complete series, we provide similar expansion results for averages involving…

This paper brings the main definitions and results from "The Ramanujan Property for Simplicial Complexes" [arXiv:1605.02664]. No proofs are given. Given a simplicial complex $\mathcal{X}$ and a group $G$ acting on $\mathcal{X}$, we define…

We construct cumulants up to a finite order of a tensor field theory perturbed by a quartic term, nicknamed the $T_3^4$ model. The method we use is the multi-scale loop vertex expansion. We prove analyticity and Borel summability of the…

As an alternative to the well-known methods of "chaining" and "bracketing" that have been developed in the study of random fields, a new method, which is based on a stochastic maximal inequality derived by using the Taylor expansion, is…

We introduce $R$-diagonal and even operators of second order. We give a formula for the second order free cumulants of the square $x^2$ of a second order even element in terms of the second order free cumulants of $x$. Similar formulas are…

We obtain a lifting property for finite quotients of algebraic groups, and applications to the structure of these groups.

We work in the setting of the progressive enlargement $\mathbb G$ of a reference filtration $\mathbb F$ through the observation of a random time $\tau$. We study an integral representation property for some classes of $\mathbb…

We combine infinite-dimensional integration by parts procedures with a recursive relation on moments (reminiscent of a formula by Barbour (1986)), and deduce explicit expressions for cumulants of functionals of a general Gaussian field.…

We study systematically groups whose marked finite quotients form a recursive set. We give several definitions, and prove basic properties of this class of groups, and in particular emphasize the link between the growth of the depth…

We develop a new framework to compute the exact correlators of characteristic polynomials, and their inverses, in random matrix theory. Our results hold for general potentials and incorporate the effects of an external source. In matrix…

In this paper, we study dependence uncertainty and the resulting effects on tail risk measures, which play a fundamental role in modern risk management. We introduce the notion of a regular dependence measure, defined on multi-marginal…

We develop a numerical method for the martingale analogue of the Benamou--Brenier optimal transport problem, which seeks a martingale interpolating two prescribed marginals which is closest to the Brownian motion. Recent contributions have…