相关论文: Realized cumulants for martingales

In this paper we study Appell polynomials by connecting them to random variables. This probabilistic approach yields, e.g., the mean value property which is fundamental in the sense that many other properties can be derived from it. We also…

The aim of this paper is to further study some properties and identities on the degenerate Fubini and the degenerate Bell polynomials which are degenerate versions of the Fubini and the Bell polynomials, respectively. Especially, we find…

We show that, under certain smoothness conditions, a Brownian martingale at a fixed time can be represented as an exponential of its value at a later time. The time-dependent generator of this exponential operator is equal to one half times…

We investigate the supports of extremal martingale measures with pre-specified marginals in a two-period setting. First, we establish in full generality the equivalence between the extremality of a given measure $Q$ and the denseness in…

New proofs are given of the existence of the compensator (or dual predictable projection) of a locally integrable c\'adl\'ag adapted process of finite variation and of the existence of the quadratic variation process for a c\'adl\'ag local…

An alternative parametric description for discrete random variables, called muculants, is proposed. In contrast to cumulants, muculants are based on the Fourier series expansion, rather than on the Taylor series expansion, of the logarithm…

If a given aggregate process $S$ is a compound mixed Poisson process under a probability measure $P$, a characterization of all probability measures $Q$ on the domain of $P$, such that $P$ and $Q$ are progressively equivalent and $S$…

We develop techniques of mimicking the Frobenius action in the study of universal homeomorphisms in mixed characteristic. As a consequence, we show a mixed characteristic Keel's base point free theorem obtaining applications towards the…

In a preceding article, we have studied a generalization of the problem of finding a martingale on a manifold whose terminal value is known. This article completes the results obtained in the first article by providing uniqueness and…

Let I be a conjugation-invariant ideal in the complex polynomial ring with variables z_1,...,z_n and their conjugates. The ideal I has the Quillen property if every real valued, strictly positive polynomial on the real zero set of I in C^n…

We are interested in the existence of equivalent martingale measures and the detection of arbitrage opportunities in markets where several multi-asset derivatives are traded simultaneously. More specifically, we consider a financial market…

This paper develops new combinatorial approaches to analyze and compute special set partitions, called complementary set partitions, which are fundamental in the study of generalized cumulants. Moving away from traditional graph-based and…

Positive $T$-martingales were developed as a general framework that extends the positive measure-valued martingales and are meant to model intermittent turbulence. We extend their scope by allowing the martingale to take complex values. We…

Consider $\mathbb{G}$ the progressive enlargement of a filtration $\mathbb{F}$ with a random time $\tau$. Assuming that, in $\mathbb{F}$, the martingale representation property holds, we examine conditions under which the martingale…

The study of combinatorial properties of mathematical objects is a very important research field and continued fractions have been deeply studied in this sense. However, multidimensional continued fractions, which are a generalization…

Given two polynomials $p(x), q(x)$ of degree $d$, we give a combinatorial formula for the finite free cumulants of $p(x)\boxtimes_d q(x)$. We show that this formula admits a topological expansion in terms of non-crossing multi-annular…

The foremost aim of this study is to introduce and study several combinatorial properties and highlight specific aspects of a new class of polynomials sequences known as degenerate Krawtchouk Appell polynomials associated with the…

We use the properties of Hermite and Kamp\'e de F\'eriet polynomials to get closed forms for the repeated derivatives of functions whose argument is a quadratic or higher-order polynomial. The results we obtain are extended to product of…

We show that degrees containing a complete extensions of arithmetic have the random join property: they are the supremum of any random real they compute, with another random real. The same is true for the truth-table and weak truth-table…

A formula expressing free cumulants in terms of the Jacobi parameters of the corresponding orthogonal polynomials is derived. It combines Flajolet's theory of continued fractions and Lagrange inversion. For the converse we discuss…