相关论文: Realized cumulants for martingales

We propose a summary measure defined as the expected value of a random variable over disjoint subsets of its support that are specified by a given grid of proportions, and consider its use in a regression modeling framework. The obtained…

We present a multidimensional extension of Kellerer's theorem on the existence of mimicking Markov martingales for peacocks, a term derived from the French for stochastic processes increasing in convex order. For a continuous-time peacock…

Summation of a large class of the functional series, which terms contain factorials, is considered. We first investigated finite partial sums for integer arguments. These sums have the same values in real and all p-adic cases. The…

For a semimartingale with jumps, we propose a new estimation method for integrated volatility, i.e., the quadratic variation of the continuous martingale part, based on the global jump filter proposed by Inatsugu and Yoshida [8]. To decide…

By a [$K$-]approximate subring of a ring we mean an additively symmetric subset $X$ such that $X \cdot X \cup (X + X)$ is covered by finitely many [resp.\ $K$] additive translates of $X$. We prove a structure theorem for finite approximate…

We review the results having the property of maximal transcendentality.

The properties of continued fractions whose partial quotients belong to a quadratic number field K are distinct from those of classical continued fractions. Unlike classical continued fractions, it is currently impossible to identify…

A complete characterization of the possible joint distributions of the maximum and terminal value of uniformly integrable martingale has been known for some time, and the aim of this paper is to establish a similar characterization for…

Motivated by the $(q,\gamma)$-cumulants, introduced by Xu [arXiv:2303.13812] to study $\beta$-deformed singular values of random matrices, we define the $(n,d)$-rectangular cumulants for polynomials of degree $d$ and prove several…

We consider a class of generalized binomials emerging in fractional calculus. After establishing some general properties, we focus on a particular yet relevant case, for which we provide several ready-for-use combinatorial identities,…

In this paper we analyze judgement aggregation problems in which a group of agents independently votes on a set of complex propositions that has some interdependency constraint between them(e.g., transitivity when describing preferences).…

Under the formalism of annealed averaging of the partition function, a type of random multifractal measures with their multipliers satisfying exponentially distributed is investigated in detail. Branching emerges in the curve of generalized…

A detailed understanding of all effects and influences on higher-order correlations is essential. At low charged multiplicity, the effect of a nonpoissonian multiplicity distribution can significantly distort correlations. Evidently, the…

We provide an unifying polynomial expression giving moments in terms of cumulants, and viceversa, holding in the classical, boolean and free setting. This is done by using a symbolic treatment of Abel polynomials. As a by-product, we show…

We examine convergence properties of reconstructing the generalized parton distributions (GPDs) through the universal moment parameterization (GUMP). We provide a heuristic explanation for the connection between the formal…

The objective of this paper is, in the main, twofold: Firstly, to develop an algebraic setting for dealing with Bell polynomials and related extensions. Secondly, based on the author's previous work on multivariate Stirling polynomials…

We prove that almost every finite collection of matrices in $GL_d(\mathbb{R})$ and $SL_d(\mathbb{R})$ with positive entries is Diophantine. Next we restrict ourselves to the case $d=2$. A finite set of $SL_2(\mathbb{R})$ matrices induces a…

The aim of this paper is to give a precise asymptotic description of some eigenvalue statistics stemming from random matrix theory. More precisely, we consider random determinants of the GUE, Laguerre, Uniform Gram and Jacobi beta ensembles…

A main difficulty in actuarial claim size modeling is that there is no simple off-the-shelf distribution that simultaneously provides a good distributional model for the main body and the tail of the data. In particular, covariates may have…

Many deep, mysterious connections have been observed between collections of mutually unbiased bases (MUBs) and combinatorial designs called $k$-nets (and in particular, between complete collections of MUBs and finite affine - or…