Titlebook: Séminaire de Probabilités XLVI; Catherine Donati-Martin,Antoine Lejay,Alain Rouaul Book 2014 Springer International Publishing Switzerland

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Admissible Trading Strategies Under Transaction Costs,e, we have that the entire process . is non-negative. An analogous result holds true in the no arbitrage theory of mathematical finance: under the assumption of no arbitrage, an admissible portfolio process . + (. ??.) verifying . + (. ??.).?≥?0 also satisfies . + (. ??.).?≥?0,?for all 0?≤?.?≤?..?In

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捕鯨魚叉

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On the Law of a Triplet Associated with the Pseudo-Brownian Bridge,hitting time of the level one, this remarkable law allows us to understand some properties of the process . under uniform random sampling, a study started in (Elie, Rosenbaum, and Yor, On the expectation of normalized Brownian functionals up to first hitting times, Preprint, arXiv:1310.1181, 2013).

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Skew-Product Decomposition of Planar Brownian Motion and Complementability,ted by . up to an arbitrary rotation. We show that given any two different matrices?.. and?.. in?..(.), there exists an .-previsible process . taking values in?{..,?..} such that the Brownian motion?. ??d. generates the whole filtration .. As a consequence, for all?. and?. in?. such that ., the Brow

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Multi-Occupation Field Generates the Borel-Sigma-Field of Loops,Polish under this metric. Our main result is to prove that the Borel-.-field on the space of loops is generated by a class of loop functionals: the multi-occupation field. This result generalizes the result in the discrete case, see (Le?Jan, Markov Paths, Loops and Fields, vol.?2026, Springer, Heide

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Ergodicity, Decisions, and Partial Information,ns ., and a loss .(..,?..) is incurred. In this setting, it is known that one may choose (under a mild integrability assumption) a decision strategy whose pathwise time-average loss is asymptotically smaller than that of any other strategy. The corresponding problem in the case of partial informatio

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