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On Extreme Value Processes and the Functional D-Norm
Extreme value process functional D-norm functional domain of at-traction copula process generalized Pareto process Takahashi’s Theorem
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2011/9/21
Abstract: We introduce a functional domain of attraction approach for stochastic processes, which is more general than the usual one based on weak convergence. The distribution function G of a continu...
Some Norm Estimates for Semimartingales--- Under Linear and Nonlinear Expectations
Martingale semimartingale quasimartingale G-expectation G-martingale G-semimartingale Doob-Meyer decompostition
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2011/9/15
Abstract: In this paper we introduce two types of norms for semimartingales, under both linear and nonlinear expectations. The first norm is motivated by quasimartingales, and characterizes square int...
Sharp Norm Inequality for Bounded Submartingales and Stochastic Integrals
Martingale Submartingale Stochastic integral Norm inequality Differential subordination
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2010/1/22
Let be a fixed number and be a nonnegative submartingale bounded from above by . Assume is a process satisfying, with probability , We provide a sharp bound for the first moment of the proc...