Do you want to publish a course? Click here

Algebraic polynomials and moments of stochastic integrals

107   0   0.0 ( 0 )
 Added by Mikhail Langovoy
 Publication date 2011
  fields
and research's language is English




Ask ChatGPT about the research

We propose an algebraic method for proving estimates on moments of stochastic integrals. The method uses qualitative properties of roots of algebraic polynomials from certain general classes. As an application, we give a new proof of a variation of the Burkholder-Davis-Gundy inequality for the case of stochastic integrals with respect to real locally square integrable martingales. Further possible applications and extensions of the method are outlined.



rate research

Read More

109 - B. Winn 2011
We calculate joint moments of the characteristic polynomial of a random unitary matrix from the circular unitary ensemble and its derivative in the case that the power in the moments is an odd positive integer. The calculations are carried out for finite matrix size and in the limit as the size of the matrices goes to infinity. The latter asymptotic calculation allows us to prove a long-standing conjecture from random matrix theory.
We construct an efficient integrator for stochastic differential systems driven by Levy processes. An efficient integrator is a strong approximation that is more accurate than the corresponding stochastic Taylor approximation, to all orders and independent of the governing vector fields. This holds provided the driving processes possess moments of all orders and the vector fields are sufficiently smooth. Moreover the efficient integrator in question is optimal within a broad class of perturbations for half-integer global root mean-square orders of convergence. We obtain these results using the quasi-shuffle algebra of multiple iterated integrals of independent Levy processes.
137 - Daniel Barlet 2021
We explain that in the study of the asymptotic expansion at the origin of a period integral like $gamma$z $omega$/df or of a hermitian period like f =s $rho$.$omega$/df $land$ $omega$ /df the computation of the Bernstein polynomial of the fresco (filtered differential equation) associated to the pair of germs (f, $omega$) gives a better control than the computation of the Bernstein polynomial of the full Brieskorn module of the germ of f at the origin. Moreover, it is easier to compute as it has a better functoriality and smaller degree. We illustrate this in the case where f $in$ C[x 0 ,. .. , x n ] has n + 2 monomials and is not quasi-homogeneous, by giving an explicite simple algorithm to produce a multiple of the Bernstein polynomial when $omega$ is a monomial holomorphic volume form. Several concrete examples are given.
128 - Ira M. Gessel , Jiang Zeng 2021
Starting from the moment sequences of classical orthogonal polynomials we derive the orthogonality purely algebraically. We consider also the moments of ($q=1$) classical orthogonal polynomials, and study those cases in which the exponential generating function has a nice form. In the opposite direction, we show that the generalized Dumont-Foata polynomials with six parameters are the moments of rescaled continuous dual Hahn polynomials.
144 - Jianquan Ge , Zizhou Tang 2018
The Hilberts 17th problem asks that whether every nonnegative polynomial can be a sum of squares of rational functions. It has been answered affirmatively by Artin. However, as to the question whether a given nonnegative polynomial is a sum of squares of polynomials is still a central question in real algebraic geometry. In this paper, we solve this question completely for the nonnegative polynomials associated with isoparametric polynomials (initiated by E. Cartan) which define the focal submanifolds of the corresponding isoparametric hypersurfaces.
comments
Fetching comments Fetching comments
Sign in to be able to follow your search criteria
mircosoft-partner

هل ترغب بارسال اشعارات عن اخر التحديثات في شمرا-اكاديميا