اشترك بالحزمة الذهبية واحصل على وصول غير محدود شمرا أكاديميا
تسجيل مستخدم جديدPacking Dimension Profiles and Levy Processes
98
0
0.0
(
0
)
اسأل ChatGPT حول البحث
ﻻ يوجد ملخص باللغة العربية
We extend the concept of packing dimension profiles, due to Falconer and Howroyd (1997) and Howroyd (2001), and use our extension in order to determine the packing dimension of an arbitrary image of a general Levy process.
قيم البحث
اقرأ أيضاً
We investigate the algebra of repeated integrals of semimartingales. We prove that a minimal family of semimartingales generates a quasi-shuffle algebra. In essence, to fulfill the minimality criterion, first, the family must be a minimal generator o
f the algebra of repeated integrals generated by its elements and by quadratic covariation processes recursively constructed from the elements of the family. Second, recursively constructed quadratic covariation processes may lie in the linear span of previously constructed ones and of the family, but may not lie in the linear span of repeated integrals of these. We prove that a finite family of independent Levy processes that have finite moments generates a minimal family. Key to the proof are the Teugels martingales and a strong orthogonalization of them. We conclude that a finite family of independent Levy processes form a quasi-shuffle algebra. We discuss important potential applications to constructing efficient numerical methods for the strong approximation of stochastic differential equations driven by Levy processes.
We give equivalent conditions for the existence of generalized moments of a Levy process $(X_t)_{tgeq 0}$. We show, in particular, that the existence of a generalized $g$-moment is equivalent to uniform integrability of $(g(X_t))_{tin [0,1]}$. As an
application, it turns out that certain functions of a Levy process which are integrable and local martingales are already true martingales.
We revisit the classical singular control problem of minimizing running and controlling costs. The problem arises in inventory control, as well as in healthcare management and mathematical finance. Existing studies have shown the optimality of a barr
ier strategy when driven by the Brownian motion or Levy processes with one-side jumps. Under the assumption that the running cost function is convex, we show the optimality of a barrier strategy for a general class of Levy processes. Numerical results are also given.
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 indep
endent 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.
We consider stochastic UL and LU block factorizations of the one-step transition probability matrix for a discrete-time quasi-birth-and-death process, namely a stochastic block tridiagonal matrix. The simpler case of random walks with only nearest ne
ighbors transitions gives a unique LU factorization and a one-parameter family of factorizations in the UL case. The block structure considered here yields many more possible factorizations resulting in a much enlarged class of potential applications. By reversing the order of the factors (also known as a Darboux transformation) we get new families of quasi-birth-and-death processes where it is possible to identify the matrix-valued spectral measures in terms of a Geronimus (UL) or a Christoffel (LU) transformation of the original one. We apply our results to one example going with matrix-valued Jacobi polynomials arising in group representation theory. We also give urn models for some particular cases.
سجل دخول لتتمكن من نشر تعليقات
التعليقات
جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
