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In this paper, we will continue to study a mathematical tool which can be used on a financial market by a “small” investor who possesses some information on the price process. We extend here the results given for hedging strategies under a fixed terminal time to the case of a random terminal...
Let ( B s ) s≥t be Brownian motion, t be the starting moment, B t = x , EB s = x , DB s = s – t . Let T ≥ t be a fixed time-horizon, and lower( s ), upper( s ) be two smooth real functions, defined for s ∈ t ; T , such that lower( s ) < upper( s ) for all s ∈ t ; T ), lower( t ) ≤ x...
We consider an alloy type potential on an infinite metric graph. We assume a covering condition on the single site potentials. For random Schrödingers operator associated with the alloy type potential restricted to finite volume subgraphs we prove a Wegner estimate which reproduces the modulus...
We consider some classes of pre-Gaussian random processes. We obtain several theorems on estimation of distribution of the supremum of these processes both on pseudometric space ( T , ρ ) and on ℝ.
Consider a linear stochastic differential equation With time delay driven by a fractional Brownian motion . We investigate the asymptotic properties of the maximum likelihood estimator of the parameter θ = ( a, b ).
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