Application of the Hellinger integrals to q-variate stationary stochastic processes

As in the Heston model, we want to use our algorithm as a way of option pricing when the stochastic volatility evolves under its stationary regime and test it on Asian options using

Using a criterion of Kolmogorov, we show that it suffices, for a stationary stochastic process to be linearly rigid, that the spectral density vanish at zero and belong to the

Frobenius reciprocity law enables us to reduce the problem into the two followings: first, we decompose an irreducible G-module (as a K-module by restriction) into

Also, we show a lower bound for the minimax risk of estimation of π(x 0 , y 0 ) on a class of hypo-elliptic diffusion models with stationary measure of H¨ older regularity...

Under assumption (H0).. The proof of Theorem 5.2 is similar to the proof of Theorem 4.1 and consists in a coupling argument together with a control of the initial clusters in Π

The work of Ford, Kac and Mazur [1] suggests the existence of a quantum- mechanical analogue of the Ornstein-Uhlenbeck stochastic process [2]... If in addition

with respect to a non-negative operator-valued measure and the Kolmogorov isomorphism theorem. MASANI, Sur la fonction génératrice d’un processus stochastique

the distribution of the supremum for compound recurrent processes and for stochastic processes with stationary independent increments.. The paper also contains some