Martingale transforms and its application in financial modeling

摘要：

Let 1＜α＜β＜+∞ and 1＜β＜γ＜+∞. Let Vnbe an adapted process of φn, and fnbe a martingale about φn.Vn is multiplier of martingale transform to be of type (exp Lα,Lβ). Let φ(t) be continuous nonnegative strictly increasing convex function defined on 0,+∞,satisfying the Δ2-condition such that there is a constant c1＞1 such that φ-1(t)In(1+t)-1/α is non-increasing in c1,+∞, and φ(t)be continuous nonnegative strictly increasing function defined on 0,+∞, satisfying φ-1(t)In(1+u)δ≤Kψ-1(t) for all t＞c2, where K＞0 and c2＞1 are constants and δ=max1/β-1/α,1/γ, then transform of multiplier Vnis to be type (Lφ,Lφ):‖Tvf‖Lφ≤C‖f‖Lφ,where C is a constant.

关键词： martingale transforms mazimal function Orlicz space financial modeling.

作者: Jin Yanming

作者单位: Science College, China Three Gorges University, Yichang, P.R.China, 443002

会议类型: 国际会议

会议名称: 2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)

会议地点: 烟台

会议语种:英文

页码: 1-5

在线出版日期: 2008-08-14（万方平台首次上网日期，不代表论文的发表时间）