Large deviation probabilities in terms of majorizing measures
Анотація
We consider stochastic processes from the Orlicz space of random variables. Conditions of boundedness as well as estimates of the distribution of the supremum of these processes are obtained. Stochastic processes from the Orlicz spaces generated by Orlicz N -functions from spaces Δ 2 and Δ 2 are investigated in more details.
Класифікація
Ідентифікатори
Рецензії (0)
Написати рецензіюРецензій ще немає. Будьте першим!
Схожі роботи
ON MEAN–VARIANCE HEDGING UNDER PARTIAL OBSERVATIONS AND TERMINAL WEALTH CONSTRAINTS
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Risk and Portfolio Optimization
Empirical Analysis of Estimates of Realized Volatility in Financial Risk Control Problems
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Risk and Portfolio Optimization
Constructing a Mean-Variance Optimal Hedge under a Limited Investment Capital
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Risk and Portfolio Optimization
On differentiability with respect to the initial data of the solution to an SDE with a Lévy noise and discontinuous coefficients
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Risk and Portfolio Optimization
Convergence of the maximum probability of success in the problem of quantile hedging for a model of an asset price process with long-range dependence
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Risk and Portfolio Optimization
Distance between the fractional Brownian motion and the space of adapted Gaussian martingales
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Risk and Portfolio Optimization