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Q-adapted quantum stochastic integrals and differentials in Fock scale

Viacheslav Belavkin, Matthew Brown (2011)

Banach Center Publications

In this paper we first introduce the Fock-Guichardet formalism for the quantum stochastic (QS) integration, then the four fundamental processes of the dynamics are introduced in the canonical basis as the operator-valued measures, on a space-time σ-field , of the QS integration. Then rigorous analysis of the QS integrals is carried out, and continuity of the QS derivative D is proved. Finally, Q-adapted dynamics is discussed, including Bosonic (Q = I), Fermionic (Q = -I), and monotone (Q = O) quantum...

Quadratic estimation from non-independent uncertain observations with coloured noise.

S. Nakamori, R. Caballero, A. Hermoso, J. Jiménez, J. Linares (2004)

Extracta Mathematicae

Recursive least-squares quadratic filtering and fixed-point smoothing algorithms for signal estimation from uncertain observations are derived when the uncertainty is modeled by not necessarily independent variables and the observations contain white plus coloured noise. The proposed estimators do not require the knowledge of the state-space of the model generating the signal, but only the moments, up to the fourth one, of the processes involved, along with the probability that the signal exists...

Quand est-ce que des bornes de Hardy permettent de calculer une constante de Poincaré exacte sur la droite ?

Laurent Miclo (2008)

Annales de la faculté des sciences de Toulouse Mathématiques

Classically, Hardy’s inequality enables to estimate the spectral gap of a one-dimensional diffusion up to a factor belonging to [ 1 , 4 ] . The goal of this paper is to better understand the latter factor, at least in a symmetric setting. In particular, we will give an asymptotical criterion implying that its value is exactly 4. The underlying argument is based on a semi-explicit functional for the spectral gap, which is monotone in some rearrangement of the data. To find it will resort to some regularity...

Quantile hedging on markets with proportional transaction costs

Michał Baran (2003)

Applicationes Mathematicae

The problem of risk measures in a discrete-time market model with transaction costs is studied. Strategy effectiveness and shortfall risk are introduced. This gives a generalization of quantile hedging presented in [4].

Quantile of a Mixture with Application to Model Risk Assessment

Carole Bernard, Steven Vanduffel (2015)

Dependence Modeling

We provide an explicit expression for the quantile of a mixture of two random variables. The result is useful for finding bounds on the Value-at-Risk of risky portfolios when only partial dependence information is available. This paper complements the work of [4].

Quantitative recurrence in two-dimensional extended processes

Françoise Pène, Benoît Saussol (2009)

Annales de l'I.H.P. Probabilités et statistiques

Under some mild condition, a random walk in the plane is recurrent. In particular each trajectory is dense, and a natural question is how much time one needs to approach a given small neighbourhood of the origin. We address this question in the case of some extended dynamical systems similar to planar random walks, including ℤ2-extension of mixing subshifts of finite type. We define a pointwise recurrence rate and relate it to the dimension of the process, and establish a result of convergence in...

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