In this article the authors introduce the minimal operator on martingale spaces, discuss some one-weight and two-weight inequalities for the minimal operator and characterize the conditions which make the inequalities...In this article the authors introduce the minimal operator on martingale spaces, discuss some one-weight and two-weight inequalities for the minimal operator and characterize the conditions which make the inequalities hold.展开更多
In martingale setting, it has been shown thatA p weights can be factorized in terms ofA 1 weights. This factorization benefits many problems very much. In this paper, the new class of RH∞ plays the same role for RH s...In martingale setting, it has been shown thatA p weights can be factorized in terms ofA 1 weights. This factorization benefits many problems very much. In this paper, the new class of RH∞ plays the same role for RH s , which makes the reverse H?lder inequalities hold with exponents>1, that the classA 1 does forA p class. Therefore, the Jones' factorization theorem forA p weights was extended to include some information about the reverse H?lder classes. And it is the most convenient object in weight theory indeed. Key words martingale space - minimal function - weight inequality - reverse H?lder class CLC number O 221. 4 Foundation item: Supported by the National Natural Science Foundation of China (19771063)Biography: Zuo Hong-liang (1976-), male, Ph. D candidate, research direction: martingale theory.展开更多
The Moore-Penrose inverse is an important tool in algebra.This paper shows that the MoorePenrose inverse is also an effcient technique in determining the minimal martingale measure if a security price follows a semi-m...The Moore-Penrose inverse is an important tool in algebra.This paper shows that the MoorePenrose inverse is also an effcient technique in determining the minimal martingale measure if a security price follows a semi-martingale which satisfies some structure condition.We extend a result of Dzhaparidze and Spreij concerning the Moore-Penrose inverse to the case that the Moore-Penrose inverse of any matrix-valued predictable process is still predictable.Furthermore,we obtain an explicit formula of the minimal martingale measure by employing the Moore-Penrose inverse.Specifically,the minimal martingale measure in a generalized Black-Scholes model is found.展开更多
In this note, we give a characterization of the minimal martingale measure for a general discrete-time incomplete financial market. Then we concretely work out the minimal martingale measure for a specific discrete-ti...In this note, we give a characterization of the minimal martingale measure for a general discrete-time incomplete financial market. Then we concretely work out the minimal martingale measure for a specific discrete-time market model in which the assets' returns in different times are independent.展开更多
基金This work was supported by the NSF of China and the aid financial plan for the backbone of the young teachers of University of Henan
文摘In this article the authors introduce the minimal operator on martingale spaces, discuss some one-weight and two-weight inequalities for the minimal operator and characterize the conditions which make the inequalities hold.
基金Supported by the National Natural Science Foundation of China(19771063)
文摘In martingale setting, it has been shown thatA p weights can be factorized in terms ofA 1 weights. This factorization benefits many problems very much. In this paper, the new class of RH∞ plays the same role for RH s , which makes the reverse H?lder inequalities hold with exponents>1, that the classA 1 does forA p class. Therefore, the Jones' factorization theorem forA p weights was extended to include some information about the reverse H?lder classes. And it is the most convenient object in weight theory indeed. Key words martingale space - minimal function - weight inequality - reverse H?lder class CLC number O 221. 4 Foundation item: Supported by the National Natural Science Foundation of China (19771063)Biography: Zuo Hong-liang (1976-), male, Ph. D candidate, research direction: martingale theory.
基金Supported by the National Natural Science Foundation of China (No.10871064)the Key Laboratory of Computational and Stochastic Mathematics and It's Applications,Universities of Hunan Province,Hunan Normal University and the Soft Scientific Research Funds of Hunan Provincial Science & Technology Department of China (No.2009ZK4021)
文摘The Moore-Penrose inverse is an important tool in algebra.This paper shows that the MoorePenrose inverse is also an effcient technique in determining the minimal martingale measure if a security price follows a semi-martingale which satisfies some structure condition.We extend a result of Dzhaparidze and Spreij concerning the Moore-Penrose inverse to the case that the Moore-Penrose inverse of any matrix-valued predictable process is still predictable.Furthermore,we obtain an explicit formula of the minimal martingale measure by employing the Moore-Penrose inverse.Specifically,the minimal martingale measure in a generalized Black-Scholes model is found.
文摘In this note, we give a characterization of the minimal martingale measure for a general discrete-time incomplete financial market. Then we concretely work out the minimal martingale measure for a specific discrete-time market model in which the assets' returns in different times are independent.
