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Stochastic analysis of Bernoulli processes
Malliavin calculus Bernoulli processes discrete time chaotic calculus functional inequalities option hedging
2009/5/18
These notes survey some aspects of discrete-time chaotic calculus and its applications, based on the chaos representation property for i.i.d. sequences of random variables. The topics covered include ...
A note on the distributions of the maximum of linear Bernoulli processes
note distribution Bernoulli processes
2009/3/20
We give a characterization of the family of all probability measures on the extended line $(-infty,+infty]$, which may be obtained as the distribution of the maximum of some linear Bernoulli process. ...
We show that the Bernoulli conjecture holds for sets with small one-dimensional projections, i.e. any bounded Bernoulli process indexed by such set may be represented as a sum of a uniformly bounded p...