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13 papers · 1 filter
On a test of normality based on the empirical moment generating function
Norbert Henze, Stefan Koch
We provide the lacking theory for a test of normality based on the empirical moment generating function.
Optimal approximation of Skorohod integrals
Andreas Neuenkirch, Peter Parczewski
In this manuscript, we determine the optimal approximation rate for Skorohod integrals of sufficiently regular integrands. This generalizes the optimal approximation results for It…
Numerical solution of a semilinear parabolic degenerate Hamilton-Jacobi-Bellman equation with singularity
Mourad Lazgham
We consider a semilinear parabolic degenerated Hamilton-Jacobi-Bellman (HJB) equation with singularity which is related to a stochastic control problem with fuel constraint. The fu…
The self-normalized Donsker theorem revisited
Peter Parczewski
We extend the Poincaré--Borel lemma to a weak approximation of a Brownian motion via simple functionals of uniform distributions on n-spheres in the Skorokhod space . Thi…
Bivariate Covariance Functions of Pólya Type
Olga Moreva, Martin Schlather
We provide sufficient conditions of Pólya type which guarantee the positive definiteness of a -matrix-valued function in and . Several bivaria…
Stochastic Analysis with Modelled Distributions
Chong Liu, David J. Prömel, Josef Teichmann
Using a Besov topology on spaces of modelled distributions in the framework of Hairer's regularity structures, we prove the reconstruction theorem on these Besov spaces with negati…