Arbeitspapier
Polar sets of anisotropic Gaussian random fields
This paper studies polar sets of anisotropic Gaussian random fields, i.e. sets which a Gaussian random field does not hit almost surely. The main assumptions are that the eigenvalues of the covariance matrix are bounded from below and that the canonical metric associated with the Gaussian random field is dominated by an anisotropic metric. We deduce an upper bound for the hitting probabilities and conclude that sets with small Hausdorff dimension are polar. Moreover, the results allow for a translation of the Gaussian random field by a random field, that is independent of the Gaussian random field and whose sample functions are of bounded Hölder norm.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2009,058
- Klassifikation
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
Semiparametric and Nonparametric Methods: General
- Thema
-
Anisotropic Gaussian fields
Hitting probabilities
Polar sets
Hausdorff dimension
European option
Jump diffusion
Calibration
Analysis
Stochastischer Prozess
Optionspreistheorie
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Söhl, Jakob
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Söhl, Jakob
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2009
Ähnliche Objekte (12)
Polar sets of anisotropic Gaussian random fields
Characterization of anisotropic Gaussian random fields by Minkowski tensors
Gaussian random processes
Gaussian and Non-Gaussian linear time series and random fields
Products of independent Gaussian random matrices
Random sets versus random sequences
Anisotropic smoothing and image restoration facing non-Gaussian noise
Anisotropic Smoothing and Image Restoration Facing Non-Gaussian Noise
Gaussian Critical Line in Anisotropic Mixed Quantum Spin Chains
Random and quasi-random point sets
Mean anisotropy of homogeneous Gaussian random fields and anisotropic norms of linear translation-invariant operators on multidimensional integer lattices
Approximation of Gaussian random vectors in Banach spaces
Polar sets of anisotropic Gaussian random fields
Characterization of anisotropic Gaussian random fields by Minkowski tensors
Gaussian random processes
Gaussian and Non-Gaussian linear time series and random fields
Products of independent Gaussian random matrices
Random sets versus random sequences
Anisotropic smoothing and image restoration facing non-Gaussian noise
Anisotropic Smoothing and Image Restoration Facing Non-Gaussian Noise
Gaussian Critical Line in Anisotropic Mixed Quantum Spin Chains
Random and quasi-random point sets
Mean anisotropy of homogeneous Gaussian random fields and anisotropic norms of linear translation-invariant operators on multidimensional integer lattices
Approximation of Gaussian random vectors in Banach spaces
Polar sets of anisotropic Gaussian random fields
Characterization of anisotropic Gaussian random fields by Minkowski tensors
Gaussian random processes
Gaussian and Non-Gaussian linear time series and random fields
Products of independent Gaussian random matrices
Random sets versus random sequences
Anisotropic smoothing and image restoration facing non-Gaussian noise
Anisotropic Smoothing and Image Restoration Facing Non-Gaussian Noise
Gaussian Critical Line in Anisotropic Mixed Quantum Spin Chains
Random and quasi-random point sets
Mean anisotropy of homogeneous Gaussian random fields and anisotropic norms of linear translation-invariant operators on multidimensional integer lattices