scholarly journals Characterization of the simple cubic multivariate exponential families

2006 ◽  
Vol 235 (1) ◽  
pp. 69-89 ◽  
Author(s):  
A. Hassairi ◽  
M. Zarai
Keyword(s):  
Exponential Families ◽  
Simple Cubic ◽  
Multivariate Exponential

On Characterization of Multiparameter Exponential Family and of some Irregular Families of Distributions

1996 ◽  
Vol 46 (1-2) ◽  
pp. 9-22
Author(s):  
P. N. Jani ◽  
A. K. Singh
Keyword(s):  
Exponential Family ◽  
Exponential Families ◽  
Exponential Family Of Distributions ◽  
Multivariate Exponential ◽  
Family Of Distributions

A characterization through moments given by Khatri (1959) for p.s.d. and by Jani (1993) for one-parameter exponential family has been extended for the wider class viz. multiparameter and multivariate exponential family of distributions. The same problem has beon studied also for some non-exponential families where the support contains the parameter(s), called irregular families of distributions.

A characterization of certain discrete exponential families

1996 ◽  
Vol 48 (3) ◽  
pp. 573-576 ◽  
Author(s):  
T. T. Nguyen ◽  
A. K. Gupta ◽  
Y. Wang
Keyword(s):  
Exponential Families

scholarly journals Cost-efficiency in multivariate Lévy models

2015 ◽  
Vol 3 (1) ◽  
Author(s):  
Ludger Rüschendorf ◽  
Viktor Wolf
Keyword(s):  
Cost Efficiency ◽  
Martingale Measure ◽  
Basket Options ◽  
Existence And Uniqueness Results ◽  
Uniqueness Results ◽  
Exponential Lévy Models ◽  
Cost Efficient ◽  
Real Market ◽  
Multivariate Exponential

AbstractIn this paper we determine lowest cost strategies for given payoff distributions called cost-efficient strategies in multivariate exponential Lévy models where the pricing is based on the multivariate Esscher martingale measure. This multivariate framework allows to deal with dependent price processes as arising in typical applications. Dependence of the components of the Lévy Process implies an influence even on the pricing of efficient versions of univariate payoffs.We state various relevant existence and uniqueness results for the Esscher parameter and determine cost efficient strategies in particular in the case of price processes driven by multivariate NIG- and VG-processes. From a monotonicity characterization of efficient payoffs we obtain that basket options are generally inefficient in Lévy markets when pricing is based on the Esscher measure.We determine efficient versions of the basket options in real market data and show that the proposed cost efficient strategies are also feasible from a numerical viewpoint. As a result we find that a considerable efficiency loss may arise when using the inefficient payoffs.

scholarly journals A martingale characterization of Pólya-Lundberg processes

2006 ◽  
Vol 43 (03) ◽  
pp. 741-754 ◽  
Author(s):  
Birgit Niese
Keyword(s):  
Poisson Process ◽  
Exponential Family ◽  
Exponential Families ◽  
Counting Processes ◽  
Mixed Poisson Process ◽  
Martingale Characterization

We study exponential families within the class of counting processes and show that a mixed Poisson process belongs to an exponential family if and only if it is either a Poisson process or has a gamma structure distribution. This property can be expressed via exponential martingales.

scholarly journals Electrochemical formation and characterization of Ag2O

2004 ◽  
Vol 69 (2) ◽  
pp. 153-166 ◽  
Author(s):  
Borka Jovic ◽  
Vladimir Jovic
Keyword(s):  
Grain Size ◽  
Mechanistic Studies ◽  
Oxide Formation ◽  
Sem Micrographs ◽  
Ag Electrode ◽  
Simple Cubic ◽  
Ag Electrodes ◽  
Different Grain Size ◽  
The Given

The process of Ag2O formation has been investigated in 0.1M, 0.3 M, 1.0Mand 2.0 M NaOH solutions on polycrystalline Ag electrodes by cyclic voltammetry potentiostatic pulse and SEM techniques. The SEM micrographs of the chemically polished Ag surface and the surface after oxide formation revealed considerable roughening of the Ag surface after Ag2O formation and reduction. The roughening was more pronounced at higher NaOH concentrations, indicating that only the first cycle or pulse applied on a freshly polished Ag electrode should be considered in mechanistic studies of Ag2O formation. In the given range of NaOH concentrations, it was shown that the process is not controlled simply by the diffusion of the reacting species.Anucleation phenomenon was clearly detected in all the examined solutions. The SEM micrographs confirm that the two anodic peaks, present on the voltammograms of Ag2O formation correspond to two types of oxide film, i.e., non-homogeneously and homogeneously distributed ones. Potentiostatic formation of the oxide at potentials corresponding to the first and second anodic peak yielded simple cubic Ag2O but of very different grain size.

scholarly journals A martingale characterization of Pólya-Lundberg processes

2006 ◽  
Vol 43 (3) ◽  
pp. 741-754 ◽  
Author(s):  
Birgit Niese
Keyword(s):  
Poisson Process ◽  
Exponential Family ◽  
Exponential Families ◽  
Counting Processes ◽  
Mixed Poisson Process ◽  
Martingale Characterization

We study exponential families within the class of counting processes and show that a mixed Poisson process belongs to an exponential family if and only if it is either a Poisson process or has a gamma structure distribution. This property can be expressed via exponential martingales.

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