The Experts below are selected from a list of 303 Experts worldwide ranked by ideXlab platform
J. Sorensen - One of the best experts on this subject based on the ideXlab platform.
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Hierarchical pattern classification for high performance text-independent speaker verification systems
Proceedings of ICASSP '94. IEEE International Conference on Acoustics Speech and Signal Processing, 1994Co-Authors: J. Sorensen, M. SavicAbstract:A new algorithm, the hierarchical speaker verification algorithm, is introduced. This algorithm employs a set of unique mapping functions determined from an enrolment utterance that characterize the target voice as a multidimensional Martingale random walk process. For sufficiently long verification utterances, the central limit theorem insures that the accumulated scores for the target speaker will be distributed normally about the origin. Impostor speakers, which violate the Martingale Property, are distributed arbitrarily and widely scattered in the verification space. Excerpts of verification performance experiments are given and extensions to the algorithm for handling noisy channels and speaker template aging are discussed.
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Hierarchical pattern classification for high performance text- independent speaker verification systems
ICASSP IEEE International Conference on Acoustics Speech and Signal Processing - Proceedings, 1994Co-Authors: J. Sorensen, Milan SavićAbstract:A new algorithm, the hierarchical speaker verification \nalgorithm, is introduced. This algorithm employs a set of \nunique mapping functions determined from an enrollment \nutterance that characterize the target voice as a \nmultidimensional Martingale random walk process. For \nsufficiently long verification utterances, the central limit \ntheorem insures that the accumulated scores for the target \nspeaker will be distributed normally about the origin. Impostor\nspeakers, which violate the Martingale Property, are \ndistributed arbitrarily and widely scattered in the \nverification space. Excerpts of verification performance \nexperiments are given and extensions to the algorithm for \nhandling noisy channels and speaker template aging are \ndiscussed. (Author abstract) 14 Refs.
M. Savic - One of the best experts on this subject based on the ideXlab platform.
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Hierarchical pattern classification for high performance text-independent speaker verification systems
Proceedings of ICASSP '94. IEEE International Conference on Acoustics Speech and Signal Processing, 1994Co-Authors: J. Sorensen, M. SavicAbstract:A new algorithm, the hierarchical speaker verification algorithm, is introduced. This algorithm employs a set of unique mapping functions determined from an enrolment utterance that characterize the target voice as a multidimensional Martingale random walk process. For sufficiently long verification utterances, the central limit theorem insures that the accumulated scores for the target speaker will be distributed normally about the origin. Impostor speakers, which violate the Martingale Property, are distributed arbitrarily and widely scattered in the verification space. Excerpts of verification performance experiments are given and extensions to the algorithm for handling noisy channels and speaker template aging are discussed.
Milan Savić - One of the best experts on this subject based on the ideXlab platform.
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Hierarchical pattern classification for high performance text- independent speaker verification systems
ICASSP IEEE International Conference on Acoustics Speech and Signal Processing - Proceedings, 1994Co-Authors: J. Sorensen, Milan SavićAbstract:A new algorithm, the hierarchical speaker verification \nalgorithm, is introduced. This algorithm employs a set of \nunique mapping functions determined from an enrollment \nutterance that characterize the target voice as a \nmultidimensional Martingale random walk process. For \nsufficiently long verification utterances, the central limit \ntheorem insures that the accumulated scores for the target \nspeaker will be distributed normally about the origin. Impostor\nspeakers, which violate the Martingale Property, are \ndistributed arbitrarily and widely scattered in the \nverification space. Excerpts of verification performance \nexperiments are given and extensions to the algorithm for \nhandling noisy channels and speaker template aging are \ndiscussed. (Author abstract) 14 Refs.
David Criens - One of the best experts on this subject based on the ideXlab platform.
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No arbitrage in continuous financial markets
Mathematics and Financial Economics, 2020Co-Authors: David CriensAbstract:We derive integral tests for the existence and absence of arbitrage in a financial market with one risky asset which is either modeled as stochastic exponential of an Itô process or a positive diffusion with Markov switching. In particular, we derive conditions for the existence of the minimal Martingale measure. We also show that for Markov switching models the minimal Martingale measure preserves the independence of the noise and we study how the minimal Martingale measure can be modified to change the structure of the switching mechanism. Our main mathematical tools are new criteria for the Martingale and strict local Martingale Property of certain stochastic exponentials.
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Martingale Property of exponential semiMartingales a note on explicit conditions and applications to asset price and libor models
Applied Mathematical Finance, 2017Co-Authors: David Criens, Kathrin Glau, Zorana GrbacAbstract:We give a collection of explicit sufficient conditions for the true Martingale Property of a wide class of exponentials of semiMartingales. We express the conditions in terms of semiMartingale characteristics. This turns out to be very convenient in financial modelling in general. Especially it allows us to carefully discuss the question of well-definedness of semiMartingale Libor models, whose construction crucially relies on a sequence of measure changes.
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Martingale Property of exponential semiMartingales a note on explicit conditions and applications to financial models
arXiv: Mathematical Finance, 2016Co-Authors: David Criens, Kathrin Glau, Zorana GrbacAbstract:We give a collection of explicit sufficient conditions for the true Martingale Property of a wide class of exponentials of semiMartingales. We express the conditions in terms of semiMartingale characteristics. This turns out to be very convenient in financial modeling in general. Especially it allows us to carefully discuss the question of well-definedness of semiMartingale Libor models, whose construction crucially relies on a sequence of measure changes.
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the Martingale Property in terms of infinite dimensional sdes
arXiv: Probability, 2016Co-Authors: David CriensAbstract:In this article we derive Lipschitz- and linear growth conditions for the Martingale Property of a stochastic exponential driven by an infinite-dimensional stochastic differential equation. At the heart of the proof lies a local change of measure and a Yamada-Watanabe-type argument. We illustrate two applications. First, we obtain sufficient conditions for the equivalence of laws of solutions to infinite-dimensional stochastic differential equations. Second, we give sufficient conditions for the existence of a candidate equivalent local Martingale measure in an infinite-dimensional Heath-Jarrow-Morton framework.
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Martingale Property in terms of semiMartingale problems
arXiv: Probability, 2016Co-Authors: David Criens, Kathrin GlauAbstract:Starting from the seventies mathematicians face the question whether a non-negative local Martingale is a true or a strict local Martingale. In this article we answer this question from a semiMartingale perspective. We connect the Martingale Property to existence, uniqueness and topological properties of semiMartingale problems. This not only leads to valuable characterizations of the Martingale Property, but also reveals new existence and uniqueness results for semiMartingale problems. As a case study we derive explicit conditions for the Martingale Property of stochastic exponentials driven by infinite-dimensional Brownian motion.
C C Heyde - One of the best experts on this subject based on the ideXlab platform.
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on the Martingale Property of stochastic exponentials
Journal of Applied Probability, 2004Co-Authors: Bernard Wong, C C HeydeAbstract:We present a necessary and sufficient condition for a stochastic exponential to be a true Martingale. It is proved that the criteria for the true Martingale Property are related to whether a related process explodes. An alternative and interesting interpretation of this result is that the stochastic exponential is a true Martingale if and only if under a 'candidate measure' the integrand process is square integrable over time. Applications of our theorem to problems arising in mathematical finance are also given.