Related papers: Finitely Additive Supermartingales
Measure Differential Equations (MDE) describe the evolution of probability measures driven by probability velocity fields, i.e. probability measures on the tangent bundle. They are, on one side, a measure-theoretic generalization of…
The Doob convergence theorem implies that the set of divergence of any martingale has measure zero. We prove that, conversely, any $G\_{\delta\sigma}$ subset of the Cantor space with Lebesgue-measure zero can be represented as the set of…
We provide a version of the celebrated theorem of Koml\'os in which, rather then random quantities, a sequence of finitely additive measures is considered. We obtain a form of the subsequence principle and some applications.
We develop a new semantics for defeasible inference based on extended probability measures allowed to take infinitesimal values, on the interpretation of defaults as generalized conditional probability constraints and on a preferred-model…
This paper deals with the Mittag-Leffler polynomials (MLP) by extracting their essence which consists of real polynomials with fine properties. They are orthogonal on the real line instead of the imaginary axes for MLP. Beside recurrence…
This paper is devoted to obtaining a wellposedness result for multidimensional BSDEs with possibly unbounded random time horizon and driven by a general martingale in a filtration only assumed to satisfy the usual hypotheses, i.e. the…
We provide a unified approach to a priori estimates for supersolutions of BSDEs in general filtrations, which may not be quasi left-continuous. Unlike the previous related approaches in simpler settings, our results do not only rely on a…
We present a unified approach to Doob's $L^p$ maximal inequalities for $1\leq p<\infty$. The novelty of our method is that these martingale inequalities are obtained as consequences of elementary deterministic counterparts. The latter have…
The present paper continues the study of infinite dimensional calculus via regularization, started by C. Di Girolami and the second named author, introducing the notion of "weak Dirichlet process" in this context. Such a process $\X$,…
We study systems of {\sigma}-algebras ordered by refinement and introduce the notion of an endogenous probability measure, invariant under admissible refinement transformations. We prove existence and structural properties of such measures…
We establish distributional estimates for noncommutative martingales, in the sense of decreasing rearrangements of the spectra of unbounded operators, which generalises the study of distributions of random variables. Our results include…
We prove maximal inequalities for $L_q$-valued martingales obtained by stochastic integration with respect to compensated random measures. A version of these estimates for integrals with respect to compensated Poisson random measures were…
We develop the fundamental theorem of asset pricing in a probability-free infinite-dimensional setup. We replace the usual assumption of a prior probability by a certain continuity property in the state variable. Probabilities enter then…
Based on the work of Shelah, Kellner, and T\u{a}nasie (Fund. Math., 166(1-2):109-136, 2000 and Comment. Math. Univ. Carolin., 60(1):61-95, 2019), and the recent developments in the third author's master's thesis, we develop a general theory…
The present paper deals with the characterization of no-arbitrage properties of a continuous semimartingale. The first main result, Theorem \refMainTheoremCharNA, extends the no-arbitrage criterion by Levental and Skorohod [Ann. Appl.…
In infinite dimensional Banach spaces there is no complete characterization of the L\'evy exponents of infinitely divisible probability measures. Here we propose \emph{a calculus on L\'evy exponents} that is derived from some random…
We develop an existence, regularity and potential theory for nonlinear integrodifferential equations involving measure data. The nonlocal elliptic operators considered are possibly degenerate and cover the case of the fractional…
The second part of the paper mainly deals with convergence of infinite determinantal measures, understood as the convergence of the approximating finite determinantal measures. In addition to the usual weak topology on the space of…
In recent years increasing attention has been paid on the area of supercharacter theories, especially to those of the upper unitriangular group. A particular supercharacter theory, in which supercharacters are indexed by set partitions, has…
Using changes of probability measure developed by \mbox{Grama} and Haeusler (Stochastic Process.\ Appl., 2000), we obtain two generalizations of the deviation inequalities of Lanzinger and Stadtm\"{u}ller (Stochastic Process.\ Appl., 2000)…