Related papers: A generalization of Doob's maximal identity
The work [8] established memory loss in the time-dependent (non-random) case of uniformly expanding maps of the interval. Here we find conditions under which we have convergence to the normal distribution of the appropriately scaled…
A neural network works as an associative memory device if it has large storage capacity and the quality of the retrieval is good enough. The learning and attractor abilities of the network both can be measured by the mutual information…
We study a natural generalization of stable matching to the maximum weight stable matching problem and we obtain a combinatorial polynomial time algorithm for it by reducing it to the problem of finding a maximum weight ideal cut in a DAG.…
We prove results on mixing and mixing rates for toral extensions of nonuniformly expanding maps with subexponential decay of correlations. Both the finite and infinite measure settings are considered. Under a Dolgopyat-type condition on…
In this paper we study maximal $L^p$-regularity for evolution equations with time-dependent operators $A$. We merely assume a measurable dependence on time. In the first part of the paper we present a new sufficient condition for the…
We investigate the almost sure asymptotic properties of vector martingale transforms. Assuming some appropriate regularity conditions both on the increasing process and on the moments of the martingale, we prove that normalized moments of…
For any non-zero finite module M of finite projective dimension over a noetherian local ring R with maximal ideal m and residue field k, it is proved that the natural map Ext_R(k,M)-->Ext_R(k,M/mM) is non-zero when R is regular and is zero…
Maximum entropy (MAXENT) method has a large number of applications in theoretical and applied machine learning, since it provides a convenient non-parametric tool for estimating unknown probabilities. The method is a major contribution of…
We give simple proofs that for a continuous local martingale M_t: 1) \liminf_{\epsilon->0} \epsilon \log Ee^{(1-\epsilon) <M>_\infty /2} < \infty ==> E\exp(M_\infty - <M>_\infty /2) = 1, 2) \liminf_{\epsilon->0} \epsilon \log\sup_{t>=0}…
In this paper, we investigate discrete regularity estimates for a broad class of temporal numerical schemes for parabolic stochastic evolution equations. We provide a characterization of discrete stochastic maximal $\ell^p$-regularity in…
The problem of robust hedging requires to solve the problem of superhedging under a nondominated family of singular measures. Recent progress was achieved by [9,11]. We show that the dual formulation of this problem is valid in a context…
In this paper, we are concerned with centered Markov Additive Processes $\{(X_t,Y_t)\}_{t\in\T}$ where the driving Markov process $\{X_t\}_{t\in\T}$ has a finite state space. Under suitable conditions, we provide a local limit theorem for…
In this paper, we establish maximal concentration bounds for the iterates generated by a stochastic approximation (SA) algorithm under a contractive operator with respect to some arbitrary norm (for example, the $\ell_\infty$-norm). We…
We present an algorithm based on posterior sampling (aka Thompson sampling) that achieves near-optimal worst-case regret bounds when the underlying Markov Decision Process (MDP) is communicating with a finite, though unknown, diameter. Our…
In this article, it is proved that for any cumulative distribution function with compact support and a specified t > 0, there exists a diffusion martingale which has this law at time t. The article proves existence; no claims are made about…
We consider the optimal stopping time problem under model uncertainty $R(v)= {\text{ess}\sup\limits}_{ \mathbb{P} \in \mathcal{P}} {\text{ess}\sup\limits}_{\tau \in \mathcal{S}_v} E^\mathbb{P}[Y(\tau) \vert \mathcal{F}_v]$, for every…
We consider the stochastic optimal control problem for the dynamical system of the stochastic differential equation driven by a local martingale with a spatial parameter. Assuming the convexity of the control domain, we obtain the…
We give sufficient criteria for the Dol\'eans-Dade exponential of a stochastic integral with respect to a counting process local martingale to be a true martingale. The criteria are adapted particularly to the case of counting processes and…
We study the problem of synthesizing a policy that maximizes the entropy of a Markov decision process (MDP) subject to a temporal logic constraint. Such a policy minimizes the predictability of the paths it generates, or dually, maximizes…
In this paper, local Tb theorems are studied both in the doubling and non-doubling situation. We prove a local Tb theorem for the class of upper doubling measures. With such general measures, scale invariant testing conditions are required…