Related papers: Reflection principle and Ocone martingales
It is consistent that for every n >= 2, every stationary subset of omega_n consisting of ordinals of cofinality omega_k where k = 0 or k <= n-3 reflects fully in the set of ordinals of cofinality omega_{n-1}. We also show that this result…
We establish via a probabilistic approach the quenched invariance principle for a class of long range random walks in independent (but not necessarily identically distributed) balanced random environments, with the transition probability…
We study rare event simulations of semimartingale reflecting Brownian motions (SRBMs) in an orthant. The rare event of interest is that a $d$-dimensional positive recurrent SRBM enters the set $B_n = \{z\in\mathbb{R}^d: \sum_{k=1}^d z_k =…
We develop a purely ordinal model for aggregation functionals for lattice valued functions, comprising as special cases quantiles, the Ky Fan metric and the Sugeno integral. For modeling findings of psychological experiments like the…
This work is devoted to the study of first order linear problems with involution and periodic boundary value conditions. We first prove a correspondence between a large set of such problems with different involutions to later focus our…
We prove that a stochastic flow of reflected Brownian motions in a smooth multidimensional domain is differentiable with respect to its initial position. The derivative is a linear map represented by a multiplicative functional for…
We consider a stationary queueing process $Q_X$ fed by a centered Gaussian process $X$ with stationary increments and variance function satisfying classical regularity conditions. A criterion when, for a given function $f$, $\mathbb P…
In this paper we will give a categorical proof of the Radon-Nikodym theorem. We will do this by describing the trivial version of the result on finite probability spaces as a natural isomorphism. We then proceed to Kan extend this…
We study exclusion processes on the integer lattice in which particles change their velocities due to stickiness. Specifically, whenever two or more particles occupy adjacent sites, they stick together for an extended period of time, and…
We define a class of random measures, spatially independent martingales, which we view as a natural generalisation of the canonical random discrete set, and which includes as special cases many variants of fractal percolation and Poissonian…
In this paper we introduce the notion of fractional martingale as the fractional derivative of order $\alpha$ of a continuous local martingale, where $\alpha\in(-{1/2},{1/2})$, and we show that it has a nonzero finite variation of order…
We consider reflected backward stochastic differential equations with two optional barriers of class (D) satisfying Mokobodzki's separation condition and coefficient which is only continuous and non-increasing. We assume that data are…
We consider the reflection-transmission problem in a waveguide with obstacle. At certain frequencies, for some incident waves, intensity is perfectly transmitted and the reflected field decays exponentially at infinity. In this work, we…
A supermartingale deflator (resp., local martingale deflator) multiplicatively transforms nonnegative wealth processes into supermartingales (resp., local martingales). The supermartingale numeraire (resp., local martingale numeraire) is…
We present statistical tests for the continuous martingale hypothesis. That is, whether an observed process is a continuous local martingale, or equivalently a continuous time-changed Brownian motion. Our technique is based on the concept…
We develop the mathematics of a filtration shrinkage model that has recently been considered in the credit risk modeling literature. Given a finite collection of points $x_1<...<x_N$ in $\mathbb{R}$, the region indicator function $R(x)$…
Given a sequence $(T_1, T_2, ...)$ of random $d \times d$ matrices with nonnegative entries, suppose there is a random vector $X$ with nonnegative entries, such that $ \sum_{i \ge 1} T_i X_i $ has the same law as $X$, where $(X_1, X_2,…
It is well known that there are close connections between non-intersecting processes in one dimension and random matrices, based on the reflection principle. There is a generalisation of the reflection principle for more general (e.g.…
The motion of particles in random potentials occurs in several natural phenomena ranging from the mobility of organelles within a biological cell to the diffusion of stars within a galaxy. A Brownian particle moving in the random optical…
Lions and Musiela (2007) give sufficient conditions to verify when a stochastic exponential of a continuous local martingale is a martingale or a uniformly integrable martingale. Blei and Engelbert (2009) and Mijatovi\'c and Urusov (2012c)…