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The main result of the article reads: the distribution of a continuous starting from zero local martingale whose quadratic characteristic is almost surely absolutely continuous with respect to some non-random increasing continuous function…

Probability · Mathematics 2011-02-17 Andriy Yurachkivsky

In this paper we propose an efficient variance reduction approach for additive functionals of Markov chains relying on a novel discrete time martingale representation. Our approach is fully non-asymptotic and does not require the knowledge…

Computation · Statistics 2021-12-22 D. Belomestny , E. Moulines , S. Samsonov

In the paper, the martingales and super-martingales relative to a convex set of equivalent measures are systematically studied. The notion of local regular super-martingale relative to a convex set of equivalent measures is introduced and…

Statistical Finance · Quantitative Finance 2018-06-15 Nicholas S. Gonchar

In this note we introduce a new kind of augmentation of filtrations along a sequence of stopping times. This augmentation is suitable for the construction of new probability measures associated to a positive strict local martingale as done…

Probability · Mathematics 2013-10-29 Doerte Kreher , Ashkan Nikeghbali

We use the martingale method to discuss the relationship between mean-variance (MV) and monotone mean-variance (MMV) portfolio selections. We propose a unified framework to discuss the relationship in general financial markets without any…

Optimization and Control · Mathematics 2024-03-12 Yuchen Li , Zongxia Liang , Shunzhi Pang

In a fully general setting, we study the relation between martingale spaces under two locally absolutely continuous probabilities and prove that the martingale representation property (MRP) is always stable under locally absolutely…

Probability · Mathematics 2019-10-09 Anna Aksamit , Claudio Fontana

Given two probability measures $\mu$ and $\nu$ in "convex order" on $\R^d$, we study the profile of one-step martingale plans $\pi$ on $\R^d\times \R^d$ that optimize the expected value of the modulus of their increment among all…

Analysis of PDEs · Mathematics 2016-04-07 Nassif Ghoussoub , Young-Heon Kim , Tongseok Lim

The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone…

Portfolio Management · Quantitative Finance 2012-06-04 Christoph Czichowsky , Martin Schweizer

In the propositional setting, the marginal problem is to find a (maximum-entropy) distribution that has some given marginals. We study this problem in a relational setting and make the following contributions. First, we compare two…

Artificial Intelligence · Computer Science 2018-04-26 Ondrej Kuzelka , Yuyi Wang , Jesse Davis , Steven Schockaert

Adaptive Markov chain Monte Carlo (MCMC) algorithms, which automatically tune their parameters based on past samples, have proved extremely useful in practice. The self-tuning mechanism makes them `non-Markovian', which means that their…

Probability · Mathematics 2024-08-28 Pietari Laitinen , Matti Vihola

Exact approximations of Markov chain Monte Carlo (MCMC) algorithms are a general emerging class of sampling algorithms. One of the main ideas behind exact approximations consists of replacing intractable quantities required to run standard…

Computation · Statistics 2015-10-30 Christophe Andrieu , Matti Vihola

We study in detail the two main algorithms which have been considered for fitting constrained marginal models to discrete data, one based on Lagrange multipliers and the other on a regression model. We show that the updates produced by the…

Computation · Statistics 2013-05-28 Robin J. Evans , Antonio Forcina

Positive $T$-martingales were developed as a general framework that extends the positive measure-valued martingales and are meant to model intermittent turbulence. We extend their scope by allowing the martingale to take complex values. We…

Probability · Mathematics 2016-08-14 Julien Barral , Xiong Jin , Benoît Mandelbrot

The martingale method is used to establish concentration inequalities for a class of dependent random sequences on a countable state space, with the constants in the inequalities expressed in terms of certain mixing coefficients. Along the…

Probability · Mathematics 2009-01-22 Leonid , Kontorovich , Kavita Ramanan

We propose martingale consumption as a natural, desirable consumption pattern for any given (proportional) investment strategy. The idea is to always adjust current consumption so as to achieve level expected future consumption under the…

Mathematical Finance · Quantitative Finance 2025-05-28 Peter Holm Nielsen

Strassen's classical martingale coupling theorem states that two real-valued random variables are ordered in the convex (resp.\ increasing convex) stochastic order if and only if they admit a martingale (resp.\ submartingale) coupling. By…

Probability · Mathematics 2017-05-11 Lasse Leskelä , Matti Vihola

We investigate a collection of orthonormal functions that encodes information about the continued fraction expansion of real numbers. When suitably ordered these functions form a complete system of martingale differences and are a special…

Number Theory · Mathematics 2009-07-01 Alan K. Haynes , Jeffrey D. Vaaler

We develop a numerical method for the martingale analogue of the Benamou--Brenier optimal transport problem, which seeks a martingale interpolating two prescribed marginals which is closest to the Brownian motion. Recent contributions have…

Computational Finance · Quantitative Finance 2026-03-10 Manuel Hasenbichler , Benjamin Joseph , Gregoire Loeper , Jan Obloj , Gudmund Pammer

We consider the optimal mass transportation problem in $\RR^d$ with measurably parameterized marginals, for general cost functions and under conditions ensuring the existence of a unique optimal transport map. We prove a joint measurability…

Probability · Mathematics 2008-09-09 Joaquin Fontbona , Helene Guerin , Sylvie Meleard

As an alternative to the well-known methods of "chaining" and "bracketing" that have been developed in the study of random fields, a new method, which is based on a stochastic maximal inequality derived by using the Taylor expansion, is…

Probability · Mathematics 2020-08-03 Yoichi Nishiyama