Related papers: Measure changes with extinction
We give a new characterization for mutual absolute continuity of probability measures on a filtered space. For this, we introduce a martingale limit $M$ that measures the similarity between the tails of the probability measures restricted…
An eternally inflating universe produces an infinite amount of spatial volume, so every possible event happens an infinite number of times, and it is impossible to define probabilities in terms of frequencies. This problem is usually…
A wide range of stochastic processes that model the growth and decline of populations exhibit a curious dichotomy: with certainty either the population goes extinct or its size tends to infinity. There is a elegant and classical theorem…
We present numerical results based on a simplified ecological system in evolution, showing features of extinction similar to that claimed for the biosystem on Earth. In the model each species consists of a population in interaction with the…
Every measurement on a quantum system causes a state change from the system state just before the measurement to the system state just after the measurement conditional upon the outcome of measurement. This paper determines all the possible…
Competitive birth-death processes often exhibit an oscillatory behavior. We investigate a particular case where the oscillation cycles are marginally stable on the mean-field level. An iconic example of such a system is the Lotka-Volterra…
Given the univariate marginals of a real-valued, continuous-time martingale, (respectively, a family of measures parameterised by $t \in [0,T]$ which is increasing in convex order, or a double continuum of call prices) we construct a family…
We establish general theorems quantifying the notion of recurrence --- through an estimation of the moments of passage times --- for irreducible continuous-time Markov chains on countably infinite state spaces. Sharp conditions of…
We consider a stochastic model for an evolving population. We show that in the presence of genotype extinctions the population dies out for a low mutation probability but may survive for a high mutation probability. This turns upside down…
Let $\mm_n, n=0,1,...$ be the supercritical branching random walk, in which the number of direct descendants of one individual may be infinite with positive probability. Assume that the standard martingale $W_n$ related to $\mm_n$ is…
We present the winning strategy for the EVA2025 Data Challenge, which aimed to estimate the probability of extreme precipitation events. These events occurred at most once in the dataset making the challenge fundamentally one of…
The t-statistic is a widely-used scale-invariant statistic for testing the null hypothesis that the mean is zero. Martingale methods enable sequential testing with the t-statistic at every sample size, while controlling the probability of…
We characterize the random times $\rho$ whose Azema supermartingales $Z^\rho$ take the form $Z^\rho=U/U^*$ for some non negative local martingales $U$ starting from 1 vanishing at infinity, where $U^*$ denotes the running maximum process of…
Extinction transition of bacteria under forced rotation is analyzed in pie geometry. Under convection, separation of the radial and the azimuthal degrees of freedom is not possible, and the linearized evolution operator is diagonalized…
We study stochastic extinction for a class of Markov processes motivated by models in ecology and epidemiology. Extinction is often characterized by a boundedness condition and a condition on boundary Lyapunov exponents (invasion rates).…
We study the stability of several no-arbitrage conditions with respect to absolutely continuous, but not necessarily equivalent, changes of measure. We first consider models based on continuous semimartingales and show that no-arbitrage…
We consider a dynamical system obtained by the random switching between $N$ Lotka-Volterra food chains. Our key assumption will be that at least two vector fields only differ on the resources allocated to the growth rate of the first…
The statistical properties of an ecosystem composed of species interacting via pairwise, random interactions and deterministic, concentration limiting self-interaction are studied analytically with tools of equilibrium statistical mechanics…
A circle, centered at the origin and with radius chosen so that it has non-empty intersection with the integer lattice $\mathbb{Z}^{2}$, gives rise to a probability measure on the unit circle in a natural way. Such measures, and their weak…
We consider the problem of maximising expected utility from terminal wealth in a semimartingale setting, where the semimartingale is written as a sum of a time-changed Brownian motion and a finite variation process. To solve this problem,…