Related papers: On Quadratic g-Evaluations/Expectations and Relate…

In this article we fully describe the domain of the infinitesimal generator of the optimal state semigroup which arises in the theory of the linear-quadratic problem for a specific class of boundary control systems. This represents an…

In operator algebra theory, a conditional expectation is usually assumed to be a projection map onto a sub-algebra. In the paper, a further type of conditional expectation and an extension of the Lueders - von Neumann measurement to…

In this paper, we are interested in nonparametric kernel estimation of a generalized regression function, including conditional cumulative distribution and conditional quantile functions, based on an incomplete sample $(X_t, Y_t,…

The G-equation is a popular model for premixed turbulent combustion. Mathematically it has attracted a lot of interest in part because it is a simple example of a Hamilton-Jacobi equation which is only coercive `on average'. This paper…

The g-formula can be used to estimate causal effects of sustained treatment strategies using observational data under the identifying assumptions of consistency, positivity, and exchangeability. The non-iterative conditional expectation…

This paper studies inference for quadratic forms of linear regression coefficients with clustered data and many covariates. Our framework covers three important special cases: instrumental variables regression with many instruments and…

In a recent paper Birke and Bissantz (2008) considered the problem of nonparametric estimation in inverse regression models with convolution-type operators. For multivariate predictors nonparametric methods suffer from the curse of…

Perturbation of the GUE are known in physics to be related to enumeration of graphs on surfaces. We investigate this idea and show that for a small convex perturbation, we can perform a genus expansion: the moments of the empirical measure…

We study the asymptotic properties of geodesically convex $M$-estimation on non-linear spaces. Namely, we prove that under very minimal assumptions besides geodesic convexity of the cost function, one can obtain consistency and asymptotic…

The long-standing Gaussian product inequality (GPI) conjecture states that, for any centered $\mathbb{R}^n$-valued Gaussian random vector $(X_1, \dots, X_n)$ and any positive reals $\alpha_1, \dots, \alpha_n$, ${\bf…

This brief pedagogical note re-proves a simple theorem on the convergence, in $L_2$ and in probability, of time averages of non-stationary time series to the mean of expectation values. The basic condition is that the sum of covariances…

The aim of this short note is to fill in a gap in our earlier paper [16] on 2BSDEs with reflections, and to explain how to correct the subsequent results in the second paper [15]. We also provide more insight on the properties of 2RBSDEs,…

We study the probabilistic behaviour of the continued fraction expansion of a quadratic irrational number, when weighted by some "additive" cost. We prove asymptotic Gaussian limit laws, with an optimal speed of convergence. We deal with…

We consider backward stochastic differential equations (BSDE) with nonlinear generators typically of quadratic growth in the control variable. A measure solution of such a BSDE will be understood as a probability measure under which the…

We prove well-posedness results for backward stochastic differential equations (BSDEs) and reflected BSDEs with an optional obstacle process in the case of appropriately weighted $\mathbb{L}^2$-data when the generator is integrated with…

Let M be a II_1 factor, A a masa in M and E the unique conditional expectation on A. Under some technical assumptions on the inclusion of A in M, which hold true for any semiregular masa of a separable factor, we show that for every…

This study focuses on a multidimensional backward stochastic differential equation (BSDE) with a general random terminal time $\tau$ taking values in $[0,+\infty]$. The generator $g$ satisfies a stochastic monotonicity condition in the…

Comparison and converse comparison theorems are important parts of the research on backward stochastic differential equations. In this paper, we obtain comparison results for one dimensional backward stochastic differential equations with…

It has been a well-known problem in the $G$-framework that it is hard to compute the sublinear expectation of the $G$-normal distribution $\hat{\mathbb{E}}[\varphi(X)]$ when $\varphi$ is neither convex nor concave, if not involving any PDE…

We give improved bounds for our theorem in [GW09], which shows that a system of linear forms on $\mathbb{F}_p^n$ with squares that are linearly independent has the expected number of solutions in any linearly uniform subset of…