Related papers: On Quadratic g-Evaluations/Expectations and Relate…
This paper aims at solving one-dimensional backward stochastic differential equations (BSDEs) under weaker assumptions. We establish general existence, uniqueness, and comparison results for bounded solutions, $L^p (p>1)$ solutions and…
The Gaussian product inequality is an important conjecture concerning the moments of Gaussian random vectors. While all attempts to prove the Gaussian product inequality in full generality have been unsuccessful to date, numerous partial…
A major effort in modern high-dimensional statistics has been devoted to the analysis of linear predictors trained on nonlinear feature embeddings via empirical risk minimization (ERM). Gaussian equivalence theory (GET) has emerged as a…
Motivated by certain problems of statistical physics we consider a stationary stochastic process in which deterministic evolution is interrupted at random times by upward jumps of a fixed size. If the evolution consists of linear decay, the…
Quadratic variations of Gaussian processes play important role in both stochastic analysis and in applications such as estimation of model parameters, and for this reason the topic has been extensively studied in the literature. In this…
We provide a general construction of time-consistent sublinear expectations on the space of continuous paths. It yields the existence of the conditional G-expectation of a Borel-measurable (rather than quasi-continuous) random variable, a…
We consider the problem of constructing a regression model with a functional predictor and a functional response. We extend the functional linear model to the quadratic model, where the quadratic term also takes the interaction between the…
We show how the operator product expansion evaluated in the approximation of ignoring gluons leads to the covariant formulation of the quark parton model. We discuss the connection with other formulations and show how the free quark model…
We show that quadratic growth of a semi-algebraic function is equivalent to strong metric subregularity of the subdifferential --- a kind of stability of generalized critical points. In contrast, this equivalence can easily fail outside of…
The generative aspect model is an extension of the multinomial model for text that allows word probabilities to vary stochastically across documents. Previous results with aspect models have been promising, but hindered by the computational…
We define $g$-expectation of a distribution as the infimum of the $g$-expectations of all the terminal random variables sharing that distribution. We present two special cases for nonlinear $g$ where the $g$-expectation of distributions can…
We study the well-posedness of general reflected BSDEs driven by a continuous martingale, when the coefficient f of the driver has at most quadratic growth in the control variable Z, with a bounded terminal condition and a lower obstacle…
We consider the adiabatic regime of two parameters evolution semigroups generated by linear operators that are analytic in time and satisfy the following gap condition for all times: the spectrum of the generator consists in finitely many…
Partial mean with generated regressors arises in several econometric problems, such as the distribution of potential outcomes with continuous treatments and the quantile structural function in a nonseparable triangular model. This paper…
We study conditional expectations generated by an abelian $ C^* $-subalgebra in the centralizer of a positive functional. We formulate and prove Jensen's inequality for functions of several variables with respect to this type of conditional…
We propose a successive generation of cutting inequalities for binary quadratic optimization problems. Multiple cutting inequalities are successively generated for the convex hull of the set of the optimal solutions $\subset \{0, 1\}^n$,…
One of the main approaches used to construct prior distributions for objective Bayes methods is the concept of random imaginary observations. Under this setup, the expected-posterior prior (EPP) offers several advantages, among which it has…
The geometric Jensen--Shannon divergence (G-JSD) gained popularity in machine learning and information sciences thanks to its closed-form expression between Gaussian distributions. In this work, we introduce an alternative definition of the…
We introduce a domination argument which asserts that: if we can dominate theparameters of a quadratic backward stochastic differential equation (QBSDE) with continuousgenerator from above and from below by those of two BSDEs having ordered…
We justify and discuss expressions for joint lower and upper expectations in imprecise probability trees, in terms of the sub- and supermartingales that can be associated with such trees. These imprecise probability trees can be seen as…