Related papers: A Maximal Inequality for Supermartingales
We provide an elementary proof that revenue-maximizing mechanisms exist in multi-parameter settings whenever the distribution of valuations has finite expectation.
A {\em maximal inequality} seeks to estimate $\mathbb{E}\max_i X_i$ in terms of properties of the $X_i$. When the latter are independent, the union bound (in its various guises) can yield tight upper bounds. If, however, the $X_i$ are…
In this paper we study processes which are constructed by a convolution of a deterministic kernel with a martingale. A special emphasis is put on the case where the driving martingale is a centred L\'evy process, which covers the popular…
This paper considers a variation of the full-information secretary problem where the random variables to be observed are independent but not necessary identically distributed. The main result is a sharp lower bound for the optimal win…
Let $(Z_n)$ be a supercritical branching process in a random environment $\xi$. We study the convergence rates of the martingale $W_n = Z_n/ E[Z_n| \xi]$ to its limit $W$. The following results about the convergence almost sur (a.s.), in…
The method of maximum entropy (ME) is extended to address the following problem: Once one accepts that the ME distribution is to be preferred over all others, the question is to what extent are distributions with lower entropy supposed to…
Suppose $X$ is a uniformly distributed $n$-dimensional binary vector and $Y$ is obtained by passing $X$ through a binary symmetric channel with crossover probability $\alpha$. A recent conjecture by Courtade and Kumar postulates that…
We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the smallest majorant of the gain function in the span of these…
We show that, for two non-trivial random variables X and Y under a sublinear expectation space, if X is independent from Y and Y is independent from X, then X and Y must be maximally distributed.
In this short paper, we give an upper bound for the number of different basic feasible solutions generated by the simplex method for linear programming problems having optimal solutions. The bound is polynomial of the number of constraints,…
This paper studies the problem of maximizing the expected utility of terminal wealth for a financial agent with an unbounded random endowment, and with a utility function which supports both positive and negative wealth. We prove the…
Monotone processes, just like martingales, can often be recovered from their final values. Examples include running maxima of supermartingales, as well as running maxima, local times, and various integral functionals of sticky processes…
This paper gives a complete characterization of infinitely divisible semimartingales, i.e., semimartingales whose finite dimensional distributions are infinitely divisible. An explicit and essentially unique decomposition of such…
We describe the behavior of the expectation of the maximum for a random assignment process built upon a square matrix with independent entries. Under mild assumptions on the underlying distribution, the answer is expressed in terms of its…
We prove the max-martingale conjecture given in recent article with Marc Yor. We show that for a continuous local martingale $(N\_t:t\ge 0)$ and a function $H:R x R\_+\to R$, $H(N\_t,\sup\_{s\leq t}N\_s)$ is a local martingale if and only…
We consider the set $$\mathcal{A} = \left\{10\cdot a + 11\cdot b \ | \gcd(a,b)=1, a\geq 1, b\geq 2a+1 \right\}.$$ We will prove that $\mathcal{A}$ is unbounded and that there exists a natural number $M\notin \mathcal{A}$ for which…
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…
The classic model of computable randomness considers martingales that take real or rational values. Recent work by Bienvenu et al. (2012) and Teutsch (2014) shows that fundamental features of the classic model change when the martingales…
We consider upper exponential bounds for the probability of the event that an absolute deviation of sample mean from mathematical expectation p is bigger comparing with some ordered level epsilon. These bounds include 2 coefficients {alpha,…
We give a necessary and sufficient condition on a sequence of functions on a set $\Omega$ under which there is a measure on $\Omega$ which renders the given sequence of functions a martingale. Further such a measure is unique if we impose a…