Related papers: Martingale Representation Theorem for the G-expect…
Based on the formulation of Drinfel'd, Chari, and Pressley, a technique to analyze the structure of tensor products of the Yangian algebra representations is presented. We then apply the results to the $S$-matrix theory of the $G\otimes…
We establish distributional estimates for noncommutative martingales, in the sense of decreasing rearrangements of the spectra of unbounded operators, which generalises the study of distributions of random variables. Our results include…
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…
In this paper we introduce the concept of conic martingales}. This class refers to stochastic processes having the martingale property, but that evolve within given (possibly time-dependent) boundaries. We first review some results about…
By making use of martingale representations, we derive the asymptotic normality of particle filters in hidden Markov models and a relatively simple formula for their asymptotic variances. Although repeated resamplings result in complicated…
The central limit theorem of martingales is the fundamental tool for studying the convergence of stochastic processes. The central limit theorem and functional central limit theorem are obtained for martingale like random variables under…
Hedging strategies in bond markets are computed by martingale representation and the Clark-Ocone formula under the choice of a suitable of numeraire, in a model driven by the dynamics of bond prices. Applications are given to the hedging of…
We propose a monotone approximation scheme for a class of fully nonlinear PDEs called G-equations. Such equations arise often in the characterization of G-distributed random variables in a sublinear expectation space. The proposed scheme is…
In this paper we investigate sublinear semigroups whose pointwise generators are given by non-local Hamilton-Jacobi-Bellman operators. Our main result provides a stochastic representation in terms of a family of sublinear (conditional)…
In this paper we present methods for the synthesis of polynomial invariants for probabilistic transition systems. Our approach is based on martingale theory. We construct invariants in the form of polynomials over program variables, which…
In this paper, we prove the existence and uniqueness of the conditional expectation of an event $A$ given a $\sigma$-algebra $\mathcal{G}$ as a linear problem in the Lebesgue spaces $L^{p}$ associated with a probability space through the…
Under the sublinear expectation $\mathbb{E}[\cdot]:=\sup_{\theta\in \Theta} E_\theta[\cdot]$ for a given set of linear expectations $\{E_\theta: \theta\in \Theta\}$, we establish a new law of large numbers and a new central limit theorem…
We study martingale inequalities from an analytic point of view and show that a general martingale inequality can be reduced to a pair of deterministic inequalities in a small number of variables. More precisely, the optimal bound in the…
We study the strong predictable representation property in filtrations initially enlarged with a random variable L. We prove that the strong predictable representation property can always be transferred to the enlarged filtration as long as…
We show that, under certain smoothness conditions, a Brownian martingale, when evaluated at a fixed time, can be represented via an exponential formula at a later time. The time-dependent generator of this exponential operator only depends…
We develop a stochastic calculus that makes it easy to capture a variety of predictable transformations of semimartingales such as changes of variables, stochastic integrals, and their compositions. The framework offers a unified treatment…
The statistical behaviour of a product of independent, identically distributed random matrices in $\text{SL}(2,{\mathbb R})$ is encoded in the generalised Lyapunov exponent $\Lambda$; this is a function whose value at the complex number $2…
We study a continuous-time financial market with continuous price processes under model uncertainty, modeled via a family $\mathcal{P}$ of possible physical measures. A robust notion ${\rm NA}_{1}(\mathcal{P})$ of no-arbitrage of the first…
The main object of investigation in this paper is a very general regression model in optional setting - when an observed process is an optional semimartingale depending on an unknown parameter. It is well-known that statistical data may…
We show that all local martingales with respect to the initially enlarged natural filtration of a vector of multivariate point processes can be weakly represented up to the minimum among the explosion times of the components. We also prove…