Related papers: Finitely additive equivalent martingale measures

For \Gamma a countable amenable group consider those actions of \Gamma as measure-preserving transformations of a standard probability space, written as {T_\gamma}_{\gamma \in \Gamma} acting on (X,{\cal F}, \mu). We say…

There is a common theme to some research questions in additive combinatorics and noise stability. Both study the following basic question: Let $\mathcal{P}$ be a probability distribution over a space $\Omega^\ell$ with all $\ell$ marginals…

Let $X$ be a Banach space with RNP, $(\vO,\vS,\mu)$ be a complete probability space and $\vG:\vO\to{cb(X)}$ (nonempty, closed convex and bounded subsets of $X$) be a multifunction. Assume that $\vX\subset\vS$ is a $\sigma$-algebra and the…

Let $X$ be a progressively measurable, almost surely right-continuous stochastic process such that $X_\tau \in L^1$ and $E[X_\tau] = E[X_0]$ for each finite stopping time $\tau$. In 2006, Cherny showed that $X$ is then a uniformly…

A natural measure in the space of density matrices describing N-dimensional quantum systems is proposed. We study the probability P that a quantum state chosen randomly with respect to the natural measure is not entangled (is separable). We…

An infinite log-gas formalism, due to Dyson, and independently Fogler and Shklovskii, is applied to the computation of conditioned gap probabilities at the hard and soft edges of random matrix $\beta$-ensembles. The conditioning is that…

Let $L$ be a multidimensional L\'evy process under $P$ in its own filtration. The $f^q$-minimal martingale measure $Q_q$ is defined as that equivalent local martingale measure for $\mathcal {E}(L)$ which minimizes the $f^q$-divergence…

The following conditions are necessary and sufficient for an arbitrary c\`adl\`ag local martingale to be a uniformly integrable martingale: (i) The weak tail of the supremum of its modulus is zero; (ii) its jumps at the first-exit times…

We solve the question of the existence of a Poisson-Pinsker factor for conservative ergodic infinite measure preserving action of a countable amenable group by proving the following dichotomy: either it has totally positive Poisson entropy…

In this paper we provide a sufficient condition for a Furstenberg measure generated by a finitely supported measure to be absolutely continuous. Using this, we give a very broad class of examples of absolutely continuous Furstenberg…

In finite mixtures of location-scale distributions, if there is no constraint or penalty on the parameters, then the maximum likelihood estimator does not exist because the likelihood is unbounded. To avoid this problem, we consider a…

The aim of this paper is to show that the concept of probability is best understood by dividing this concept into two different types of probability, namely physical probability and analogical probability. Loosely speaking, a physical…

In this manuscript, we consider a finite multivariate nonparametric mixture model where the dependence between the marginal densities is modeled using the copula device. Pseudo EM stochastic algorithms were recently proposed to estimate all…

In this paper, we consider general Markov chains (MC), specified by the transition probability (kernel) $ P (x, E) $, finitely additive in the second argument. Such MC are studied within the framework of the functional operator treatment.…

In this paper, we investigate several types of low complexity of finite partitions, including precompactness, zero maximal pattern entropy, bounded mean complexity and mean equicontinuity. We first show that a collection of finite…

Let p be a prime number. The p-adic case of the Mixed Littlewood Conjecture states that liminf_{q \to \infty} q . |q|_p . ||q x|| = 0 for all real numbers x. We show that with the additional factor of log q.loglog q the statement is false.…

A real number \alpha is called recursively enumerable if there exists a computable, increasing sequence of rational numbers which converges to \alpha. The randomness of a recursively enumerable real \alpha can be characterized in various…

We study maximum likelihood estimation in log-linear models under conditional Poisson sampling schemes. We derive necessary and sufficient conditions for existence of the maximum likelihood estimator (MLE) of the model parameters and…

We obtain a condition for the $L^q$-convergence of martingales generated by random multiplicative cascade measures for $q>1$ without any self-similarity requirements on the cascades.

We give conditions ensuring that the Fatou set and the complement of the fast escaping set of an exponential polynomial $f$ have finite Lebesgue measure. Essentially, these conditions are designed such that $|f(z)|\ge\exp(|z|^\alpha)$ for…