Related papers: Almost Sure Invariance Principles via Martingale A…
We consider a field $f \circ T_1^{i_1} \circ \cdots \circ T_d^{i_d}$ where $T_1, \dots , T_d$ arecommuting transformations, one of them at least being ergodic. Considering the case of commuting filtrations, we are interested by giving…
Our first result is a stochastic sewing lemma with quantitative estimates for mild incremental processes, with which we study SPDEs driven by fractional Brownian motions in a random environment. We obtain uniform $L^p$-bounds. Our second…
This article presents various weak laws of large numbers for the so-called realised covariation of a bivariate stationary stochastic process which is not a semimartingale. More precisely, we consider two cases: Bivariate moving average…
In this paper, we show an approximation in law of the complex Brownian motion by processes constructed from a stochastic process with independent increments. We give sufficient conditions for the characteristic function of the process with…
The martingale part in the semimartingale decomposition of a Brownian motion with respect to an enlargement of its filtration, is an anticipative mapping of the given Brownian motion. In analogy to optimal transport theory, we define causal…
This work explores the use of a forward-backward martingale method together with a decoupling argument and entropic estimates between the conditional and averaged measures to prove a strong averaging principle for stochastic differential…
In this paper, we investigate the optimal control problem for systems driven by mixed fractional Brownian motion (including a fractional Brownian motion with Hurst parameter $H>1/2$ and the standard Brownian motion). By using Malliavin…
A novel approach is proposed to establish a sharp upper bound on the expected supremum of a separable martingale random field, serving as an alternative to classical universal chaining-based methods. The proposed approach begins by deriving…
We provide experimental evaluation of a number of known and new algorithms for approximate computation of Monroe's and Chamberlin-Courant's rules. Our experiments, conducted both on real-life preference-aggregation data and on synthetic…
In this note we (in particular) prove an almost sure invariance principle (ASIP) for non-stationary and uniformly bounded sequences of random variables which are exponentially fast $\phi$-mixing. The obtained rate is of order…
In this paper we show how to apply classical probabilistic tools for partial sums $\sum_{j=0}^{n-1}\varphi\circ\tau^j$ generated by a skew product $\tau$, built over a sufficiently well mixing base map and a random expanding dynamical…
We study approximation in the unit interval by rational numbers whose numerators are selected randomly with certain probabilities. Previous work showed that an analogue of Khintchine's Theorem holds in a similar random model and raised the…
This article investigates discrete-time approximations of stochastic integrals driven by semimartingales with jumps via weighted bounded mean oscillation (BMO) approach. This approach enables $L_p$-estimates, $p \in (2, \infty)$, for 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…
We present a complete characterization of the asymptotic behaviour of a correlated Bernoulli sequence { which depends on the parameter $\theta \in [0,1]$. A martingale theory based approach will allow} us to prove versions of the law of…
This work shows how exponential concentration inequalities for additive functionals of stochastic processes over a finite time interval can be derived from concentration inequalities for martingales. The approach is entirely probabilistic…
We show that the unique solution to a semilinear stochastic differential equation with almost periodic coefficients driven by a fractional Brownian motion is almost periodic in a sense related to random dynamical systems. This type of…
The main result is a counterpart of the theorem of Monroe [\emph{Ann. Probability} \textbf{6} (1978) 42--56] for a geometric Brownian motion: A process is equivalent to a time change of a geometric Brownian motion if and only if it is a…
Extending our own and others' earlier approaches to reasoning about termination of probabilistic programs, we propose and prove a new rule for termination with probability one, also known as "almost-certain termination". The rule uses both…
Given a random time, we characterize the set of martingales for which the stopping theorems still hold. We also investigate how the stopping theorems are modified when we consider arbitrary random times. To this end, we introduce some…