Related papers: Sublinear Expectations and Martingales in discrete…
We derive inequalities for time-discrete and time-continuous martingales that are similar to the well-known Burkholder inequalities. For the time-discrete case arbitrary martingales in $L^p(\Omega)$ are treated, whereas in the…
The stochastic interpolant framework offers a powerful approach for constructing generative models based on ordinary differential equations (ODEs) or stochastic differential equations (SDEs) to transform arbitrary data distributions.…
We study the weak approximation of the second-order backward SDEs (2BSDEs), when the continuous driving martingales are approximated by discrete time martingales. We establish a convergence result for a class of 2BSDEs, using both…
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…
In this paper, we introduce a new type of backward stochastic differential equations (BSDEs), called conditional expectation BSDEs, whose drivers depend not only on the value of the solutions but also on their conditional expectations with…
We introduce a new basic model for independent and identical distributed sequence on the canonical space $(\mathbb{R}^\mathbb{N},\mathcal{B}(\mathbb{R}^\mathbb{N}))$ via probability kernels with model uncertainty. Thanks to the well-defined…
Partial differential equations with discrete (concentrated) state-dependent delays are studied. The existence and uniqueness of solutions with initial data from a wider linear space is proven first and then a subset of the space of…
{Consider a c\`adl\`ag local martingale $M$ with square brackets $[M]$. In this paper, we provide upper and lower bounds for expectations of the type ${\mathbb E} [M]^{q/2}_{\tau}$, for any stopping time $\tau$ and $q\ge 2$, in terms of…
Let $\{X_n\}$ be a stationary and ergodic time series taking values from a finite or countably infinite set ${\cal X}$. Assume that the distribution of the process is otherwise unknown. We propose a sequence of stopping times $\lambda_n$…
We study the problem of bounding path-dependent expectations (within any finite time horizon $d$) over the class of discrete-time martingales whose marginal distributions lie within a prescribed tolerance of a given collection of benchmark…
In this paper we consider a sequence of random variables with mean uncertainty in a sublinear expectation space. Without the hypothesis of identical distributions, we show a new central limit theorem under the sublinear expectations.
The sub-linear expectation space is a nonlinear expectation space having advantages of modelling the uncertainty of probability and distribution. In the sub-linear expectation space, we use capacity and sub-linear expectation to replace…
We present a new deep primal-dual backward stochastic differential equation framework based on stopping time iteration to solve optimal stopping problems. A novel loss function is proposed to learn the conditional expectation, which…
We generalise the martingale-coboundary representation of discrete time stochastic processes to the non-stationary case and to random variables in Orlicz spaces. Related limit theorems (CLT, invariance principle, log log law, probabilities…
This survey addresses sampling discretization and its connections with other areas of mathematics. The survey concentrates on sampling discretization of norms of elements of finite-dimensional subspaces. We present here known results on…
In this paper, we discuss several concepts of the modern theory of discrete integrable systems, including: - Time discretization based on the notion of B\"acklund transformation; - Symplectic realizations of multi-Hamiltonian structures; -…
In this paper, we present a general framework for solving stochastic functional differential equations in infinite dimensions in the sense of martingale solutions, which can be applied to a large class of SPDE with finite delays, e.g.…
In this paper, we present some multi-dimensional central limit theorems and laws of large numbers under sublinear expectations, which extend some previous results.
Partial differential equations with discrete (concentrated) state-dependent delays in the space of continuous functions are investigated. In general, the corresponding initial value problem is not well posed, so we find an additional…
Let $(S_0,S_1,...)$ be a supermartingale relative to a nondecreasing sequence of $\sigma$-algebras $H_{\le0},H_{\le1},...$, with $S_0\le0$ almost surely (a.s.) and differences $X_i:=S_i-S_{i-1}$. Suppose that $X_i\le d$ and $\mathsf…