Related papers: A note on a paper by Wong and Heyde

In this notice, we revisit the recent work [1] of Jung Yoog Kang and Tai Sup about special polynomials with exponential distribution in order to state some improvements and get new proofs for results therein.

The article is an reply to comments on the paper [H. Watanabe, S. Yukawa, N. Ito, and C.-K. Hu, Phys. Rev. Lett. vol. 93, 19601 (2004)] by G. Pruessner and N. R. Moloney published in [Phys. Rev. Lett. vo. 95, 258901 (2005)]. In this reply,…

Using properties of backward stochastic differential equations we give new proofs of some well known results on BMO martingales and improve some estimates of BMO norms.

I briefly discuss the Martingale Posteriors Distributions paper by Edwing Hong, Chris Holmes and Stephen G. Walker

We give sufficient criteria for the Dol\'eans-Dade exponential of a stochastic integral with respect to a counting process local martingale to be a true martingale. The criteria are adapted particularly to the case of counting processes and…

We consider stochastic versions of the Cauchy exponential functional equation and give a martingale characterization of the general solution.

We review the theory of martingales as applied to stochastic thermodynamics and stochastic processes in physics more generally.

This paper has been withdrawn by the author as it has been divided into two separate papers.

Lions and Musiela (2007) give sufficient conditions to verify when a stochastic exponential of a continuous local martingale is a martingale or a uniformly integrable martingale. Blei and Engelbert (2009) and Mijatovi\'c and Urusov (2012c)…

In a preceding article, we have studied a generalization of the problem of finding a martingale on a manifold whose terminal value is known. This article completes the results obtained in the first article by providing uniqueness and…

Preliminary version of Chapter 2 in the book "Encyclopedia of Special functions: The Askey-Bateman Project, Vol. 2: Multivariate special functions", T. H. Koornwinder and J. V. Stokman (eds.), Cambridge University Press, 2021.

Stochastic exponentials are defined for semimartingales on stochastic intervals, and stochastic logarithms are defined for semimartingales, up to the first time the semimartingale hits zero continuously. In the case of (nonnegative) local…

This paper considers the nonlinear theory of G-martingales as introduced by Peng. A martingale representation theorem for this theory is proved by using the techniques and the results established in an accompanying paper for the second…

In this note we improve the parameter $q$ that appears in Theorem 1 obtained by the author in [Math. Ineq. \& appl., Vol 19 (3) (2016), 1013-1030].

In this article we study the existence and strong consistency of GEE estimators, when the generalized estimating functions are martingales with random coefficients. Furthermore, we characterize estimating functions which are asymptotically…

In this discussion note, we respond to the fascinating paper "Martingale Posterior Distributions" by E. Fong, C. Holmes, and S. G. Walker with a couple of comments. On the basis of previous research, a theorem is stated regarding the…

The aim of this short note is to give counterexamples to two results by D. Y. Gao [5, Th. 16], [4, Th. 2] and to improve a related result by S.-C. Fang, D. Y. Gao, R.-L. Sheu and S.-Y. Wu [1, Th. 3].

For a real Borel measurable function b, which satisfies certain integrability conditions, it is possible to define a stochastic integral of the process b(Y) with respect to a Brownian motion W, where Y is a diffusion driven by W. It is well…

In this paper non-asymptotic exponential estimates are derived for the tail distribution of polynomial martingale differences in terms unconditional tails distributions of summands. Applications are considered in the theory of polynomials…

With regard to the recently published article, ``Y.-Q. Wang, et al., Physical mechanism of equiprobable exclusion network with heterogeneous interactions in phase transitions: Analytical analyses of steady state evolving from initial state,…