Related papers: A note on a paper by Wong and Heyde
This note extends some results of Nishiyama [Ann. Probab. 28 (2000) 685--712]. A maximal inequality for stochastic integrals with respect to integer-valued random measures which may have infinitely many jumps on compact time intervals is…
We consider local martingales which are standard or stochastic exponentials M of one component X of a multivariate affine process in the sense of Duffie, Filipovic and Schachermayer (2003). By completing their characterization of…
Singh et al (20009) introduced a family of exponential ratio and product type estimators in stratified random sampling. Under stratified random sampling without replacement scheme, the expressions of bias and mean square error (MSE) of…
We present a direct derivation of the theorem of M. Maxwell and M. Woodroofe (Ann. Probab. 28 (2000) 713-724), on martingale approximation of additive functionals of stationary Markov processes, from the non-reversible version of the…
A number of authors have recently pointed out inconsistencies of results obtained with the Huang-Yang multipolar pseudo-potential for low-energy scattering [K. Huang and K. C. Yang, Phys. Rev. A, v 105, 767 (1957); later revised in K.…
This note is a discussion of the paper "Confidence distribution" by Min-ge Xie and Kesar Singh, to appear in the International Statistical Review.
In this paper, we study the connections between three concepts - the reverse H\"older inequality for matrix-valued martingales, the well-posedness of linear BSDEs with unbounded coefficients, and the well-posedness of quadratic BSDE…
In a recent paper, Wang. et al. (2009) claim that Tsallis' nonadditivity of q-nonextensive statistical mechanics (Gell-Mann and Tsallis 2004, Tsallis 2009) is mathematically inconsistent and hence one should carefully review Tsallis' ideas…
The purpose of these notes is to distribute, mostly without proofs, fundamental definitions and results concerning the theory of semimartingales and stochastic integration. The material serves as a foundational guide for those interested in…
In this paper non-asymptotic exponential estimates are derived for tail of maximum martingale distribution by naturally norming in the spirit of the classical Law of Iterated Logarithm. Key words: Martingales, exponential estimations,…
This paper provides a new version of the condition of Di Nunno et al. (2003), Ankirchner and Imkeller (2005) and Biagini and \{O}ksendal (2005) ensuring the semimartingale property for a large class of continuous stochastic processes.…
We present a new approach to noncommutative stochastic calculus that is, like the classical theory, based primarily on the martingale property. Using this approach, we introduce a general theory of stochastic integration and quadratic…
Learning how to figure out sharp $L^p$-estimates of nonlinear differential expressions, to prove and use them, is a fundamental part of the development of PDEs and Geometric Function Theory (GFT). Our survey presents, among what is known to…
The matrix analogues of Laplace's method and Watson's lemma are derived via the approach described by Williams and Wong [J. Approx. Theory 24 (4) (1974), 378-384]. Some examples are also given.
In this short note, we give an affirmative answer to Wu's conjecture on practical numbers, which was posed in [X.-H. Wu, {\it Special forms and the distribution of practical numbers}, Acta Math. Hungar., {\bf 160}(2020), 405-411].
This is a remark on a recent post by P. Denton, S. Parke, T. Tao, X. Zhang, Eigenvectors from eigenvalues, arXiv:1908.03795v1
In this paper, we introduce Hardy spaces with variable exponents defined on a probability space and develop the martingale theory of variable Hardy spaces. We prove the weak type and strong type inequalities on Doob's maximal operator and…
A note on "Bayesian nonparametric estimators derived from conditional Gibbs structures" by Antonio Lijoi, Igor Pr\"{u}nster, Stephen G. Walker [arXiv:0808.2863].
We introduce new quantile estimators with adaptive importance sampling. The adaptive estimators are based on weighted samples that are neither independent nor identically distributed. Using a new law of iterated logarithm for martingales,…
The aim of this paper is to introduce a new formalism for the deterministic analysis associated with backward stochastic differential equations driven by general c{\`a}dl{\`a}g martingales. When the martingale is a standard Brownian motion,…