Related papers: A note on a paper by Wong and Heyde
The problem of finding a martingale on a manifold with a fixed random terminal value can be solved by considering BSDEs with a generator with quadratic growth. We study here a generalization of these equations and we give uniqueness and…
Two contributions to the discussion of Fearnhead P. and D. Prangle (2012). Constructing summary statistics for approximate Bayesian computation: Semi-automatic approx- imate Bayesian computation, J. Roy. Statist. Soc. B, 74 (3).
The present paper is devoted to the study of backward stochastic differential equations with mean reflection formulated by Briand et al. [7]. We investigate the solvability of a generalized mean reflected BSDE, whose driver also depends on…
Lecture notes for the Yale Computer Science course CPSC 4690/5690 Randomized Algorithms. Suitable for use as a supplementary text for an introductory graduate or advanced undergraduate course on randomized algorithms. Discusses tools from…
This paper has been withdrawn by Wenji Deng (e-mail: [email protected]) for further modification at Oct. 12, 1998. {PACS: 03.75.Fi, 05.30.Jp.64.60.-i, 32.80.Pj}
As an alternative to the well-known methods of "chaining" and "bracketing" that have been developed in the study of random fields, a new method, which is based on a stochastic maximal inequality derived by using It\^o's formula and on a new…
In this paper we present new, short and elementary proofs of the famous projection and section theorems that are used in Stochastic Calculus.
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…
This note analyzes the physical basis of J.R. England's paper "Statistical physics of self-replication." [J. Chem. Phys. {\bf 139}, 121923(2013)]. We follow England's use of time-reversal symmetry but replace stochastic by deterministic…
Dedicated to the memory of Professor Tze Leung Lai, this paper introduces three multi-hypothesis sequential tests. These tests are derived from one-sided versions of the sequential probability ratio test and its modifications. They are…
We define Wiener integrals with respect to Yeh processes and study their properties. In particular, we obtain the martingale property of the associated stochastic processes and give a series expansion of Wiener integrals with respect to…
Stochastic dividend discount models (Hurley and Johnson, 1994 and 1998, Yao, 1997) present expressions for the expected value of stock prices when future dividends evolve according to some random scheme. In this paper we try to offer a more…
This survey aims to review two decades of progress on exponential functionals of (possibly killed) real-valued L\'evy processes. Since the publication of the seminal survey by Bertoin and Yor, substantial advances have been made in…
The expectation is an example of a descriptive statistic that is monotone with respect to stochastic dominance, and additive for sums of independent random variables. We provide a complete characterization of such statistics, and explore a…
In this article, we consider weighted weak type $(1,1)$ inequality for certain square function associated to differences of ball averages and martingale in the non-commutative setting. This establishes a weighted version of main result of…
We derive a discrete version of the stochastic Gronwall Lemma found in [Scheutzow, IDAQP, 2013]. The proof is based on a corresponding deterministic version of the discrete Gronwall Lemma and an inequality bounding the supremum in terms of…
These notes provide a short, focused introduction to modelling stochastic gene expression, including a derivation of the master equation, the recovery of deterministic dynamics, birth-and-death processes, and Langevin theory. The notes were…
Let $\tilde{N}\_{t}$ be a standard compensated Poisson process on $[0,1]$. We prove a new characterization of anticipating integrals of the Skorohod type with respect to $\tilde{N}$, and use it to obtain several counterparts to well…
A response to a letter to the editor by Schilling regarding Bartroff, Lorden, and Wang ("Optimal and fast confidence intervals for hypergeometric successes" 2022, arXiv:2109.05624)
Comment on ``Gibbs Sampling, Exponential Families, and Orthogonal Polynomials'' [arXiv:0808.3852]