Related papers: A note on a paper by Wong and Heyde
This note gives an informal overview of the proof in our paper "Borel Conjecture and Dual Borel Conjecture", see arXiv:1105.0823.
Using results from our companion article [arXiv:1112.4824v2] on a Schauder approach to existence of solutions to a degenerate-parabolic partial differential equation, we solve three intertwined problems, motivated by probability theory and…
The aim of this paper is to study probabilistic versions of the degenerate Whitney numbers of the second kind and those of the degenerate Dowling polynomials, namely the probabilistic degenerate Whitney numbers of the second kind associated…
Comment on the paper "Novel Convective Instabilities in a Magnetic Fluid" by W. Luo, T. Du, and J. Huang, Phys. Rev. Lett., v.82, p.4134 (1999).
This note serves to provide additional details for the proof of Lemma 3.6 in our paper [Liu, Zhang and Zhang, Comm. Math. Sci., 3(2005), pp.201-218]. Moreover, we will also present an alternative, yet simpler, proof based on arguments in…
The paper deals with convergence of solutions of a class of stochastic differential equations driven by infinite-dimensional semimartingales. The infinite-dimensional semimartingales considered in the paper are Hilbert-space valued. The…
Shan Luo and Gengsheng Qin published the article "New non-parametric inferences for low-income proportions" Ann Inst Stat Math, 69, 599-626. In the note their approach is compared to Zieli\'nski 2009 approach.
A nonnegative martingale with initial value equal to one measures evidence against a probabilistic hypothesis. The inverse of its value at some stopping time can be interpreted as a Bayes factor. If we exaggerate the evidence by considering…
The purpose of this note is to explain that the combinatorial local log-concavity conjecture introduced by Gross, Mansour, Tucker and Wang (Eur. J. Comb. 52, 207-222, 2016) in fact follows from a result of Stanley (Eur. J. Comb. 32 (6),…
Barrieu, Rouault, and Yor [J. Appl. Probab. 41 (2004)] determined asymptotics for the logarithm of the distribution function of the Hartman-Watson distribution. We determine the asymptotics of the density. This refinement can be applied to…
In affine models, both the martingale property of stochastic exponentials and non-explosion of affine processes is characterized in terms of minimality of solutions to a system of generalized Riccati differential equations. This is the…
We explore the role that random arbitrage opportunities play in hedging financial derivatives. We extend the asymptotic pricing theory presented by Fedotov and Panayides [Stochastic arbitrage return and its implication for option pricing,…
A comment on the paper "Truncated Schwinger-Dyson Equations and Gauge Covariance in QED3", Few-Body Syst. 41, 185 (2007) [hep-ph/0511291].
Comment on X.-L. Wang et al., Phys. Rev. Lett. 105, 253602 (2010).
In this paper we introduce a variant of Burkholder's martingale transform associated with two martingales with respect to different filtrations. Even though the classical martingale techniques cannot be applied, we show that the discussed…
This review is the updated and enlarged version of a talk delivered by J. S. on the occasion of the 1982 meeting of Nobel laureates at Lindau, and of talks given by B.-G. E. at several West German universities and Max Planck institutes in…
This short note provides a new and simple proof of the convergence rate for Peng's law of large numbers under sublinear expectations, which improves the corresponding results in Song [15] and Fang et al. [3].
In this paper, we study a class of quadratic Backward Stochastic Differential Equations (BSDEs) which arises naturally when studying the problem of utility maximization with portfolio constraints. We first establish existence and uniqueness…
We give a collection of explicit sufficient conditions for the true martingale property of a wide class of exponentials of semimartingales. We express the conditions in terms of semimartingale characteristics. This turns out to be very…
This is a survey note of the author's observations on the discrete-time analogues of It\^o formulas.