Related papers: Martingale representation property in progressivel…
We study general properties for the family of stochastic processes with polynomial regression property, that is that every conditional moment of the process is a polynomial. It turns out that then there exists a family of polynomial…
Consider a finite field $\mathbb F_q$, $q=p^d$, where $p$ is an odd number. Let $M=(E,r)$ be a regular matroid; denote by ${\mathcal B}$ the family of its bases, $\bar s(M;\alpha)=\sum_{B\in {\mathcal B}}\prod_{e\not\in B} \alpha_e$, where…
Generalization of the Lambalgen's theorem is studied with the notion of Hippocratic (blind) randomness without assuming computability of conditional probabilities. In [Bauwence 2014], a counter-example for the generalization of Lambalgen's…
The ability to represent complex high dimensional probability distributions in a compact form is one of the key insights in the field of graphical models. Factored representations are ubiquitous in machine learning and lead to major…
It is a working version of a lecture on the theory of enlargement of filtration, given at the African Mathematic School in Marrakech, October 19-23, 2015.
We explore various combinatorial problems mostly borrowed from physics, that share the property of being continuously or discretely integrable, a feature that guarantees the existence of conservation laws that often make the problems…
The objective of this paper is to establish the decomposition theorem for supermartingales under the $G$-framework. We first introduce a $g$-nonlinear expectation via a kind of $G$-BSDE and the associated supermartingales. We have shown…
Let $L=\Delta^{\alpha/2}+ b\cdot\nabla$ with $\alpha\in(1,2)$. We prove the Martin representation and the Relative Fatou Theorem for non-negative singular $L$-harmonic functions on ${\mathcal C}^{1,1}$ bounded open sets.
We develop a stochastic calculus that makes it easy to capture a variety of predictable transformations of semimartingales such as changes of variables, stochastic integrals, and their compositions. The framework offers a unified treatment…
In this paper, we develop necessary and sufficient conditions for the validity of a martingale approximation for the partial sums of a stationary process in terms of the maximum of consecutive errors. Such an approximation is useful for…
We investigate convergence of martingales adapted to a given filtration of finite $\sigma$-algebras. To any such filtration we associate a canonical metrizable compact space $K$ such that martingales adapted to the filtration can be…
Two aspects of noncolliding diffusion processes have been extensively studied. One of them is the fact that they are realized as harmonic Doob transforms of absorbing particle systems in the Weyl chambers. Another aspect is integrability in…
This note investigates core properties of martingales, emphasizing the measure-theoretic formulation of conditional expectation, the martingale transform, and the upcrossing lemma. These results lead to the Martingale Convergence Theorem,…
The success of pre-trained contextualized representations has prompted researchers to analyze them for the presence of linguistic information. Indeed, it is natural to assume that these pre-trained representations do encode some level of…
Stochastic filtering refers to estimating the probability distribution of the latent stochastic process conditioned on the observed measurements in time. In this paper, we introduce a new class of convergent filters that represent the…
In this article, it is proved that for any cumulative distribution function with compact support and a specified t > 0, there exists a diffusion martingale which has this law at time t. The article proves existence; no claims are made about…
Let $K$ be an unramified extension of $\mathbb{Q}_p$ and $\rho\colon G_K \rightarrow \operatorname{GL}_n(\overline{\mathbb{Z}}_p)$ a crystalline representation. If the Hodge--Tate weights of $\rho$ differ by at most $p$ then we show that…
Representation learning has been a critical topic in machine learning. In Click-through Rate Prediction, most features are represented as embedding vectors and learned simultaneously with other parameters in the model. With the development…
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)…
A single jump filtration $({\mathscr{F}}_t)_{t\in \mathbb{R}_+}$ generated by a random variable $\gamma$ with values in $\overline{\mathbb{R}}_+$ on a probability space $(\Omega ,{\mathscr{F}},\mathsf{P})$ is defined as follows: a set $A\in…