Related papers: Martingale representation property in progressivel…
We construct representation theory of Lie algebras with filtrations. In this framework a classification of irreducible representations is obtained and spectra of some reducible representations are found.
On a probability space $(\Omega,\mathcal{A},\mathbb{Q})$ we consider two filtrations $\mathbb{F}\subset \mathbb{G}$ and a $\mathbb{G}$ stopping time $\theta$ such that the $\mathbb{G}$ predictable processes coincide with $\mathbb{F}$…
We review the theory of martingales as applied to stochastic thermodynamics and stochastic processes in physics more generally.
Given a random sample from a random variable $T$ which is bounded from above, $T\le\tau$ a.s., we define processes that are positive supermartingales if $E(T)\ge\mu$. Such processes are called test martingales. Tests of the supermartingale…
Martingales constitute a basic tool in stochastic analysis; this paper considers their application to counting processes. We use this tool to revisit a renewal theorem and its extensions for various counting processes. We first consider a…
This paper introduces a martingale that characterizes two properties of evolving forecast distributions. Ideal forecasts of a future event behave as martingales, sequen- tially updating the forecast to leverage the available information as…
We propose a new sampling-based approach for approximate inference in filtering problems. Instead of approximating conditional distributions with a finite set of states, as done in particle filters, our approach approximates the…
The Fock transform recently introduced by the authors in a previous paper is applied to investigate convergence of generalized functional sequences of a discrete-time normal martingale $M$. A necessary and sufficient condition in terms of…
The paper studies thin times which are random times whose graph is contained in a countable union of the graphs of stopping times with respect to a reference filtration $\mathbb F$. We show that a generic random time can be decomposed into…
A stationary random sequence admits under some assumptions a representation as the sum of two others: one of them is a martingale difference sequence, and another is a so-called coboundary. Such a representation can be used for proving some…
We introduce a transform on the class of stochastic exponentials for d-dimensional Brownian motions. Each stochastic exponential generates another stochastic exponential under the transform. The new exponential process is often merely a…
We show that a discrete time martingale with respect to a filtration with atomless innovations is the (infinite) sum of martingales with independent increments. For the continuous time filtration coming from Brownian Motion filtration, we…
Starting from the seventies mathematicians face the question whether a non-negative local martingale is a true or a strict local martingale. In this article we answer this question from a semimartingale perspective. We connect the…
We illustrate a process that constructs martingales from raw material that arises naturally from the theory of sampling without replacement.The usefulness of the new martingales is illustrated by the development of maximal inequalities for…
Let $F$ be a $p$-adic field. Let $\mathcal{R}$ be the Grothendieck ring of complex smooth finite-length representations of the groups $\{GL_n(F)\}_{n=0}^\infty$ taken together, with multiplication defined in the sense of parabolic…
We describe an inductive machinery to prove various properties of representations of a category equipped with a generic shift functor. Specifically, we show that if a property (P) of representations of the category behaves well under the…
We describe the classes of functions $f=(f(x), x\in R)$, for which processes $f(W_t)-Ef(W_t)$ and $f(W_t)/Ef(W_t)$ are martingales. We apply these results to give a martingale characterization of general solutions of the quadratic and the…
The method of \emph{random integral representation}, that is, the method of representing a given probability measure as the probability distribution of some random integral, was quite successful in the past few decades. In this note we will…
We consider Markov processes with generator of the form $\gamma \mathcal{L}_{1} + \mathcal{L}_{0}$, in which $\mathcal{L}_{1}$ generates a so-called dominant process that converges at large times towards a random point in a fixed subset…
The martingale part in the semimartingale decomposition of a Brownian motion with respect to an enlargement of its filtration, is an anticipative mapping of the given Brownian motion. In analogy to optimal transport theory, we define causal…