Related papers: Martingale representation property in progressivel…
In this paper, we investigate the transformation laws of the Wigner function under changes of reference frames. By employing the coordinate transformation of the wave functions, we derive an integral representation for the transformed…
By the classical Martingale Representation Theorem, replication of random vectors can be achieved via stochastic integrals or solutions of stochastic differential equations. We introduce a new approach to replication of random vectors via…
We present new properties for the Fractional Poisson process and the Fractional Poisson field on the plane. A martingale characterization for Fractional Poisson processes is given. We extend this result to Fractional Poisson fields,…
For a real Borel measurable function b, which satisfies certain integrability conditions, it is possible to define a stochastic integral of the process b(Y) with respect to a Brownian motion W, where Y is a diffusion driven by W. It is well…
We show that many important convex matrix functions can be represented as the partial infimal projection of the generalized matrix fractional (GMF) and a relatively simple convex function. This representation provides conditions under which…
Filtered probability spaces (called "filtrations" for short) are shown to satisfy such a topological zero-one law: for every property of filtrations, either the property holds for almost all filtrations, or its negation does. In particular,…
The purpose of the present work is twofold. First, we develop the theory of general self-similar growth-fragmentation processes by focusing on martingales which appear naturally in this setting and by recasting classical results for…
Using the character expansion method, we generalize several well-known integrals over the unitary group to the case where general complex matrices appear in the integrand. These integrals are of interest in the theory of random matrices and…
A variant of Phragm\'en's method for proportional representation via approval voting is briefly explored. Instead of D'Hondt's rule, this variant generalizes Sainte-Lagu\"e's rule.
A geometric reformulation of the martingale problem associated with a set of diffusion processes is proposed. This formulation, based on second order geometry and Ito integration on manifolds, allows us to give a natural and effective…
We discuss the martingales in relevance with $G$-strongly quasi-invariant states on a $C^*$-algebra $\mathcal A$, where $G$ is a separable locally compact group of $*$-automorphisms of $\mathcal A$. In the von Neumann algebra $\mathfrak A$…
We show that representations of the Thompson group $F$ in the automorphisms of a noncommutative probability space yield a large class of bilateral stationary noncommutative Markov processes. As a partial converse, bilateral stationary…
It is shown that a light beam in free space is representable by an integral over a vectorial angular spectrum that is expressed in terms of an extension matrix, which describes the vectorial nature of the beam. A symmetry axis of the…
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…
In this paper, the classical problem of the probabilistic characterization of a random variable is re-examined. A random variable is usually described by the probability density function (PDF) or by its Fourier transform, namely the…
Inference for partially observed Markov process models has been a longstanding methodological challenge with many scientific and engineering applications. Iterated filtering algorithms maximize the likelihood function for partially observed…
We extend the close interplay between continued fractions, orthogonal polynomials, and Gaussian quadrature rules to several variables in a special but natural setting which we characterize in terms of moment sequences. The crucial condition…
The objective of this paper is to derive a representation of symmetric G-martingales as stochastic integrals with respect to the G-Brownian motion. For this end, we first study some extensions of stochastic calculus with respect to…
We give concentration bounds for martingales that are uniform over finite times and extend classical Hoeffding and Bernstein inequalities. We also demonstrate our concentration bounds to be optimal with a matching anti-concentration…
We provide a new proof for regularity of affine processes on general state spaces by methods from the theory of Markovian semimartingales. On the way to this result we also show that the definition of an affine process, namely as…