Related papers: Structure of infinitely divisible semimartingales

Some classes of increment martingales, and the corresponding localized classes, are studied. An increment martingale is indexed by the real line and its increment processes are martingales. We focus primarily on the behavior as time goes to…

This paper presents the asymptotic theory for nondegenerate $U$-statistics of high frequency observations of continuous It\^{o} semimartingales. We prove uniform convergence in probability and show a functional stable central limit theorem…

This article investigates structural connections between unrefinable partitions into distinct parts and numerical semigroups. By analysing the hooksets of Young diagrams associated with numerical sets, new criteria for recognising…

Various kinds of infinitary operations satisfying forms of associativity have been considered in the literature by various authors, including A. Tarski, C. Karp, J. H. Conway, D. Krob, N. Bedon, and C. Rispal. Applications include the…

This paper is devoted to the analysis of the finite-dimensional distributions and asymptotic behavior of extremal Markov processes connected to the Kendall convolution. In particular, based on its stochastic representation, we provide…

In this paper we introduce a new type of norms for semimartingales, under both linear and nonlinear expectations. Our norm is defined in the spirit of quasimartingales, and it characterizes square integrable semimartingales. This work is…

We develop a stochastic model for Lagrangian velocity as it is observed in experimental and numerical fully developed turbulent flows. We define it as the unique statistically stationary solution of a causal dynamics, given by a stochastic…

Stochastic integrals are defined with respect to a collection $P = (P_i; \, i \in I)$ of continuous semimartingales, imposing no assumptions on the index set $I$ and the subspace of $\mathbb{R}^I$ where $P$ takes values. The integrals are…

In this paper we study a family of nonlinear (conditional) expectations that can be understood as a continuous semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a set-valued…

We prove a robust super-hedging duality result for path-dependent options on assets with jumps, in a continuous time setting. It requires that the collection of martingale measures is rich enough and that the payoff function satisfies some…

This paper describes a construction of supermartingales realized as automatic functions. A capital of supermartingales is represented using automatic capital groups~(ACG). Properties of these automatic supermartingales are then studied.…

We treat the class of universal Markov processes on the d-dimensional Euklidean space which do not depend on random. For these, as well as for several subclasses, we prove criteria whether a function f, defined on the positive half-line,…

This paper introduces test and estimation procedures for abrupt and gradual changes in the entire jump behaviour of a discretely observed Ito semimartingale. In contrast to existing work we analyse jumps of arbitrary size which are not…

We define and prove existence of fractional $P(\phi)_1$-processes as random processes generated by fractional Schr\"odinger semigroups with Kato-decomposable potentials. Also, we show that the measure of such a process is a Gibbs measure…

We propose two nonparametric tests for investigating the pathwise properties of a signal modeled as the sum of a L\'{e}vy process and a Brownian semimartingale. Using a nonparametric threshold estimator for the continuous component of the…

We study maximal sublattices of finite semidistributive lattices via their complements. We focus on the conjecture that such complements are always intervals, which is known to be true for bounded lattices. Since the class of…

Determinantal and permanental processes are point processes with a correlation function given by a determinant or a permanent. Their atoms exhibit mutual attraction of repulsion, thus these processes are very far from the uncorrelated…

In this paper, we use a simple discrete dynamical model to study integer partitions and their lattice. The set of reachable configurations of the model, with the order induced by the transition rule defined on it, is the lattice of all…

We show that a noncommutative dynamical system of the type that occurs in quantum theory can often be associated with a dynamical principle; that is, an infinitesimal structure that completely determines the dynamics. The nature of these…

It is shown that piecewise deterministic dissipative quantum dynamics in a vector space with indefinite metric can lead to well defined, positive probabilities. The case of quantum jumps on the Poincar'e disk is studied in details,…