Related papers: A Systematic Martingale Construction with Applicat…
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…
A permutiple is a natural number whose representation in some base, $b>1$, is an integer multiple of a number whose base-$b$ representation has the same collection of digits. Previous efforts have made progress in finding such numbers using…
We present a statistical framework to benchmark the performance of reconstruction algorithms for linear inverse problems, in particular, neural-network-based methods that require large quantities of training data. We generate synthetic…
The classic model of computable randomness considers martingales that take real or rational values. Recent work by Bienvenu et al. (2012) and Teutsch (2014) shows that fundamental features of the classic model change when the martingales…
Ordered pivotal sampling is one of the simplest algorithm to perform without-replacement unequal probability sampling. It has found uses in the context of longitudinal surveys and spatial sampling, and enables in particular a good spatial…
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes.…
A statistical mechanics argument relating partition functions to martingales is used to get a condition under which random geometric processes can describe interfaces in 2d statistical mechanics at criticality. Requiring multiple SLEs to…
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 paper gives a complete characterization of infinitely divisible semimartingales, i.e., semimartingales whose finite dimensional distributions are infinitely divisible. An explicit and essentially unique decomposition of such…
We obtain a condition for the $L^q$-convergence of martingales generated by random multiplicative cascade measures for $q>1$ without any self-similarity requirements on the cascades.
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…
An invariance principle for Az\'{e}ma martingales is presented as well as a new device to construct solutions of Emery's structure equations.
The paper is devoted to establishing some general exponential inequalities for supermartingales. The inequalities improve or generalize many exponential inequalities of Bennett, Freedman, de la Pe\~{n}a, Pinelis and van de Geer. Moreover,…
This paper develops techniques to study the number of descents in random permutations via martingales. We relax an assumption in the Berry-Esseen theorem of Bolthausen (1982) to extend the theorem's scope to martingale differences of…
In this paper we present methods for the synthesis of polynomial invariants for probabilistic transition systems. Our approach is based on martingale theory. We construct invariants in the form of polynomials over program variables, which…
Natural numbers can be divided in two non-overlapping infinite sets, primes and composites, with composites factorizing into primes. Despite their apparent simplicity, the elucidation of the architecture of natural numbers with primes as…
Let $X$ be the unique normal martingale such that $X_0=0$ and \[\mathrm{d}[X]_t=(1-t-X_{t-}) \mathrm{d}X_t+\mathrm{d}t\] and let $Y_t:=X_t+t$ for all $t\geq 0$; the semimartingale $Y$ arises in quantum probability, where it is the…
For self-normalized martingales with conditionally symmetric differences, de la Pe\~{n}a [A general class of exponential inequalities for martingales and ratios. Ann. Probab. 27, No.1, 537-564] established the Gaussian type exponential…
Consider $\mathbb{G}$ the progressive enlargement of a filtration $\mathbb{F}$ with a random time $\tau$. Assuming that, in $\mathbb{F}$, the martingale representation property holds, we examine conditions under which the martingale…
Transforms using random matrices have been found to have many applications. We are concerned with the projection of a signal onto Gaussian-distributed random orthogonal bases. We also would like to easily invert the process through…