Related papers: A Systematic Martingale Construction with Applicat…
We prove the uniqueness of the martingale problem associated to some degenerate operators. The key point is to exploit the strong parallel between the new technique introduced by Bass and Perkins (From Probability to Geometry, vol. in honor…
The $L^p$ maximal inequalities for martingales are one of the classical results in the theory of stochastic processes. Here we establish the sharp moderate maximal inequalities for one-dimensional diffusion processes, which include the…
In this paper, we consider testing the martingale difference hypothesis for high-dimensional time series. Our test is built on the sum of squares of the element-wise max-norm of the proposed matrix-valued nonlinear dependence measure at…
Metric independent $\sigma$ models are constructed. These are field theories which generalise the membrane idea to situations where the target space has fewer dimensions than the base manifold. Instead of reparametrisation invariance of the…
Confidence sequences, anytime p-values (called p-processes in this paper), and e-processes all enable sequential inference for composite and nonparametric classes of distributions at arbitrary stopping times. Examining the literature, one…
Hoeffding has shown that tail bounds on the distribution for sampling from a finite population with replacement also apply to the corresponding cases of sampling without replacement. (A special case of this result is that binomial tail…
Some natural inequalities related to rearrangement in matrix products can also be regarded as extensions of classical inequalities for sequences or integrals. In particular, we show matrix versions of Chebyshev and Kantorovich type…
We derive a new maximal inequality for stationary sequences under a martingale-type condition introduced by Maxwell and Woodroofe [Ann. Probab. 28 (2000) 713-724]. Then, we apply it to establish the Donsker invariance principle for this…
A new method of composition orthogonality is introduced. It is applied to generate new sequences of orthogonal polynomials and functions. In particular, classical orthogonal polynomials are interpreted in the sense of composition…
The integral representation theorem for martingales has been widely used in probability theory. In this work, we propose and prove a general representation theorem for a class of set-valued submartingales. We also extend the stochastic…
Invariance times are stopping times $\tau$ such that local martingales with respect to some reduced filtration and an equivalently changed probability measure, stopped before $\tau$ , are local martingales with respect to the original model…
A new technique for proving uniqueness of martingale problems is introduced. The method is illustrated in the context of elliptic diffusions in $R^d$.
We show that one can perform causal inference in a natural way for continuous-time scenarios using tools from stochastic analysis. This provides new alternatives to the positivity condition for inverse probability weighting. The probability…
We show the existence of superprocesses in a random medium with location dependent branching. Technically, we make use of a duality relation to establish the uniqueness of the martingale problem and to obtain the moment formulas.
We study the problem of sampling weighted partial triangulations of a convex polygon. We consider the distribution where each partial triangulation $\sigma$ is chosen with probability proportional to $\lambda^{|\sigma|}$, where $\lambda>0$…
In this article, we establish weighted strong and weak type inequalities for non-commutative square functions that naturally arise in the analysis of differences between ball averages and martingale sequences within the framework of group…
Arcade processes are a class of continuous stochastic processes that interpolate in a strong sense, i.e., omega by omega, between zeros at fixed pre-specified times. Their additive randomisation allows one to match any finite sequence of…
We construct meta-intransitive systems of independent random variables of any finite order from basic tuple of random variables which generalize intransitive dice. Under this construction, the equality of some linear functional is…
We introduce an algorithm that conjectures the structure of a permutation class in the form of a disjoint cover of "rules"; similar to generalized grid classes. The cover is usually easily verified by a human and translated into an…
By using the matrix formulation of the two-step approach to distributions of patterns in random sequences, recurrence and explicit formulas for the generating functions of successions in random permutations of arbitrary multisets are…