Related papers: A Systematic Martingale Construction with Applicat…

This work is about a new class of martingales: the vertical martingales. We construct the vertical martingale for smooth submersions and we develop a stochastic calculus for one. Furthermore, we gives a stochastic characterization for…

Consider the fundamental problem of drawing a simple random sample of size k without replacement from [n] := {1, . . . , n}. Although a number of classical algorithms exist for this problem, we construct algorithms that are even simpler,…

It is well-known that well-posedness of a martingale problem in the class of continuous (or r.c.l.l.) solutions enables one to construct the associated transition probability functions. We extend this result to the case when the martingale…

Freedman's inequality is a supermartingale counterpart to Bennett's inequality. This result shows that the tail probabilities of a supermartingale is controlled by the quadratic characteristic and a uniform upper bound for the…

We establish noncommutative analogs of some well-known large deviation inequalities for noncommutative random variables. Firstly, for the noncommutative independent case, we characterize the uniformly exponential integrability of random…

A proof of the continuous martingale convergence theorem is provided. It relies on a classical martingale inequality and the almost sure convergence of a uniformly bounded non-negative super-martingale, after a truncation argument.

To tackle massive data, subsampling is a practical approach to select the more informative data points. However, when responses are expensive to measure, developing efficient subsampling schemes is challenging, and an optimal sampling…

In this note we introduce a new kind of augmentation of filtrations along a sequence of stopping times. This augmentation is suitable for the construction of new probability measures associated to a positive strict local martingale as done…

The density hypothesis on random times becomes now a standard in modeling of risks. One of the basic reasons to introduce the density hypothesis is the desire to have a computable credit risk model. However, recent work shows that merely an…

We develop an algorithm for sampling from the unitary invariant random matrix ensembles. The algorithm is based on the representation of their eigenvalues as a determinantal point process whose kernel is given in terms of orthogonal…

We introduce a theory of probability in $\lambda$-rings designed to efficiently describe random variables valued in multisets of complex numbers, varieties over a field, or other similar enriched settings. A key role is played by the…

This paper explores hypothesis testing for the parametric forms of the mean and variance functions in regression models under diverging-dimension settings. To mitigate the curse of dimensionality, we introduce weighted residual empirical…

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.…

There is a growing need for the ability to analyse interval-valued data. However, existing descriptive frameworks to achieve this ignore the process by which interval-valued data are typically constructed; namely by the aggregation of…

In this short note we collect together known results on the use of Random Matrix Theory in lattice statistical mechanics. The purpose here is two fold. Firstly the RMT analysis provides an intrinsic characterization of integrability, and…

The problem of optimising functions with intractable gradients frequently arise in machine learning and statistics, ranging from maximum marginal likelihood estimation procedures to fine-tuning of generative models. Stochastic approximation…

An alternative class of the Lagrangian called the multiplicative form is suc- cessfully derived for a system with one degree of freedom for both non-relativistic and relativistic cases. This new Lagrangian can be considered as a…

In the paper we study sharp maximal inequalities for martingales and non-negative submartingales: if $f$, $g$ are martingales satisfying \[|\mathrm{d}g_n|\leq|\mathrm{d}f_n|,\qquad n=0,1,2,...,\] almost surely, then…

We prove an elementary yet useful inequality bounding the maximal value of certain linear programs. This leads directly to a bound on the martingale difference for arbitrarily dependent random variables, providing a generalization of some…

We show that many infinite classes of permutations over finite fields can be constructed via translators with a large choice of parameters. We first charac- terize some functions having linear translators, based on which several families of…