Related papers: The Martingale Representation Theorem and Clark-Oc…
We study Doob's martingale convergence theorem for computable continuous time martingales on Brownian motion, in the context of algorithmic randomness. A characterization of the class of sample points for which the theorem holds is given.…
We propose a new weak convergence theorem for martingales, under gentler conditions than the usual convergence in probability of the sequence of associated quadratic variations. Its proof requires the combined use of Skorohod's…
We develop the mathematics of a filtration shrinkage model that has recently been considered in the credit risk modeling literature. Given a finite collection of points $x_1<...<x_N$ in $\mathbb{R}$, the region indicator function $R(x)$…
The main objective of this paper is to extend Morse-Forman theory to vector-valued functions. This is mostly motivated by the need to develop new tools and methods to compute multiparameter persistence. To generalize the theory, in addition…
We prove a martingale analog of van Schaftingen's theorem and give sharp estimates on the lower Hausdorff dimension of measures in martingale shift invariant spaces. We also provide martingale analogs of trace theorems for Sobolev…
We develop the theory of momentum map for the Maxwell-Lorentz equations with spinning extended charged particle. This theory is indispensable for the study of long-time behaviour and radiation of the solitons of this system. The development…
Some general connections between martingales and character ratios of finite groups are developed. As an application we sharpen the convergence rate in a central limit theorem for the character ratio of a random representation of the…
We develop a martingale approximation approach to studying the limiting behavior of quadratic forms of Markov chains. We use the technique to examine the asymptotic behavior of lag-window estimators in time series and we apply the results…
The central limit theorem of martingales is the fundamental tool for studying the convergence of stochastic processes, especially stochastic integrals and differential equations. In this paper, general central limit theorems and functional…
We use the abstract method of (local) martingale problems in order to give criteria for convergence of stochastic processes. Extending previous notions, the formulation we use is neither restricted to Markov processes (or semimartingales),…
We develop quaternionic analysis using as a guiding principle representation theory of various real forms of the conformal group. We first review the Cauchy-Fueter and Poisson formulas and explain their representation theoretic meaning. The…
Given a general It\^o semimartingale, its Markovian projection is an It\^o process, with Markovian differential characteristics, that matches the one-dimensional marginal laws of the original process. We construct Markovian projections for…
It is well known that upward conditioned Brownian motion is a three-dimensional Bessel process, and that a downward conditioned Bessel process is a Brownian motion. We give a simple proof for this result, which generalizes to any continuous…
Given the univariate marginals of a real-valued, continuous-time martingale, (respectively, a family of measures parameterised by $t \in [0,T]$ which is increasing in convex order, or a double continuum of call prices) we construct a family…
We generalize Baker-Bowler's theory of matroids over tracts to orthogonal matroids, define orthogonal matroids with coefficients in tracts in terms of Wick functions, orthogonal signatures, circuit sets, and orthogonal vector sets, and…
Hedging strategies in bond markets are computed by martingale representation and the Clark-Ocone formula under the choice of a suitable of numeraire, in a model driven by the dynamics of bond prices. Applications are given to the hedging of…
As an alternative to the well-known methods of "chaining" and "bracketing" that have been developed in the study of random fields, a new method, which is based on a stochastic maximal inequality derived by using the Taylor expansion, is…
We consider a class of semi-Markov processes (SMP) such that the embedded discrete time Markov chain may be non-homogeneous. The corresponding augmented processes are represented as semi-martingales using stochastic integral equation…
In a number of recent papers, the idea of generalized boundaries has found use in fractal and in multiresolution analysis; many of the papers having a focus on specific examples. Parallel with this new insight, and motivated by quantum…
Simulating curvature due to gravity through warped surfaces is a common visualization aid in Physics education. We reprise a recent experiment exploring orbital trajectories on a precise 3D-printed surface to mimic Newtonian gravity, and…