Related papers: The Martingale Representation Theorem and Clark-Oc…
We present a construction of the basic operators of stochastic analysis (gradient and divergence) for a class of discrete-time normal martingales called obtuse random walks. The approach is based on the chaos representation property and…
We prove existence of boundary limits of ratios of positive harmonic functions for a wide class of Markov processes with jumps and irregular domains, in the context of general metric measure spaces. As a corollary, we prove uniqueness of…
We review some recent results on connections between Brownian motion, Whittaker functions, random matrices and representation theory.
We study the thermodynamic formalism of locally compact Markov shifts with transient potential functions. In particular, we show that the Ruelle operator admits positive continuous eigenfunctions and positive Radon eigenmeasures in forms of…
In this paper, we utilize the framework of Markov processes to attain a more probabilistic perspective on the theory of transfer operators. In doing so, we establish a functional central limit theorem (FLCT) for an $O(N)$ model associated…
We give a proof of a Martingale Representation Theorem using the methods of nonstandard analysis.
In this paper, a generalized Brownian motion model has been applied to describe the relative particle dispersion problem in more realistic turbulent flows. The fluctuating pressure forces acting on a fluid particle are taken to be a colored…
The motion of a ball through an appropriate lattice of round obstacles models the behavior of a Brownian particle and can be used to describe measurement on a macro system. On another hand, such motion is chaotic and a known conjecture…
In this paper we present a martingale related to the exit measures of super-Brownian motion. By changing measure with this martingale in the canonical way we have a new process associated with the conditioned exit measure. This measure is…
The paper studies a non-linear transformation between Brownian martingales, which is given by the inverse of the pricing operator in the mathematical finance terminology. Subsequently, the solvability of systems of equations corresponding…
This work is concerned with the theory of initial and progressive enlargements of a reference filtration F with a random time {\tau}. We provide, under an equivalence assumption, slightly stronger than the absolute continuity assumption of…
Rotation representations are foundational in fields such as computer graphics, robotics, and machine learning, where precise and efficient modeling of 3D orientations is critical. This paper comprehensively investigates diverse…
We develop a nonanticipative calculus for functionals of a continuous semimartingale, using an extension of the Ito formula to path-dependent functionals which possess certain directional derivatives. The construction is based on a pathwise…
When a strict local martingale is projected onto a subfiltration to which it is not adapted, the local martingale property may be lost, and the finite variation part of the projection may have singular paths. This phenomenon has…
We introduce a new non-linear optimal transport formulation for a pair of probability measures on $\mathbb{R}^d$ sharing a common barycentre, in which admissible transference plans satisfy two martingale-type constraints. This bi-martingale…
In this article we prove martingale type pointwise convergence theorems pertaining to tensor product splines defined on $d$-dimensional Euclidean space ($d$ is a positive integer), where conditional expectations are replaced by their…
We develop a theory of Brownian motion of a massive particle, including the effects of inertia (Kramers' problem), in spaces with curvature and torsion. This is done by invoking the recently discovered generalized equivalence principle,…
In this work we extend the Mackey's theory of induced unitary representations on a wide class of Krein-isometric induced representations in Krein spaces. The subgroup theorem and the Kronecker product theorem are shown to be valid for the…
Optimal Transport (OT) problems arise in a wide range of applications, from physics to economics. Getting numerical approximate solution of these problems is a challenging issue of practical importance. In this work, we investigate the…
We establish numerical methods for solving the martingale optimal transport problem (MOT) - a version of the classical optimal transport with an additional martingale constraint on transport's dynamics. We prove that the MOT value can be…