Related papers: The Martingale Representation Theorem and Clark-Oc…
The Topological Representation Theorem for (oriented) matroids states that every (oriented) matroid can be realized as the intersection lattice of an arrangement of codimension one homotopy spheres on a homotopy sphere. In this paper, we…
In this paper, we study the martingale property for a Scott correlated stochastic volatility model, when the correlation coefficient between the Brownian motion driving the volatility and the one driving the asset price process is…
Distributionally robust optimization has been shown to offer a principled way to regularize learning models. In this paper, we find that Tikhonov regularization is distributionally robust in an optimal transport sense (i.e., if an adversary…
The Reynolds transport theorem for the rate of change of an integral over an evolving domain is generalized. For a manifold $B$, a differentiable motion $m$ of $B$ in the manifold $\mathcal{S}$, an $r$-current $T$ in $B$, and the sequence…
The Representation Theorem of Lions (RTL) is a version of the Lax--Milgram Theorem where completeness of one of the spaces is not complete. In this paper, RTL is deduced from an operator-theoretical version on normed space. The main point…
We provide sharp estimates for the distribution function of a martingale transform of the indicator function of an event. They are formulated in terms of Burkholder functions, which are reduced to the already known Bellman functions for…
We explain how complexity of rational points on projective varieties can be interpreted via the theories of Chow forms and Okounkov bodies. Precisely, we study discrete measures on filtered linear series and build on work of Boucksom and…
In this paper we will give a categorical proof of the Radon-Nikodym theorem. We will do this by describing the trivial version of the result on finite probability spaces as a natural isomorphism. We then proceed to Kan extend this…
By making use of martingale representations, we derive the asymptotic normality of particle filters in hidden Markov models and a relatively simple formula for their asymptotic variances. Although repeated resamplings result in complicated…
This paper investigates the problem to determine whether a given stochastic process generates a sampled Brownian filtration. A fairly general sufficient condition is obtained by applying the Frank H. Clarke contraction criteria to a…
The transition from reversible microdynamics to irreversible transport can be studied very efficiently with the help of the so-called projection method. We give a concise introduction to that method, illustrate its power by using it to…
We introduce so-called super/sub-martingale projections as a family of endomorphisms defined on unions of Polish spaces. Such projections allow us to identify martingales as collections of transformations that relate path-valued random…
This short note explores the maximum-entropy walk on the unit interval that is a median-martingale. That is, the median of its next state is equal to its current state. The stationary distribution of this walk is the arcsine distribution,…
In classical optimal transport, the contributions of Benamou-Brenier and McCann regarding the time-dependent version of the problem are cornerstones of the field and form the basis for a variety of applications in other mathematical areas.…
In this work, we aim to study a strong version of Ito's lemma for convex function. By considering the corresponding sub-martingale on a Brownian motion, we gain more insights about the convex function through a probabilistic viewpoint. The…
We explore the structure of solutions to a family of non-linear martingale optimal transport (MOT) problems that involve conditional expectations in the objective functional. En route general results concerning optimization over…
Sets of orthogonal martingales are importants because they can be used as stochastic integrators in a kind of chaotic representation property, see [20]. In this paper, we revisited the problem studied by W. Schoutens in [21], investigating…
In this paper, we develop a new technique which we call representation theory of the real hyperrectangle, which describes how to compute the eigenvectors and eigenvalues of certain matrices arising from hyperrectangles. We show that these…
We consider a semimartingale market model when the underlying diffusion has a singular volatility matrix and compute the hedging portfolio for a given payoff function. Recently, the representation problem for such degenerate diffusions with…
In this paper Clark-Ocone representation for solution to measure-valued equation with interaction is studied. It is proven that the integrand is absolutely continuous with respect to Lebesgue measure.