Related papers: The Martingale Representation Theorem and Clark-Oc…
In the spirit of Marcus canonical stochastic differential equations, we study a similar notion of rough differential equations (RDEs), notably dropping the assumption of continuity prevalent in the rough path literature. A new metric is…
In this paper we extend the notion of ``filtration-consistent nonlinear expectation" (or "${\cal F}$-consistent nonlinear expectation") to the case when it is allowed to be dominated by a $g$-expectation that may have a quadratic growth. We…
This is an expository review paper elaborating on the proof of the martingale functional central limit theorem (FCLT). This paper also reviews tightness and stochastic boundedness, highlighting one-dimensional criteria for tightness used in…
We construct C-algebras for a class of surfaces that are inverse images of certain polynomials of arbitrary degree. By using the directed graph associated to a matrix, the representation theory can be understood in terms of ``loop'' and…
We give an almost-complete description of orthogonal matrices $M$ of order $n$ that "rotate a non-negligible fraction of the Boolean hypercube $C_n=\{-1,1\}^n$ onto itself," in the sense that $$P_{x\in C_n}(Mx\in C_n) \ge n^{-C},\mbox{ for…
The mathematical formulation of the model for molecular movement of single motor proteins driven by cyclic biochemical reactions in an aqueous environment leads to a drifted Brownian motion characterized by coupled diffusion equations. In…
We present a representation theorem for a filtering model with first-passage-type stopping time. The model is constructed from two unobservable processes and one observable process that is under the influence of two unobservable processes.A…
Orthogonal polynomials and multiple orthogonal polynomials are interesting special functions because there is a beautiful theory for them, with many examples and useful applications in mathematical physics, numerical analysis, statistics…
In the previous paper we have shown analytically that, if the drift function of the d-dimensional Langevin equation is the Langevin function with a properly chosen scale factor, then the evolution of the drift function is a martingale…
Quantum trajectories are Markov processes modeling the evolution of a quantum system subjected to repeated independent measurements. Under purification and irreducibility assumptions, these Markov processes admit a unique invariant measure…
We identify the linear space spanned by the real-valued excessive functions of a Markov process with the set of those functions which are quasimartingales when we compose them with the process. Applications to semi-Dirichlet forms are…
In this paper we prove that the spatially homogeneous Landau equation for Maxwellian molecules can be represented through the product of two elementary processes. The first one is the Brownian motion on the group of rotations. The second…
We use recent results on the Fourier analysis of the zero sets of Brownian motion to explore the diophantine properties of an algorithmically random Brownian motion (also known as a complex oscillation). We discuss the construction and…
We prove martingale-ergodic and ergodic-martingale theorems for vector valued Bochner integrable functions. We obtain dominant and maximal inequalities. We also prove weighted and multiparameter martingale-ergodic and ergodic martingale…
Orthogonal Laurent polynomials in the unit circle and the theory of Toda-like integrable systems are connected using the Gauss--Borel factorization of a Cantero-Moral-Velazquez moment matrix, which is constructed in terms of a complex…
Consider a branching Brownian motion (BBM). It is well known \cite{Bramson1983ConvergenceOS, Lalley1987ACL} that the rightmost particle is located near \( m_t = \sqrt{2} t - \frac{3}{2\sqrt{2}} \log t \). Let $\mathcal{N}(t,x)$ be the set…
When dealing with highly accurate modeling of time and frequency transfers into arbitrarily moving dielectrics medium, it may be convenient to work with Gordon's optical spacetime metric rather than the usual physical spacetime metric.…
In this paper, we prove maximal inequalities and study the functional central limit theorem for the partial sums of linear processes generated by dependent innovations. Due to the general weights, these processes can exhibit long-range…
We study the problem of existence, uniqueness and approximation of solutions of finite dimensional Stratonovich stochastic differential equations with reflecting boundary condition driven by semimartingales with jumps. As an application we…
This work introduces novel computational methods for entropic optimal transport (OT) problems under martingale-type conditions. The considered problems include the discrete martingale optimal transport (MOT) problem. Moreover, as the…