Related papers: Infinite Previsions and Finitely Additive Expectat…
We derive a backward and forward nonlinear PDEs that govern the implied volatility of a contingent claim whenever the latter is well-defined. This would include at least any contingent claim written on a positive stock price whose payoff at…
Choice functions constitute a simple, direct and very general mathematical framework for modelling choice under uncertainty. In particular, they are able to represent the set-valued choices that typically arise from applying decision rules…
This paper deals with (finite or infinite) sequences of arbitrary independent events in some probability space. We find sharp lower bounds for the probability of a union of such events when the sum of their probabilities is given. The…
We use the martingale-theoretic approach of game-theoretic probability to incorporate imprecision into the study of randomness. In particular, we define several notions of randomness associated with interval, rather than precise,…
The inferential model (IM) framework provides valid prior-free probabilistic inference by focusing on predicting unobserved auxiliary variables. But, efficient IM-based inference can be challenging when the auxiliary variable is of higher…
We construct meta-intransitive systems of independent random variables of any finite order from basic tuple of random variables which generalize intransitive dice. Under this construction, the equality of some linear functional is…
In this paper, we extend the G-expectation theory to infinite dimensions. Such notions as a covariation set of G-normal distributed random variables, viscosity solution, a stochastic integral driven by G-Brownian motion are introduced and…
We give a theory of sublinear expectations and martingales in discrete time. Without assuming the existence of a dominating probability measure, we derive the extensions of classical results on uniform integrability, optional stopping of…
The paper deals with the order statistics and empirical mathematical expectation (which is also called the estimate of mathematical expectation in the literature) in the case of infinitely increasing random variables. The Kolmogorov concept…
We study finite probability theory through a category of finite probability schemes and probability-preserving maps, called \emph{bundles}. A bundle simultaneously records a quotient of a sample space, an algebra of random variables, and…
We introduce a family of quantum semigroups and their natural coactions on noncommutative polynomials. We present three invariance conditions, associated with these coactions, for the joint distribution of sequences of selfadjoint…
In this work, we study convergence in probability and almost sure convergence for weighted partial sums of random variables that are related to the class of generalized Oppenheim expansions. It is worth noting that the random variables…
The predicate complementary to the well-known Godel's provability predicate is defined. From its recursiveness new consequences concerning the incompleteness argumentation are drawn and extended to new results of consistency, completeness…
We present a semantics for adding uncertainty to conditional logics for default reasoning and belief revision. We are able to treat conditional sentences as statements of conditional probability, and express rules for revision such as "If A…
While there exists a well-developed asymptotic theory of Fr\'echet means of random variables taking values in a general "finite-dimensional" metric space, there are only a few known results in which the random variables can take values in…
We derive new bounds of the remainder in a combinatorial central limit theorem without assumptions on independence and existence of moments of summands. For independent random variables our theorems imply Esseen and Berry-Esseen type…
We present a novel proof of de Finetti's Theorem characterizing permutation-invariant probability measures of infinite sequences of variables, so-called exchangeable measures. The proof is phrased in the language of Markov categories, which…
An approach to induction is presented, based on the idea of analysing the context of a given problem into `circumstances'. This approach, fully Bayesian in form and meaning, provides a complement or in some cases an alternative to that…
We define the independent natural extension of two local models for the general case of infinite spaces, using both sets of desirable gambles and conditional lower previsions. In contrast to Miranda and Zaffalon (2015), we adopt…
We show that the classical de Finetti theorem has a canonical noncommutative counterpart if we strengthen `exchangeability' (i.e., invariance of the joint distribution of the random variables under the action of the permutation group) to…