Related papers: A martingale representation theorem for a class of…
Let $M =(M_t)_{t\geq 0}$ be any continuous real-valued stochastic process. We prove that if there exists a sequence $(a_n)_{n\geq 1}$ of real numbers which converges to 0 and such that $M$ satisfies the reflection property at all levels…
We develop a general theory of jump operators, which is intended to provide an abstraction of the notion of "limit-computability" on represented spaces. Jump operators also provide a framework with a strong categorical flavor for…
We prove an Eyring-Kramers law for the small eigenvalues and mean first-passage times of a metastable Markovian jump process which is invariant under a group of symmetries. Our results show that the usual Eyring-Kramers law for asymmetric…
A concept of randomness for infinite time register machines (ITRMs) is defined and studied. In particular, we show that for this notion of randomness, computability from mutually random reals implies computability and that an analogue of…
We show a decomposition into the sum of a martingale and a deterministic quantity for time averages of the solutions to non-autonomous SDEs and for discrete-time Markov processes. In the SDE case the martingale has an explicit…
In modern life insurance, Markov processes in continuous time on a finite or at least countable state space have been over the years an important tool for the modelling of the states of an insured. Motivated by applications in disability…
Martin's Conjecture states that every definable function on the Turing degrees is either constant or increasing, and that every increasing function is an iterate of the Turing jump. This classification has already been corroborated for the…
We consider the stochastic ranking process with space-time dependent unbounded jump rates for the particles. We prove that the joint empirical distribution of jump rate and scaled position converges almost surely to a deterministic…
We consider a random walk on $\R^d$ in a polynomially mixing random environment that is refreshed at each time step. We use a martingale approach to give a necessary and sufficient condition for the almost-sure functional central limit…
Given a positive random variable $X$, $X\ge0$ a.s., a null hypothesis $H_0:E(X)\le\mu$ and a random sample of infinite size of $X$, we construct test supermartingales for $H_0$, i.e. positive processes that are supermartingale if the null…
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…
In this paper, local linear estimators are adapted for the unknown infinitesimal coefficients associated with continuous-time asset return model with jumps, which can correct the bias automatically due to their simple bias representation.…
This note continues investigation of randomness-type properties emerging in idealized financial markets with continuous price processes. It is shown, without making any probabilistic assumptions, that the strong variation exponent of…
The general method is proposed for constructing a family of martingale measures for a wide class of evolution of risky assets. The sufficient conditions are formulated for the evolution of risky assets under which the family of equivalent…
In this paper, we develop a new and effective approach to nonparametric quantile regression that accommodates ultrahigh-dimensional data arising from spatio-temporal processes. This approach proves advantageous in staving off computational…
This paper develops systematically the stochastic calculus via regularization in the case of jump processes. In particular one continues the analysis of real-valued c\`adl\`ag weak Dirichlet processes with respect to a given filtration.…
The concept of randomized measurements on individual particles has proven to be useful for analyzing quantum systems and is central for methods like shadow tomography of quantum states. We introduce $\textit{collective}$ randomized…
This paper gives game-theoretic versions of several results on "merging of opinions" obtained in measure-theoretic probability and algorithmic randomness theory. An advantage of the game-theoretic versions over the measure-theoretic results…
Compared to the nominal scale, the ordinal scale for a categorical outcome variable has the property of making a monotonicity assumption for the covariate effects meaningful. This assumption is encoded in the commonly used proportional odds…
We study the leading term in the small-time asymptotics of at-the-money call option prices when the stock price process $S$ follows a general martingale. This is equivalent to studying the first centered absolute moment of $S$. We show that…