Related papers: Indefinitely Oscillating Martingales
In a network of reinforced stochastic processes, for certain values of the parameters, all the agents' inclinations synchronize and converge almost surely toward a certain random variable. The present work aims at clarifying when the agents…
We propose a method to bound the expectation of the supremum of the price process in stochastic volatility models. It can be applied, for example, to the rough Bergomi model, avoiding the need to discuss finiteness of higher moments. Our…
We prove that for a so-called sticky process $S$ there exists an equivalent probability $Q$ and a $Q$-martingale $\tilde{S}$ that is arbitrarily close to $S$ in $L^p(Q)$ norm. For continuous $S$, $\tilde{S}$ can be chosen arbitrarily close…
We offer a new proof of the classical law of large numbers for a general class of branching Markov processes based on the asymptotic behaviour of the moments developed in \cite{bmoments, gonzalez2022erratum}. Moreover, we show that the law…
In this paper, we prove a quantitative version of the Oppenheim conjecture for indefinite ternary quadratic forms: for any indefinite irrational ternary quadratic form $Q$ that is not extremely well approxiable by rational forms, and for…
We obtain approximation results for general positive linear operators satisfying mild conditions, when acting on discontinuous functions and absolutely continuous functions having discontinuous derivatives. The upper bounds, given in terms…
Given a sequence $(M^n)^{\infty}_{n=1}$ of nonnegative martingales starting at $M^n_0=1$, we find a sequence of convex combinations $(\widetilde{M}^n)^{\infty}_{n=1}$ and a limiting process $X$ such that…
We give upper bound for several highness properties in computability randomness theory. First, we prove that discrete covering property does not imply the ability to compute a 1-random real, answering a question of Greenberg, Miller and…
Consider a real-valued branching random walk in the boundary case. Using the techniques developed by A\"id\'ekon and Shi [5], we give two integral tests which describe respectively the lower limits for the minimal position and the upper…
We investigate the predictive power of recurrent neural networks for oscillatory systems not only on the attractor, but in its vicinity as well. For this we consider systems perturbed by an external force. This allows us to not merely…
This paper develops upper and lower bounds for the probability of Boolean functions by treating multiple occurrences of variables as independent and assigning them new individual probabilities. We call this approach dissociation and give an…
We present an "ultimate" proof of Cardy's formula for the critical percolation on the hexagonal lattice \cite{Smirnov01criticalpercolation}, showing the existence of the universal and conformally invariant scaling limit of crossing…
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…
In studying the complexity of iterative processes it is usually assumed that the arithmetic operations of addition, multiplication, and division can be performed in certain constant times. This assumption is invalid if the precision…
Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate optimality and efficiency are of…
We consider minimization of a smooth nonconvex function with inexact oracle access to gradient and Hessian (without assuming access to the function value) to achieve approximate second-order optimality. A novel feature of our method is that…
The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to price intervals for European options. The approach provides the trajectory based analogue of martingale-like properties as well as a…
We define a large class of multifractal random measures and processes with arbitrary log-infinitely divisible exact or asymptotic scaling law. These processes generalize within a unified framework both the recently defined log-normal…
We construct families of rational functions $f \colon \bP^1_k \to \bP^1_k$ of degree $d \geq 2$ over a perfect field $k$ whose associated fixed-point processes fail to be martingales. Conversely, for any normal variety $X \subset…
In this paper, we develop necessary and sufficient conditions for the validity of a martingale approximation for the partial sums of a stationary process in terms of the maximum of consecutive errors. Such an approximation is useful for…