Related papers: Martingale Inequalities for the Maximum via Pathwi…

We develop a method based on martingales to study first-passage problems of time-additive observables exiting an interval of finite width in a Markov process. In the limit that the interval width is large, we derive generic expressions for…

We present a unified approach to improved $L^p$ Hardy inequalities in $\R^N$. We consider Hardy potentials that involve either the distance from a point, or the distance from the boundary, or even the intermediate case where distance is…

Properties of a maximal function for vector-valued martingales were studied by the author in an earlier paper. Restricting here to the dyadic setting, we prove the equivalence between (weighted) L^p inequalities and weak type estimates, and…

We use a suitable transform related to Sobolev inequality to investigate the sharp constants and optimizers for some Caffarelli-Kohn-Nirenberg-type inequalities which are related to the weighted $p$-Laplace equations. Moreover, we give the…

In this work we introduce a general approach, based on the mar-tingale representation of a sampling design and Azuma-Hoeffding's inequality , to derive exponential inequalities for the difference between a Horvitz-Thompson estimator and its…

A result by N.G. Makarov [Algebra i Analiz, 1989] states that for martingales $(M_n)$ on the torus we have the strict inequality \[ \liminf_{n\to\infty} \frac{M_n}{\sum_{k=1}^n |\Delta M_k|} > 0 \] on a set of Hausdorff dimension one,…

In this paper we prove sharp Hardy inequalities by using Maximal function theory. Our results improve and extend the well-known results of G.Hardy \cite{Ha04}, T.Cazenave \cite {Ca03}, J.-Y.Chemin\cite {Ch06} and T.Tao\cite {TT06}.

We consider the stochastic integrals of multivariate point processes and study their concentration phenomena. In particular, we obtain a Bernstein type of concentration inequality through Dol\'eans-Dade exponential formula and a uniform…

We propose a novel approach in noncommutative probability, which can be regarded as an analogue of good-$\lambda$ inequalities from the classical case due to Burkholder and Gundy (Acta Math {\bf124}: 249-304,1970). This resolves a…

The master equation and, more generally, Markov processes are routinely used as models for stochastic processes. They are often justified on the basis of randomization and coarse-graining assumptions. Here instead, we derive n-th order…

We develop a probabilistic characterisation of trajectorial expansion rates in non-autonomous stochastic dynamical systems that can be defined over a finite time interval and used for the subsequent uncertainty quantification in Lagrangian…

We find a maximum principle for general non-Markovian semi-martingales. We do so by describing the adjoint processes with non-anticipating stochastic derivatives in a martingale random field setting. In the case of the L\'evy processes this…

Computing reachability probabilities is a fundamental problem in the analysis of probabilistic programs. This paper aims at a comprehensive and comparative account on various martingale-based methods for over- and under-approximating…

We extend the Longstaff-Schwartz algorithm for approximately solving optimal stopping problems on high-dimensional state spaces. We reformulate the optimal stopping problem for Markov processes in discrete time as a generalized statistical…

Let E be the Engel group and D be a rank 2 bracket generating left invariant distribution with a Lorentzian metric, which is a nondegenerate metric of index 1. In this paper, we first prove that timelike normal extremals are locally…

We consider the Monge problem of optimal transport between a compactly supported source measure and a target probability measure with unbounded support. We consider the convergence of optimal maps and potential functions when the target…

We introduce the proximal optimal transport divergence, a novel discrepancy measure that interpolates between information divergences and optimal transport distances via an infimal convolution formulation. This divergence provides a…

We derive the tail inequalities between two random variables starting from inequalities between its moment, or more generally between its Lebesgue-Riesz norms, which holds true on certain sets of parameters. We consider some applications…

Jump inequalities are the $r=2$ endpoint of L\'epingle's inequality for $r$-variation of martingales. Extending earlier work by Pisier and Xu we interpret these inequalities in terms of Banach spaces which are real interpolation spaces.…

We introduce behavioral inequalities as a way to model dynamical systems defined by inequalities among their variables of interest. We claim that such a formulation enables the representation of safety-aware dynamical systems, systems with…