Related papers: Martingale Inequalities for the Maximum via Pathwi…

We consider a general class of sharp $L^p$ Hardy inequalities in $\R^N$ involving distance from a surface of general codimension $1\leq k\leq N$. We show that we can succesively improve them by adding to the right hand side a lower order…

A tight upper bound is given on the distribution of the maximum of a supermartingale. Specifically, it is shown that if $Y$ is a semimartingale with initial value zero and quadratic variation process $[Y,Y]$ such that $Y + [Y,Y]$ is a…

We consider trawl processes, which are stationary and infinitely divisible stochastic processes and can describe a wide range of statistical properties, such as heavy tails and long memory. In this paper, we develop the first…

Approximations to sums of stationary and ergodic sequences by martingales are investigated. Necessary and sufficient conditions for such sums to be asymptotically normal conditionally given the past up to time 0 are obtained. It is first…

Operator inequalities with a geometric flavour have been successful in studying mixing of random walks and quantum mechanics. We suggest a new way to extract such inequalities using the octopus inequality of Caputo, Liggett and Richthammer.

We explicitly construct the supermartingale version of the Fr{\'e}chet-Hoeffding coupling in the setting with infinitely many marginal constraints. This extends the results of Henry-Labordere et al. obtained in the martingale setting. Our…

We study a variant of the martingale optimal transport problem in a multi-period setting to derive robust price bounds of a financial derivative. On top of marginal and martingale constraints, we introduce a time-homogeneity assumption,…

Extreme economic outcomes are not shaped by tails alone. They are also shaped by unequal access to opportunities. This paper develops a theory of heterogeneous extremes by taking the distribution of opportunity access as the object of…

This paper explains a subtle issue in the martingale analysis of the IMM algorithm, a state-of-the-art influence maximization algorithm. Two workarounds are proposed to fix the issue, both requiring minor changes on the algorithm and…

This paper is devoted to studying the average optimality in continuous-time Markov decision processes with fairly general state and action spaces. The criterion to be maximized is expected average rewards. The transition rates of underlying…

We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump times are totally inaccessible and a technical condition…

This paper presents a widely applicable approach to solving (multi-marginal, martingale) optimal transport and related problems via neural networks. The core idea is to penalize the optimization problem in its dual formulation and reduce it…

In this paper we obtain new estimates of the sequential Caputo fractional derivatives of a function at its extremum points. We derive comparison principles for the linear fractional differential equations, and apply these principles to…

Markov models are widely used to describe processes of stochastic dynamics. Here, we show that Markov models are a natural consequence of the dynamical principle of Maximum Caliber. First, we show that when there are different possible…

We prove an elementary yet useful inequality bounding the maximal value of certain linear programs. This leads directly to a bound on the martingale difference for arbitrarily dependent random variables, providing a generalization of some…

We derive transport-entropy inequalities for mixed binomial point processes, and for Poisson point processes. We show that when the finite intensity measure satisfies a Talagrand transport inequality, the law of the point process also…

In this paper we establish some new Kolmogorov type inequalities for the Marchaud and Hadamard fractional derivatives of functions defined on a real axis or semi-axis. Simultaneously we solve two related problems: the Stechkin problem on…

We study the problem of bounding path-dependent expectations (within any finite time horizon $d$) over the class of discrete-time martingales whose marginal distributions lie within a prescribed tolerance of a given collection of benchmark…

We introduce a novel notion of divergence between continuous martingales; the reciprocal specific relative entropy. First, we motivate this definition from multiple perspectives. Thereafter, we solve the reciprocal specific relative entropy…

While one-dimensional Markov processes are well understood, going to higher dimensions there are only a few analytically solved Ising-like models, in practice requiring to use relatively costly, uncontrollable and inaccurate Monte-Carlo…