Related papers: Characterization of max-continuous local martingal…
We study the termination problem for nondeterministic recursive probabilistic programs. First, we show that a ranking-supermartingales-based approach is both sound and complete for bounded terminiation (i.e., bounded expected termination…
Let $\mm_n, n=0,1,...$ be the supercritical branching random walk, in which the number of direct descendants of one individual may be infinite with positive probability. Assume that the standard martingale $W_n$ related to $\mm_n$ is…
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…
Recently, D. Williams \cite{williams} gave an explicit example of a random time $\rho $ associated with Brownian motion such that $\rho $ is not a stopping time but $\mathbb{E}M_{\rho}=\mathbb{E}M_{0}$ for every bounded martingale $M$. The…
We study a class of martingale inequalities involving the running maximum process. They are derived from pathwise inequalities introduced by Henry_Labordere et al. (2013) and provide an upper bound on the expectation of a function of the…
As an alternative to the well-known methods of "chaining" and "bracketing" that have been developed in the study of random fields, a new method, which is based on a stochastic maximal inequality derived by using the Taylor expansion, is…
We use the abstract method of (local) martingale problems in order to give criteria for convergence of stochastic processes. Extending previous notions, the formulation we use is neither restricted to Markov processes (or semimartingales),…
We prove strong theorems for the local time at infinity of a nearest neighbor transient random walk. First, laws of the iterated logarithm are given for the large values of the local time. Then we investigate the length of intervals over…
(This is the third version of a working paper.) We develop a family of self-normalized concentration inequalities for marginal mean under martingale-difference structure and $\phi/\tilde{\phi}$-mixing conditions, where the latter includes…
In this paper, we consider the special class of positive local submartingales (X_{t}) of the form: X_{t}=N_{t}+A_{t}, where the measure (dA_{t}) is carried by the set {t: X_{t}=0}. We show that many examples of stochastic processes studied…
Write $\mathbf{A}_\lambda$ for what might be described as the most elementary nontrivial inverse system of abelian groups indexed by the functions from the cardinal $\lambda$ to the set of natural numbers. The question of whether for any…
The long-term behavior of a supercritical branching random walk can be described and analyzed with the help of Biggins' martingales, parametrized by real or complex numbers. The study of these martingales with complex parameters is a rather…
We investigate convergence of martingales adapted to a given filtration of finite $\sigma$-algebras. To any such filtration we associate a canonical metrizable compact space $K$ such that martingales adapted to the filtration can be…
Infinite sums of i.i.d. random variables discounted by a multiplicative random walk are called perpetuities and have been studied by many authors. The present paper provides a log-type moment result for such random variables under minimal…
Many results in stochastic analysis and mathematical finance involve local martingales. However, specific examples of strict local martingales are rare and analytically often rather unhandy. We study local martingales that follow a given…
In this note, we establish a local maximum principle along Ricci flow under scaling invariant curvature condition. This unifies the known preservation of nonnegativity results along Ricci flow with unbounded curvature. By combining with the…
A strict local martingale is a local martingale that is not a martingale. We investigate how such a process might arise from a true martingale as a result of an enlargement of the filtration. We study and implement a particular type of…
For a spectrally negative positive self-similar Markov process with an a.s. finite overall supremum we provide, in tractable detail, a kind of conditional Wiener-Hopf factorization at the maximum of the absorption time at zero, the…
We introduce a model of infinitary computation which enhances the infinite time Turing machine model slightly but in a natural way by giving the machines the capability of detecting cardinal stages of computation. The computational strength…
We consider a discrete-time process adapted to some filtration which lives on a (typically countable) subset of $\mathbb{R}^d$, $d\geq 2$. For this process, we assume that it has uniformly bounded jumps, is uniformly elliptic (can advance…