Related papers: Characterization of max-continuous local martingal…

Following the initial work by Robbins, we rigorously present an extended theory of nonnegative supermartingales, requiring neither integrability nor finiteness. In particular, we derive a key maximal inequality foreshadowed by Robbins,…

This paper extends results of Mortimer and Williams (1991) about changes of probability measure up to a random time under the assumptions that all martingales are continuous and that the random time avoids stopping times. We consider…

We use the martingale-theoretic approach of game-theoretic probability to incorporate imprecision into the study of randomness. In particular, we define a notion of computable randomness associated with interval, rather than precise,…

We define the family of {\it locally path-bounded} digraphs, which is a class of infinite digraphs, and show that on this class it is relatively easy to compute an optimal strategy (winning or nonlosing); and realize a win, when possible,…

Positive $T$-martingales were developed as a general framework that extends the positive measure-valued martingales and are meant to model intermittent turbulence. We extend their scope by allowing the martingale to take complex values. We…

This paper describes a construction of supermartingales realized as automatic functions. A capital of supermartingales is represented using automatic capital groups~(ACG). Properties of these automatic supermartingales are then studied.…

This work is concerned with the theory of initial and progressive enlargements of a reference filtration F with a random time {\tau}. We provide, under an equivalence assumption, slightly stronger than the absolute continuity assumption of…

In the first part of this paper, we study RBSDEs in the case where the filtration is not quasi-left continuous and the lower obstacle is given by a predictable process. We prove the existence and uniqueness by using some results of optimal…

A single jump filtration $({\mathscr{F}}_t)_{t\in \mathbb{R}_+}$ generated by a random variable $\gamma$ with values in $\overline{\mathbb{R}}_+$ on a probability space $(\Omega ,{\mathscr{F}},\mathsf{P})$ is defined as follows: a set $A\in…

In a previous work, we associated with any submartingale $X$ of class $(\Sigma)$, defined on a filtered probability space $(\Omega, \mathcal{F}, \mathbb{P}, (\mathcal{F}_t)_{t \geq 0})$ satisfying some technical conditions, a…

Through a straightforward Bayesian approach we show that under some general conditions a maximum running time, namely the number of discrete steps performed by a computer program during its execution, can be defined such that the…

There are infinite processes (matrix products, continued fractions, $(r,s)$-matrix continued fractions, recurrence sequences) which, under certain circumstances, do not converge but instead diverge in a very predictable way. We give a…

We give criteria on an inverse system of finite groups that ensure the limit is just infinite or hereditarily just infinite. More significantly, these criteria are 'universal' in that all (hereditarily) just infinite profinite groups arise…

We define the reflection of a random walk at a general barrier and derive, in case the increments are light tailed and have negative mean, a necessary and sufficient criterion for the global maximum of the reflected process to be finite…

We consider partial symmetric Toeplitz matrices where a positive definite completion exists. We characterize those patterns where the maximum determinant completion is itself Toeplitz. We then extend these results with positive definite…

In this paper, we construct scaling limits of some branching random walks in random environment whose off-spring distributions have infinite variance. The Laplace functional of the obtained random measure is given by a non-linear PAM, whose…

Consider the mutually catalytic branching process with finite branching rate $\gamma$. We show that as $\gamma\to\infty$, this process converges in finite-dimensional distributions (in time) to a certain discontinuous process. We give…

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 {\em stochastic maximal inequality} derived by using the formula for…

For any discrete-time $P$--local martingale $S$ there exists a probability measure $Q \sim P$ such that $S$ is a $Q$--martingale. A new proof for this result is provided. The core idea relies on an appropriate modification of an argument by…

In this paper, we study Gaussian multiplicative chaos in the critical case. We show that the so-called derivative martingale, introduced in the context of branching Brownian motions and branching random walks, converges almost surely (in…