Related papers: Characterization of max-continuous local martingal…

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…

Given a reference filtration $\mathbb{F}$, we develop in this work a generic method for computing the semimartingale decomposition of $\mathbb{F}$-martingales in some specific enlargements of $\mathbb{F}$. This method is then applied to the…

We investigate the almost sure asymptotic properties of vector martingale transforms. Assuming some appropriate regularity conditions both on the increasing process and on the moments of the martingale, we prove that normalized moments of…

We study positive random variables whose moments can be expressed by products and quotients of Gamma functions; this includes many standard distributions. General results are given on existence, series expansion and asymptotics of density…

For an optimal control problem, the concept of a strong local infimum is introduce, for which necessary conditions consisting of some family of "maximum principles" are formulated. If a function delivers a strong local minimum in 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…

Consider a $\Lambda$-coalescent that comes down from infinity (meaning that it starts from a configuration containing infinitely many blocks at time 0, yet it has a finite number $N_t$ of blocks at any positive time $t>0$). We exhibit a…

When a strict local martingale is projected onto a subfiltration to which it is not adapted, the local martingale property may be lost, and the finite variation part of the projection may have singular paths. This phenomenon has…

We prove a unique continuation from infinity theorem for regular waves of the form $[ \Box + \mathcal{V} (t, x) ]\phi=0$. Under the assumption of no incoming and no outgoing radiation on specific halves of past and future null infinities,…

This paper presents uniform-in-time finite-sample bounds for regularized linear regression with vector-valued outputs and conditionally zero-mean subgaussian noise. By revisiting classical self-normalized martingale arguments, we obtain…

The present paper deals with the characterization of no-arbitrage properties of a continuous semimartingale. The first main result, Theorem \refMainTheoremCharNA, extends the no-arbitrage criterion by Levental and Skorohod [Ann. Appl.…

We extend in a natural way the operation of Turing machines to infinite ordinal time, and investigate the resulting supertask theory of computability and decidability on the reals. The resulting computability theory leads to a notion of…

We consider a one-parameter family of invertible maps of a two-dimensional lattice, obtained by applying round-off to planar rotations. All orbits of these maps are conjectured to be periodic. We let the angle of rotation approach pi/2, and…

We study $\mathcal I$-maximal eventually different families of functions from the set of natural numbers into itself where $\mathcal I$ is an arbitrary ideal on the set of natural numbers that includes the ideal of all finite sets…

We extend an inequality of Merryfield, valid in the continuous setting, to discrete multiparameter martingales. As a consequence, we obtain the $L^p$ comparison of the maximal function with the square function: \begin{align*} E[(Sf)^p]…

In this paper, we introduce a class of processes that contains many natural examples. The interesting feature of such type processes lays on its infinite memory that allows it to record a quite ancient history. Then, using the martingale…

Several long-time limit theorems of one-dimensional L\'{e}vy processes weighted and normalized by functions of the local time are studied. The long-time limits are taken via certain families of random times, called clocks: exponential…

This paper studies small-time behavior at the supremum of a diffusion process. For a solution to the SDE $\mathrm{d} X_t=\mu(X_t)\mathrm{d} t+\sigma(X_t)\mathrm{d} W_t$ (where $W$ is a standard Brownian motion) we consider…

In the paper we study sharp maximal inequalities for martingales and non-negative submartingales: if $f$, $g$ are martingales satisfying \[|\mathrm{d}g_n|\leq|\mathrm{d}f_n|,\qquad n=0,1,2,...,\] almost surely, then…

We consider controlled martingales with bounded steps where the controller is allowed at each step to choose the distribution of the next step, and where the goal is to hit a fixed ball at the origin at time $n$. We show that the algebraic…