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Az\'{e}ma associated with an honest time L the supermartingale $Z_{t}^{L}=\mathbb{P}[L>t|\mathcal{F}_{t}]$ and established some of its important properties. This supermartingale plays a central role in the general theory of stochastic…

Probability · Mathematics 2007-07-23 Ashkan Nikeghbali

Linear fractional Galton-Watson branching processes in i.i.d.~random environment are, on the quenched level, intimately connected to random difference equations by the evolution of the random parameters of their linear fractional marginals.…

Probability · Mathematics 2021-10-01 Gerold Alsmeyer

Branching processes $(Z_n)_{n \ge 0}$ in a varying environment generalize the Galton-Watson process, in that they allow time-dependence of the offspring distribution. Our main results concern general criteria for a.s. extinction,…

Probability · Mathematics 2019-11-11 Götz Kersting

Lions and Musiela (2007) give sufficient conditions to verify when a stochastic exponential of a continuous local martingale is a martingale or a uniformly integrable martingale. Blei and Engelbert (2009) and Mijatovi\'c and Urusov (2012c)…

Probability · Mathematics 2014-07-10 Carole Bernard , Zhenyu Cui , Don McLeish

In this paper, martingales related to simple random walks and their maximum process are investigated. First, a sufficient condition under which a function with three arguments, time, the random walk, and its maximum process becomes a…

Probability · Mathematics 2022-11-11 Takahiko Fujita , Shotaro Yagishita , Naohiro Yoshida

We present some sharper finite extinction time results for solutions of a class of damped nonlinear Schr{\"o}dinger equations when the nonlinear damping term corresponds to the limit cases of some ``saturating non-Kerr law''…

Analysis of PDEs · Mathematics 2024-01-19 Pascal Bégout , Jesús Ildefonso Díaz

For a fixed alphabet A, an infinite sequence X is said to be normal if every word w over A appears in X with the same frequency as any other word of the same length. A classical result relates normality to finite automata as follows: a…

Formal Languages and Automata Theory · Computer Science 2026-04-15 Laurent Bienvenu , Santiago Cifuentes , Hugo Gimbert

In this paper, we aim at characterizing generalized functionals of discrete-time normal martingales. Let $M=(M_n)_{n\in \mathbb{N}}$ be a discrete-time normal martingale that has the chaotic representation property. We first construct…

Probability · Mathematics 2015-04-21 Caishi Wang , Jinshu Chen

It is well-known that well-posedness of a martingale problem in the class of continuous (or r.c.l.l.) solutions enables one to construct the associated transition probability functions. We extend this result to the case when the martingale…

Probability · Mathematics 2007-05-23 Abhay G Bhatt , Rajeeva L Karandikar , B V Rao

We derive equivalent conditions for the (local) absolute continuity of two laws of semimartingales on random sets. Our result generalizes previous results for classical semimartingales by replacing a strong uniqueness assumption by a weaker…

Probability · Mathematics 2018-07-05 David Criens , Kathrin Glau

Following on from the notion of (first-order) causality, which generalises the notion of being tracepreserving from CP-maps to abstract processes, we give a characterization for the most general kind of map which sends causal processes to…

Other Computer Science · Computer Science 2017-01-04 Aleks Kissinger , Sander Uijlen

In the proof of the invariance principle for locally perturbed periodic Lorentz process with finite horizon, a lot of delicate results were needed concerning the recurrence properties of its unperturbed version. These were analogous to the…

Probability · Mathematics 2016-03-25 Péter Nándori

We give a definitive treatment of duality for optimal consumption over the infinite horizon, in a semimartingale incomplete market satisfying no unbounded profit with bounded risk (NUPBR). Rather than base the dual domain on (local)…

Portfolio Management · Quantitative Finance 2021-12-21 Michael Monoyios

We prove that self-similar measures on the real line are absolutely continuous for almost all parameters in the super-critical region, in particular confirming a conjecture of S-M. Ngai and Y. Wang. While recently there has been much…

Dynamical Systems · Mathematics 2024-09-24 Santiago Saglietti , Pablo Shmerkin , Boris Solomyak

Let $(Z_n)$ be a supercritical branching process in a random environment $\xi$. We study the convergence rates of the martingale $W_n = Z_n/ E[Z_n| \xi]$ to its limit $W$. The following results about the convergence almost sur (a.s.), in…

Probability · Mathematics 2013-02-19 Chunmao Huang , Quansheng Liu

We study the almost-sure termination problem for probabilistic programs. First, we show that supermartingales with lower bounds on conditional absolute difference provide a sound approach for the almost-sure termination problem. Moreover,…

Logic in Computer Science · Computer Science 2018-08-24 Mingzhang Huang , Hongfei Fu , Krishnendu Chatterjee

The paper is devoted to a systematic study and characterizations of notions of local maximal monotonicity and their strong counterparts for set-valued operators that appear in variational analysis, optimization, and their applications. We…

Optimization and Control · Mathematics 2023-08-29 Pham Duy Khanh , Vu Vinh Huy Khoa , Boris S. Mordukhovich , Vo Thanh Phat

We establish via a probabilistic approach the quenched invariance principle for a class of long range random walks in independent (but not necessarily identically distributed) balanced random environments, with the transition probability…

Probability · Mathematics 2020-10-27 Xin Chen , Zhen-Qing Chen , Takashi Kumagai , Jian Wang

When the limiting compensator of a sequence of martingales is continuous, we obtain a weak convergence theorem for the martingales; the limiting process can be written as a Brownian motion evaluated at the compensator and we find sufficient…

Probability · Mathematics 2024-01-22 Bruno Rémillard , Jean Vaillancourt

We give a detailed description of infinite locally nilpotent groups G such that the index |C_G (x) : <x>| is finite, for every non-normal cyclic subgroup <x> of G. We are also able to extend our analysis to all non-periodic groups…

Group Theory · Mathematics 2016-01-14 Gustavo A. Fernandez-Alcober , Leire Legarreta , Antonio Tortora , Maria Tota