Related papers: Optional Decomposition for continuous semimartinga…
The concept of finitely additive supermartingales, originally due to Bochner, is revived and developed. We exploit it to study measure decompositions over filtered probability spaces and the properties of the associated Dol\'{e}ans-Dade…
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…
The purpose of this paper is two-fold. First is to extend the notions of an n-dimensional semimartingale and its stochastic integral to a piecewise semimartingale of stochastic dimension. The properties of the former carry over largely…
This paper constructs a foundation to analyze semi-group actions, group actions, filtrations, and decompositions in a unified manner. In fact, though the studies of decomposition can be applied to foliated spaces and group actions, they can…
We obtain two new algorithms for partial fraction decompositions; the first is over algebraically closed fields, and the second is over general fields. These algorithms takes $O(M^2)$ time, where $M$ is the degree of the denominator of the…
We give an elementary proof of the celebrated Bichteler-Dellacherie Theorem which states that the class of stochastic processes $S$ allowing for a useful integration theory consists precisely of those processes which can be written in the…
We study primary submodules and primary decompositions from a differential and computational point of view. Our main theoretical contribution is a general structure theory and a representation theorem for primary submodules of an arbitrary…
This paper gives a complete characterization of infinitely divisible semimartingales, i.e., semimartingales whose finite dimensional distributions are infinitely divisible. An explicit and essentially unique decomposition of such…
(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 the paper, the martingales and super-martingales relative to a convex set of equivalent measures are systematically studied. The notion of local regular super-martingale relative to a convex set of equivalent measures is introduced and…
When analyzing probabilistic computations, a powerful approach is to first find a martingale---an expression on the program variables whose expectation remains invariant---and then apply the optional stopping theorem in order to infer…
Given a probability space $(\Omega,\Sigma,\mu)$, the Hardy space $\mathrm{H}_1(\Omega)$ which is associated to the martingale square function does not admit a classical atomic decomposition when the underlying filtration is not regular. In…
This paper is devoted to the study of a certain type of martingale problems associated to general operators corresponding to processes which have finite lifetime. We analyse several properties and in particular the weak convergence of…
This paper is addressed to the well-posedness of some linear and semilinear backward stochastic differential equations with general filtration, without using the Martingale Representation Theorem. The point of our approach is to introduce a…
In this work we provide a decomposition theorem for the class of quaternary and non-binary signed-graphic matroids. This generalizes previous results for binary signed-graphic matroids and graphic matroids, and it provides the theoretical…
We generalize the pointwise decay estimates for large data solutions of the defocusing semilinear wave equations which we obtained earlier under restriction to spherical symmetry. Without the symmetry the conformal transformation we use…
This short note, in part of expository nature, points out several new or recent consequences of a quite nice decomposition for positive semi-definite matrices.
In the recent paper \cite{DESZ}, the notion of $\mathscr{Y}^{g,\xi}$-submartingale processes has been introduced. Within a jump-diffusion model, we prove here that a process $X$ which satisfies the simultaneous…
In a semimartingale financial market model, it is shown that there is equivalence between absence of arbitrage of the first kind (a weak viability condition) and the existence of a strictly positive process that acts as a local martingale…
We prove the superposition principle for probability measure-valued solutions to non-local Fokker-Planck equations, which in turn yields the equivalence between martingale problems for SDEs with jumps and such non-local PDEs with rough…