Related papers: Optional Decomposition for continuous semimartinga…
In this paper we introduce a very general setting dealing with the superposition of operators of any positive order and provide a systematic study of them. We also provide examples and counterexamples, as well as characterizing properties…
The existence of an exactly marginal deformation in a conformal field theory is very special, but it is not well understood how this is reflected in the allowed dimensions and OPE coefficients of local operators. To shed light on this…
We show that the existence of a martingale approximation of a stationary process depends on the choice of the filtration. There exists a stationary linear process which has a martingale approximation with respect to the natural filtration,…
The study of stochastic variational principles involves the problem of constructing fixed-endpoint and adapted variations of semimartingales. We provide a detailed construction of variations of semimartingales that are not only fixed at…
In this paper, we aim at estimating the quarticity of continuous It\^{o} semimartingales. Instead of using some classical estimators, we introduce a more intuitive one and establish a central limit theorem (CLT) for it, with a convergence…
A general diffusion semimartingale is a one-dimensional path-continuous semimartingale that is also a regular strong Markov process. We say that a continuous semimartingale has the representation property if all local martingales w.r.t. its…
When expanding a filtration with a stochastic process it is easily possible for semimartingale no longer to remain semimartingales in the enlarged filtration. Y. Kchia and P. Protter indicated a way to avoid this pitfall in 2015, but they…
The fractional calculus is useful to model non-local phenomena. We construct a method to evaluate the fractional Caputo derivative by means of a simple explicit quadratic segmentary interpolation. This method yields to numerical resolution…
We prove a version of Rao decomposition for quasi-martingales indexed by a linearly ordered set.
We find a canonical form for pure states of a general multipartite system, in which the constraints on the coordinates (with respect to a factorisable orthonormal basis) are simply that certain ones vanish and certain others are real. For…
In this paper, we obtain stability results for martingale representations in a very general framework. More specifically, we consider a sequence of martingales each adapted to its own filtration, and a sequence of random variables…
We solve the problem of pricing and optimal exercise of American call-type options in markets which do not necessarily admit an equivalent local martingale measure. This resolves an open question proposed by Fernholz and Karatzas…
We generalize the logarithmic decomposition theorem of Deligne-Illusie to a filtered version. There are two applications. The easier one provides a mod $p$ proof for a vanishing theorem in characteristic zero. The deeper one gives rise to a…
Variational inequalities can in general support distinct solutions. In this paper we study an algorithm for computing distinct solutions of a variational inequality, without varying the initial guess supplied to the solver. The central idea…
Given two filtrations $\mathbb F \subset \mathbb G$, we study under which conditions the $\mathbb F$-optional projection and the $\mathbb F$-dual optional projection coincide for the class of $\mathbb G$-optional processes with integrable…
This note studies the martingale property of a nonnegative, continuous local martingale Z, given as a nonanticipative functional of a solution to a stochastic differential equation. The condition states that Z is a (uniformly integrable)…
We develop operator renewal theory for flows and apply this to obtain results on mixing and rates of mixing for a large class of finite and infinite measure semiflows. Examples of systems covered by our results include suspensions over…
In this paper we generalize a representation formula for the local time of a function of a semimartingale due to Coquet and Ouknine \cite{Ouknine} , our formula being a pointwise equality between two processes we show in addition that the…
Polar decompositions of quaternion matrices with respect to a given indefinite inner product are studied. Necessary and sufficient conditions for the existence of an $H$-polar decomposition are found. In the process an equivalent to Witt's…
We prove that the polar decomposition of the singular part of a vector measure depends on its conditional expectations computed with respect to the $q$-regular filtration. This dependency is governed by a martingale analog of the so-called…