Related papers: Weak Tail Conditions for Local Martingales

Let $M,N$ be real-valued martingales such that $N$ is differentially subordinate to $M$. The paper contains the proofs of the following weak-type inequalities: (i) If $M\geq0$ and $0<p\leq1$, then \[\Vert N\Vert_{p,\infty}\leq2\Vert…

Let $\mathfrak{z}$ be a stochastic exponential, i.e., $\mathfrak{z}_t=1+\int_0^t\mathfrak{z}_{s-}dM_s$, of a local martingale $M$ with jumps $\triangle M_t>-1$. Then $\mathfrak{z}$ is a nonnegative local martingale with $\E\mathfrak{z}_t\le…

New proofs are given of the existence of the compensator (or dual predictable projection) of a locally integrable c\'adl\'ag adapted process of finite variation and of the existence of the quadratic variation process for a c\'adl\'ag local…

In this paper, we construct martingale suitable weak solutions for $3$-dimensional incompressible stochastic Navier-Stokes equations with generally non-linear noise. In deterministic setting, as widely known, ``suitable weak solutions'' are…

We propose a method to bound the expectation of the supremum of the price process in stochastic volatility models. It can be applied, for example, to the rough Bergomi model, avoiding the need to discuss finiteness of higher moments. Our…

This work is concerned with tests on structural breaks in the spot volatility process of a general It\^o semimartingale based on discrete observations contaminated with i.i.d. microstructure noise. We construct a consistent test building up…

We discuss the martingales in relevance with $G$-strongly quasi-invariant states on a $C^*$-algebra $\mathcal A$, where $G$ is a separable locally compact group of $*$-automorphisms of $\mathcal A$. In the von Neumann algebra $\mathfrak A$…

We establish necessary optimality conditions for variational problems with a Lagrangian depending on a combined Caputo derivative of variable fractional order. The endpoint of the integral is free, and thus transversality conditions are…

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…

Let A be a commutative ring, and let \a = \frak{a} be a finitely generated ideal in it. It is known that a necessary and sufficient condition for the derived \a-torsion and \a-adic completion functors to be nicely behaved is the weak…

We consider a change of measure by a martingale $Z_t$ and clarify that in general $1/Z_t$ is only a supermartingale under the changed measure. We then give a necessary and sufficient condition for the event that the limit of the martingale…

Programs with randomization constructs is an active research topic, especially after the recent introduction of martingale-based analysis methods for their termination and runtimes. Unlike most of the existing works that focus on proving…

In this paper we continue our study of local rigidity for maps of CR submanifolds of the complex space. We provide a linear sufficient condition for local rigidity of finitely nondegenerate maps between minimal CR manifolds. Furthermore, we…

Consider a real-valued branching random walk in the boundary case. Using the techniques developed by A\"id\'ekon and Shi [5], we give two integral tests which describe respectively the lower limits for the minimal position and the upper…

We give an explicit description of the law of terminal value $W$ of additive martingales in a remarkable branching stable process. We show that the right tail probability of the terminal value decays exponentially fast and the left tail…

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…

In this paper we find necessary and sufficient conditions for the weak convergence of c-free convolution of pairs of measures, where the measures are assumed to be infinitesimal and their support may be unbounded. These results are obtained…

While many questions in robust finance can be posed in the martingale optimal transport framework or its weak extension, others like the subreplication price of VIX futures, the robust pricing of American options or the construction of…

Let $L^0$ be the vector space of all (equivalence classes of) real-valued random variables built over a probability space $(\Omega, \mathcal{F}, P)$, equipped with a metric topology compatible with convergence in probability. In this work,…

A strict local martingale is a local martingale that is not a martingale. We investigate how such a process might arise from a true martingale as a result of an enlargement of the filtration. We study and implement a particular type of…