Related papers: Weak Tail Conditions for Local Martingales
Under mild regularity assumptions, the transport problem is stable in the following sense: if a sequence of optimal transport plans $\pi_1, \pi_2, \ldots$ converges weakly to a transport plan $\pi$, then $\pi$ is also optimal (between its…
It is shown that delta hedging provides the optimal trading strategy in terms of minimal required initial capital to replicate a given terminal payoff in a continuous-time Markovian context. This holds true in market models where no…
Given a positive random variable $X$, $X\ge0$ a.s., a null hypothesis $H_0:E(X)\le\mu$ and a random sample of infinite size of $X$, we construct test supermartingales for $H_0$, i.e. positive processes that are supermartingale if the null…
We prove a version of the local Tb Theorem assuming that the accretive functions b_Q and T b_Q are locally L ^{p} integrable, for any 1< p < \infty . This improves a recent result of Hytonen-Nazarov. The proof strategy relies upon the their…
For a $d$-dimensional stochastic process $(S_n)_{n=0}^N$ we obtain criteria for the existence of an equivalent martingale measure, whose density $z$, up to a normalizing constant, is bounded from below by a given random variable $f$. We…
This article is devoted to obtain new sufficient conditions for an extremum in problems of classical calculus of variations. The concept of a set of integrands is introduced. Using this concept, first and second order sufficient conditions…
Every orthonomic system of partial differential equations is known to possess a finite number of integrability conditions sufficient to ensure the validity of all. Herewith we offer an efficient algorithm to construct a sufficient set of…
Infinite sums of i.i.d. random variables discounted by a multiplicative random walk are called perpetuities and have been studied by many authors. The present paper provides a log-type moment result for such random variables under minimal…
Finite sample properties of random covariance-type matrices have been the subject of much research. In this paper we focus on the "lower tail" of such a matrix, and prove that it is subgaussian under a simple fourth moment assumption on the…
We prove a weak-type (1,1) inequality for square functions of non-commutative martingales that are simultaneously bounded in $L^2$ and $L^1$. More precisely, the following non-commutative analogue of a classical result of Burkholder holds:…
We establish a local martingale $M$ associate with $f(X,Y)$ under some restrictions on $f$, where $Y$ is a process of bounded variation (on compact intervals) and either $X$ is a jump diffusion (a special case being a L\'evy process) or $X$…
This paper is devoted to tangent martingales in Banach spaces. We provide the definition of tangency through local characteristics, basic $L^p$- and $\phi$-estimates, a precise construction of a decoupled tangent martingale, new estimates…
While many questions in (robust) finance can be posed in the martingale optimal transport (MOT) framework, others require to consider also non-linear cost functionals. Following the terminology of Gozlan, Roberto, Samson and Tetali this…
We prove that, for locally bounded processes, absence of arbitrage opportunities of the first kind is equivalent to the existence of a dominating local martingale measure. This is related to and motivated by results from the theory of…
It is known that any finite idempotent algebra that satisfies a nontrivial Maltsev condition must satisfy the linear one-equality Maltsev condition (a variant of the term discovered by M. Siggers and refined by K. Kearnes, P. Markovi\'c,…
In a seminal paper Biggins and Kyprianou \cite{BKy04} proved the existence of a non degenerate limit for the {\it Derivative martingale} of the branching random walk. As shown in \cite{Aid11} and \cite{Mad11}, this is an object of central…
A new class of rings, {\em the class of weakly left localizable rings}, is introduced. A ring $R$ is called {\em weakly left localizable} if each non-nilpotent element of $R$ is invertible in some left localization $S^{-1}R$ of the ring…
We give a theory of sublinear expectations and martingales in discrete time. Without assuming the existence of a dominating probability measure, we derive the extensions of classical results on uniform integrability, optional stopping of…
A local Tb Theorem provides a flexible framework for proving the boundedness of a Calder\'on-Zygmund operator T. One needs only boundedness of the operator T on systems of locally pseudo-accretive functions \{b_Q\}, indexed by cubes. We…
In the program to classify C$^*$-algebras, it is very important to find abstract conditions which are sufficient to imply that a given algebra has tracial rank zero, in the sense of Huaxin Lin. Even in the presence of a unique trace, we…