Related papers: From Doob's maximal identity to Azema supermarting…
We study the predictable representation property in the progressive enlargement F^\tau of a reference filtration F by a random time \tau. Our approach is based on the decomposition of any random time into two parts, one overlapping…
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…
Write $\mathbf{A}_\lambda$ for what might be described as the most elementary nontrivial inverse system of abelian groups indexed by the functions from the cardinal $\lambda$ to the set of natural numbers. The question of whether for any…
We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term in the asymptotics in terms of the local characteristics of the…
Recent numerical MHD simulations suggest that magnetic activity may occur in late-type giants. A entire red supergiant with stellar parameters equal to Betelgeuse was modelled in 3d with the high-order "Pencil Code". Linear kinematic and…
We prove the existence of a limit shape and give its explicit description for certain probability distribution on signatures (or highest weights for unitary groups). The distributions have representation theoretic origin-they encode…
We obtain bounds on the distribution of the maximum of a martingale with fixed marginals at finitely many intermediate times. The bounds are sharp and attained by a solution to $n$-marginal Skorokhod embedding problem in Ob{\l}\'oj and…
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)…
For one-dimensional diffusions on the half-line, we study a specific type of conditioning to avoid zero. We introduce supermartingales defined via concave functions with respect to the scale function. A conditioning is formulated through…
The joint moments of the derivatives of the characteristic polynomial of a random unitary matrix, and also a variant of the characteristic polynomial that is real on the unit circle, in the large matrix size limit, have been studied…
We investigate the almost sure asymptotic properties of vector martingale transforms. Assuming some appropriate regularity conditions both on the increasing process and on the moments of the martingale, we prove that normalized moments of…
For a zero-delayed random walk on the real line, let $\tau(x)$, $N(x)$ and $\rho(x)$ denote the first passage time into the interval $(x,\infty)$, the number of visits to the interval $(-\infty,x]$ and the last exit time from $(-\infty,x]$,…
From the perspective of expectations of randomly stopped sums, Wald's equation and the Optional Sampling Theorem identify situations in which the stopping time can be decoupled from the stopping place, acting as if the two were independent.…
We consider random self-avoiding walks between two points on the boundary of a finite subdomain of Z^d (the probability of a self-avoiding trajectory gamma is proportional to mu^{-length(gamma)}). We show that the random trajectory becomes…
In this paper, we associate, to any submartingale of class $(\Sigma)$, defined on a filtered probability space $(\Omega, \mathcal{F}, \mathbb{P}, (\mathcal{F}_t)_{t \geq 0})$, which satisfies some technical conditions, a $\sigma$-finite…
In this paper, long time and high order moment asymptotics for super-Brownian motions (sBm's) are studied. By using a moment formula for sBm's (e.g. Theorem 3.1, Hu et al. Ann. Appl. Probab. 2023+), precise upper and lower bounds for all…
Infinite time Turing machines extend the operation of ordinary Turing machines into transfinite ordinal time. By doing so, they provide a natural model of infinitary computability, a theoretical setting for the analysis of the power and…
We derive the first four terms in a series for the order paramater (the stationary activity density rho) in the supercritical regime of a one-dimensional stochastic sandpile; in the two-dimensional case the first three terms are reported.…
Let $f$ be a transcendental entire function of finite order which has an attracting periodic point $z_0$ of period at least $2$. Suppose that the set of singularities of the inverse of $f$ is finite and contained in the component $U$ of the…
We consider a type of random processes which satisfies the conditional increment condition and obtain an estimate for the tail probability and a Doob-type inequality of the maximum of the process. The main result is that, for processes…