Related papers: Asymmetric Doob inequalities in continuous time
We present the formalization of Doob's martingale convergence theorems in the mathlib library for the Lean theorem prover. These theorems give conditions under which (sub)martingales converge, almost everywhere or in $L^1$. In order to…
This paper is devoted to the study of an inertial accelerated primal-dual algorithm, which is based on a second-order differential system with time scaling, for solving a non-smooth convex optimization problem with linear equality…
In this paper, we consider the filtering and smoothing recursions in nonparametric finite state space hidden Markov models (HMMs) when the parameters of the model are unknown and replaced by estimators. We provide an explicit and time…
This thesis is concerned with the stochastic filtering problem for a hidden Markov model (HMM) with the white noise observation model. For this filtering problem, we make three types of original contributions: (1) dual controllability…
We prove several noncommutative maximal inequalities associated with convex functions, including a Doob type inequality for a convex function of maximal operators on noncommutative martingales, noncommutative Dunford-Schwartz and Stein…
Discrete time control systems whose dynamics and observations are described by stochastic equations are common in engineering, operations research, health care, and economics. For example, stochastic filtering problems are usually defined…
The maximal inequalities for diffusion processes have drawn increasing attention in recent years. However, the existing proof of the $L^p$ maximum inequalities for the Ornstein-Uhlenbeck process was dubious. Here we give a rigorous proof of…
We consider a Hidden Markov Model (HMM) where the integrated continuous-time Markov chain can be observed at discrete time points perturbed by a Brownian motion. The aim is to derive a filter for the underlying continuous-time Markov chain.…
We propose a novel approach in noncommutative probability, which can be regarded as an analogue of good-$\lambda$ inequalities from the classical case due to Burkholder and Gundy (Acta Math {\bf124}: 249-304,1970). This resolves a…
In the theory of progressive enlargements of filtrations, the supermartingale $Z_{t}=\mathbf{P}(g>t\mid \mathcal{F}_{t}) $ associated with an honest time g, and its additive (Doob-Meyer) decomposition, play an essential role. In this paper,…
In this work, Bernstein's concentration inequalities for squared integrable matrix-valued discrete-time martingales are obtained. Based on Lieb's theory and Bernstein's condition, a suitable supermartingale can be constructed. Our proof is…
Random contractions (sub-unitary random matrices) appear naturally when considering quantized chaotic maps within a general theory of open linear stationary systems with discrete time. We analyze statistical properties of complex…
Let $\mathcal{M}$ be a semifinite von Nemann algebra equipped with an increasing filtration $(\mathcal{M}_n)_{n\geq 1}$ of (semifinite) von Neumann subalgebras of $\M$. For $0<p \leq\infty$, let $\h_p^c(\mathcal{M})$ denote the…
We study Doob's martingale convergence theorem for computable continuous time martingales on Brownian motion, in the context of algorithmic randomness. A characterization of the class of sample points for which the theorem holds is given.…
We consider a class of filtering problems for large populations where each individual is modeled by the same hidden Markov model (HMM). In this paper, we focus on aggregate inference problems in HMMs with discrete state space and continuous…
We consider a class of porous medium type of equations with Caputo time derivative. The prototype problem reads as $\Dc u=-\A u^m$ and is posed on a bounded Euclidean domain $\Omega\subset\mathbb{R}^N$ with zero Dirichlet boundary…
We study martingale inequalities from an analytic point of view and show that a general martingale inequality can be reduced to a pair of deterministic inequalities in a small number of variables. More precisely, the optimal bound in the…
To measure the shape similarity of point sets, various notions of the Hausdorff distance under translation are widely studied. In this context, for an $n$-point set $P$ and $m$-point set $Q$ in $\mathbb{R}^d$, we consider the task of…
The long time behavior of a couple of interacting asymmetric exclusion processes of opposite velocities is investigated in one space dimension. We do not allow two particles at the same site, and a collision effect (exchange) takes place…
An explicit sufficient condition on the hypercontractivity is derived for the Markov semigroup associated to a class of functional stochastic differential equations. Consequently, the semigroup $P_t$ converges exponentially to its unique…