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The martingale expansion provides a refined approximation to the marginal distributions of martingales beyond the normal approximation implied by the martingale central limit theorem. We develop a martingale expansion framework specifically…
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…
This overview article concerns the notion of fractional smoothness of random variables of the form $g(X_T)$, where $X=(X_t)_{t\in [0,T]}$ is a certain diffusion process. We review the connection to the real interpolation theory, give…
A multiplicative cascade can be thought of as a randomization of a measure on the boundary of a tree, constructed from an iid collection of random variables attached to the tree vertices. Given an initial measure with certain regularity…
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,…
Is this paper we study penalisations of diffusions satisfying some technical conditions, generalizing a result obtained by Najnudel, Roynette and Yor. If one of these diffusions has probability distribution $\mathbb{P}$, then our result can…
For a diffusion X_t in a one-dimensional Wiener medium W, it is known that there is a certain process b_x(W) that depends only on the environment W, so that X_t-b_{logt}(W) converges in distribution as t goes to infinity. We prove that,…
We provide verification theorems (at different levels of generality) for infinite horizon stochastic control problems in continuous time for semimartingales. The control framework is given as an abstract "martingale formulation", which…
In this paper we consider parameter estimation for discretely observed diffusion processes. In particular, we focus on data that are observed at low frequency and methodology that can estimate parameters with uncertainty quantification.…
Suppose that $(X,Y,Z)$ is a random walk in $\mathbb{Z}^3$ that moves in the following way: on the first visit to a vertex only $Z$ changes by $\pm 1$ equally likely, while on later visits to the same vertex $(X,Y)$ performs a…
We give a necessary and sufficient condition on a sequence of functions on a set $\Omega$ under which there is a measure on $\Omega$ which renders the given sequence of functions a martingale. Further such a measure is unique if we impose a…
According to a theorem of S. Schumacher and T. Brox, for a diffusion $X$ in a Brownian environment it holds that $(X_t-b_{\log t})/\log^2t\to 0 $ in probability, as $t\to\infty$, where $b_{\cdot}$ is a stochastic process having an explicit…
We derive diffusion constants and martingales for senile random walks with the help of a time-change. We provide direct computations of the diffusion constants for the time-changed walks. Alternatively, the values of these constants can be…
We analyze circumstances under which the microscopic dynamics of particles which are driven by a forced, gradient-type flow can be consistently interpreted as a Markovian diffusion process. Special attention is paid to discriminating…
Through the analysis of unbiased random walks on fractal trees and continuous time random walks, we show that even if a process is characterized by a mean square displacement (MSD) growing linearly with time (standard behaviour) its…
Point processes often have a natural interpretation with respect to a continuous process. We propose a point process construction that describes arrival time observations in terms of the state of a latent diffusion process. In this…
We study representations of a random variable $\xi$ as an integral of an adapted process with respect to the Lebesgue measure. The existence of such representations in two different regularity classes is characterized in terms of the…
We present analytical results for the biased diffusion of particles moving under a constant force in a randomly layered medium. The influence of this medium on the particle dynamics is modeled by a piecewise constant random force. The…
Two aspects of noncolliding diffusion processes have been extensively studied. One of them is the fact that they are realized as harmonic Doob transforms of absorbing particle systems in the Weyl chambers. Another aspect is integrability in…
This paper introduces a martingale that characterizes two properties of evolving forecast distributions. Ideal forecasts of a future event behave as martingales, sequen- tially updating the forecast to leverage the available information as…