Related papers: Hyperfinite Construction of $G$-expectation
We give a generalization of the ergodic theorem for semi-Markov linear-type processes. This generalization is proved for the case when a common support of distributions defining this process is not arithmetic. Also we give an uniform…
In this paper we study the continuous dynamical sampling problem at infinite time in a complex Hilbert space $\mathcal{H}$. We find necessary and sufficient conditions on a bounded linear operator $A\in\mathcal{B}(\mathcal{H})$ and a set of…
This paper introduces a space of variable lotteries and proves a constructive version of the expected utility theorem. The word ``constructive'' is used here in two senses. First, as in constructive mathematics, the logic underlying proofs…
We extend Peng's maximum principle to the case of stochastic delay differential equations of mean-field type. More precisely, the coefficients of our control problem depend on the state, on the past trajectory and on its expected value.…
This paper establishes sharp dimension-free concentration and expectation bounds for the deviation of a sample cross-covariance matrix from its mean. For sub-Gaussian random vectors, we prove a high-probability operator-norm bound governed…
The classical law of the iterated logarithm (LIL for short)as fundamental limit theorems in probability theory play an important role in the development of probability theory and its applications. Strassen (1964) extended LIL to large…
We develop a renormalization group (RG) procedure that includes important system-specific features. The key ingredient is to systematize the coarse graining procedure that generates the RG flow. The coarse graining technology comes from…
We construct gauge theory of SU(3)xSU(2)xU(1) by spectral cover from F-theory and ask how the Standard Model is extended under minimal assumptions on Higgs sector. For the requirement on different numbers between Higgs pairs and matter…
We construct a class of nonnegative martingale processes that oscillate indefinitely with high probability. For these processes, we state a uniform rate of the number of oscillations and show that this rate is asymptotically close to the…
Higher gauge theory is a higher order version of gauge theory that makes possible the definition of 2-dimensional holonomy along surfaces embedded in a manifold where a gauge 2-connection is present. In this paper, we will continue the…
In this paper, we study the integral representation of g-expectations with two kinds of terminal constraints, and obtain the corresponding necessary and sufficient conditions.
We establish the duality-formula for the superreplication price in a setting of volatility uncertainty which includes the example of "random G-expectation." In contrast to previous results, the contingent claim is not assumed to be…
The Carleman linearization is one of the mainstream approaches to lift a finite-dimensional nonlinear dynamical system into an infinite-dimensional linear system with the promise of providing accurate approximations of the original…
Generalized conditional expectations, optional projections and predictable projections of stochastic processes play important roles in the general theory of stochastic processes, semimartingale theory and stochastic calculus. They share…
We consider the multiple products of relevant and marginal scalar composite operators at the Gaussian fixed-point in $D=4$ dimensions. This amounts to perturbative construction of the $\phi^4$ theory where the parameters of the theory are…
We show that if $G$ is a finitely generated group hyperbolic relative to a finite collection of subgroups $\mathcal{P}$, then the natural action of $G$ on the geodesic boundary of the associated relative Cayley graph induces a hyperfinite…
In this paper, we study the discrete-time approximation schemes for a class of backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs) which corresponds to the hedging pricing of European contingent claims. By…
The aim of this paper is to study the recovery of a spatially dependent potential in a (sub)diffusion equation from overposed final time data. We construct a monotone operator one of whose fixed points is the unknown potential. The…
In this paper, a new axiomatization for unbounded functional calculi is proposed and the associated theory is elaborated comprising, among others, uniqueness and compatibility results and extension theorems of algebraic and topological…
Current tests for nonlinearity compare a time series to the null hypothesis of a Gaussian linear stochastic process. For this restricted null assumption, random surrogates can be constructed which are constrained by the linear properties of…