Related papers: Martingale spaces and representations under absolu…
We study theories of spaces of random variables: first, we consider random variables with values in the interval $[0,1]$, then with values in an arbitrary metric structure, generalising Keisler's randomisation of classical structures. We…
We show that the probability of a site being occupied at any instance of time in the one-dimensional randomly fluctuating hyperrectangles processes decreases monotonically with respect to its distance from the origin.
We prove that the only entrywise transforms of rectangular matrices which preserve total positivity or total non-negativity are either constant or linear. This follows from an extended classification of preservers of these two properties…
We use the martingale-theoretic approach of game-theoretic probability to incorporate imprecision into the study of randomness. In particular, we define a notion of computable randomness associated with interval, rather than precise,…
We obtain results concerning the so-called factorization for the convergence of random variables almost everywhere (almost surely or with probability one), belonging to the classical Lebesgue-Riesz spaces and we extend these results to the…
We use the abstract method of (local) martingale problems in order to give criteria for convergence of stochastic processes. Extending previous notions, the formulation we use is neither restricted to Markov processes (or semimartingales),…
We study stable matchings that are robust to preference changes in the two-sided stable matching setting of Gale and Shapley[GS62]. Given two instances $A$ and $B$ on the same set of agents, a matching is said to be robust if it is stable…
The Random Orthogonal Model (ROM) of Marinari-Parisi-Ritort [MPR1,MPR2] is a model of statistical mechanics where the couplings among the spins are defined by a matrix chosen randomly within the orthogonal ensemble. It reproduces the most…
Let $L$ be a convex cone of real random variables on the probability space $(\Omega,\mathcal{A},P_0)$. The existence of a probability $P$ on $\mathcal{A}$ such that $$ P \sim P_0,\quad E_P \abs{X}< \infty\, \text{ and } \, E_P(X) \leq 0\,…
In the paper, the martingales and super-martingales relative to a regular set of measures are systematically studied. The notion of local regular super-martingale relative to a set of equivalent measures is introduced and the necessary and…
The aim of this paper is to deepen the analysis of the asymptotic behavior of the so-called minimal random walk (MRW) using a new martingale approach. The MRW is a discrete-time random walk with infinite memory that has three regimes…
We investigate the statistical properties of a piecewise smooth dynamical system by studying directly the action of the transfer operator on appropriate spaces of distributions. We accomplish such a program in the case of two-dimensional…
In this article, we investigate sequences of discontinuous martingales on submanifolds of higher-dimensional Euclidean space. Those sequences naturally arise when we deal with a sequence of harmonic maps with respect to non-local Dirichlet…
This paper considers maximum likelihood (ML) estimation in a large class of models with hidden Markov regimes. We investigate consistency of the ML estimator and local asymptotic normality for the models under general conditions which allow…
Strassen's classical martingale coupling theorem states that two real-valued random variables are ordered in the convex (resp.\ increasing convex) stochastic order if and only if they admit a martingale (resp.\ submartingale) coupling. By…
In the paper, the martingales and super-martingales relative to a convex set of equivalent measures are systematically studied. The notion of local regular super-martingale relative to a convex set of equivalent measures is introduced and…
We construct two examples of invariant manifolds that despite being locally unstable at every point in the transverse direction are globally stable. Using numerical simulations we show that these invariant manifolds temporarily repel nearby…
We consider implied volatilities in asset pricing models, where the discounted underlying is a strict local martingale under the pricing measure. Our main result gives an asymptotic expansion of the right wing of the implied volatility…
We study infinite-horizon robust Markov decision processes (MDPs) on continuous state spaces with structured rectangular ambiguity set. The proposed ambiguity set falls within the convex hull of unknown generating kernels. We utilize the…
In recent years various results about locally symmetric manifolds were proven using probabilistic approaches. One of the approaches is to consider random manifolds by associating a probability measure to the space of discrete subgroups of…