Related papers: A Note on Some Martingale Inequalities
In this short note, we will strengthen the classic Doob's $L^p$ inequality for sub-martingale processes. Because this inequality is of fundamental importance to the theory of stochastic process, we believe this generalization will find many…
The paper is concerned with sharp estimates of constants in Poincare type inequalities for functions having zero mean value on the boundary of a Lipschitz domain or on a measurable part of it. These estimates are useful for various…
The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to price intervals for European options. The approach provides the trajectory based analogue of martingale-like properties as well as a…
We consider inequalities where integrals are defined in the sense of Choquet with respect to Hausdorff content. We study cases where continuously differentiable functions are defined on open, connected sets with so much regularity that…
The present paper continues the study of infinite dimensional calculus via regularization, started by C. Di Girolami and the second named author, introducing the notion of "weak Dirichlet process" in this context. Such a process $\X$,…
Just like decent classical difference-difference systems define symplectic maps on suitable phase spaces, their counterparts with properly ordered noncommutative entries come as Heisenberg equations of motion for corresponding quantum…
In the late 80s - early 90s J. Moser and A. P. Veselov considered Lagrangian discrete systems on Lie groups with additional symmetry conditions imposed on Lagrangians. They observed that such systems are often integrable…
We consider a class of non-homogeneous Markov chains, that contains many natural examples. Next, using martingale methods, we establish some deviation and moment inequalities for separately Lipschitz functions of such a chain, under moment…
Baez-Duarte (1971) and Gilat (1972) gave examples of martingales that converge in probability (and hence in distribution) but not almost surely. Here such a martingale is constructed with uniformly bounded increments, and a construction is…
We provide sharp estimates for the distribution function of a martingale transform of the indicator function of an event. They are formulated in terms of Burkholder functions, which are reduced to the already known Bellman functions for…
This paper develops techniques to study the number of descents in random permutations via martingales. We relax an assumption in the Berry-Esseen theorem of Bolthausen (1982) to extend the theorem's scope to martingale differences of…
Generalized versions of the entropic (Hirschman-Beckner) and support (Elad-Bruckstein) uncertainty principle are presented for frames representations. Moreover, a sharpened version of the support inequality has been obtained by introducing…
When the limiting compensator of a sequence of martingales is continuous, we obtain a weak convergence theorem for the martingales; the limiting process can be written as a Brownian motion evaluated at the compensator and we find sufficient…
We define dynamic treatment regimes and associated potential outcomes for data described by marked point processes (MPPs). These definitions motivate MPP analogues of the commonly used consistency, exchangeability, and positivity conditions…
In this paper, we present martingale decomposition on time scales. We establish the related backward stochastic dynamic equations on time scales (this paper BS$\nabla$E for short, concerning $\nabla$-integral on time scales) which unify…
We establish some weighted $L^2$ inequalities for Fourier extension operators in the setting of orthonormal systems. In the process we develop a direct approach to such inequalities based on generalised Wigner distributions, complementing…
We present a new approach to noncommutative stochastic calculus that is, like the classical theory, based primarily on the martingale property. Using this approach, we introduce a general theory of stochastic integration and quadratic…
This is a survey note of the author's observations on the discrete-time analogues of It\^o formulas.
The Bernstein inequality is a tight upper bound on tail probabilities for independent random variables. Freedman extended the Bernstein inequality to martingales with differences bounded from above, and then Dzhaparidze and van Zanten…
We consider a general way to obtain Pr\'ekopa-Leindler and Borell-Brascamp-Lieb type inequalities from Brunn-Minkowski type inequalities and provide numerous examples. We use the same heuristic to prove a discrete version of the…