Related papers: A Note on Some Martingale Inequalities
We suggest two versions of the Hardy--Littlewood--Sobolev inequality for discrete time martingales. In one version, the fractional integration operator is a martingale transform, however, it may vanish if the filtration is excessively…
In this work, new finite difference schemes are presented for dealing with the upper-convected time derivative in the context of the generalized Lie derivative. The upper-convected time derivative, which is usually encountered in the…
In this article, we investigate the convergence rate of the discrete-time Clark--Ocone formula provided by Akahori--Amaba--Okuma [1]. In that paper, they mainly focus on the $L_{2}$-convergence rate of the first-order error estimate related…
We introduce a Skorokhod type integral and prove an Ito formula for a wide class of Gaussian processes which may exhibit stochastic discontinuities. Our Ito formula unifies and extends the classical one for general (i.e., possibly…
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…
We present a novel backward It{\^o}-Ventzell formula and an extension of the Aleeksev-Gr\"obner interpolating formula to stochastic flows. We also present some natural spectral conditions that yield direct and simple proofs of time uniform…
We give H\"older's inequalities for integral and conditional expectation involving the infinite product. Moreover, a generalized Doob maximal operator is introduced and weighted inequalities for the operator are established.
The central limit theorem of martingales is the fundamental tool for studying the convergence of stochastic processes, especially stochastic integrals and differential equations. In this paper, general central limit theorems and functional…
When dealing with stiff conservation laws, explicit time integration forces to employ very small time steps, due to the restrictive CFL stability condition. Implicit methods offer an alternative, yielding the possibility to choose the time…
A comparison principle for stochastic integro-differential equations driven by Levy processes is proved. This result is obtained via an extension of an Ito formula from [11] for the square of the norm of the positive part of $L_2-$valued,…
We show a decomposition into the sum of a martingale and a deterministic quantity for time averages of the solutions to non-autonomous SDEs and for discrete-time Markov processes. In the SDE case the martingale has an explicit…
In this work, the z-transform is presented to analyze time-discrete solutions for Volterra integrodifferential equations (VIDEs) with nonsmooth multi-term kernels in the Hilbert space, and this class of continuous problem was first…
Let $(W,H,\mu)$ be the classical Wiener space on $\R^d$. Assume that $X=(X_t)$ is a diffusion process satisfying the stochastic differential equation $dX_t=\sigma(t,X)dB_t+b(t,X)dt$, where $\sigma:[0,1]\times C([0,1],\R^n)\to \R^n\otimes…
We provide a simple proof, as well as several generalizations, of a recent result by Davis and Suh, characterizing a class of continuous submartingales and supermartingales that can be expressed in terms of a squared Brownian motion and of…
Inference in Bayesian statistics involves the evaluation of marginal likelihood integrals. We present algebraic algorithms for computing such integrals exactly for discrete data of small sample size. Our methods apply to both uniform priors…
We establish uniform Lipschitz estimates for second-order elliptic systems in divergence form with rapidly oscillating, almost-periodic coefficients. We give interior estimates as well as estimates up to the boundary in bounded…
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 discuss some conjectural inequalities that are related to singular integrals, martingales, quasiconformal mappings, and the calculus of variations. Specifically, we present evidence for a conjecture of Iwaniec concerning the best…
We present a unified technique for sequential estimation of convex divergences between distributions, including integral probability metrics like the kernel maximum mean discrepancy, $\varphi$-divergences like the Kullback-Leibler…
For a sequence of complex Wiener-Ito multiple integrals, the equivalence between the convergence of the symmetrized contraction norms and that of the non-symmetrized contraction norms is shown directly by means of a new version of complex…