Related papers: Martingale Representation in Progressively Enlarge…

We construct representation theory of Lie algebras with filtrations. In this framework a classification of irreducible representations is obtained and spectra of some reducible representations are found.

A continuous-time particle system on the real line satisfying the branching property and an exponential integrability condition is called a branching L\'evy process, and its law is characterized by a triplet $(\sigma^2,a,\Lambda)$. We…

Stochastic filtering refers to estimating the probability distribution of the latent stochastic process conditioned on the observed measurements in time. In this paper, we introduce a new class of convergent filters that represent the…

We show that representations of the Thompson group $F$ in the automorphisms of a noncommutative probability space yield a large class of bilateral stationary noncommutative Markov processes. As a partial converse, bilateral stationary…

In [16], under mild conditions, a Wiener-Hopf type factorization is derived for the exponential functional of proper L\'evy processes. In this paper, we extend this factorization by relaxing a finite moment assumption as well as by…

The martingale part in the semimartingale decomposition of a Brownian motion with respect to an enlargement of its filtration, is an anticipative mapping of the given Brownian motion. In analogy to optimal transport theory, we define causal…

We give new proofs of certain equivalent conditions for the existence of generalized moments of a L\'evy process $(X_t)_{t\geq 0}$; in particular, the existence of a generalized $g$-moment is equivalent to the uniform integrability of…

Let K be a maximal unramified extension of a nonarchimedean local field with arbitrary residual characteristic p. Let G be a reductive group over K which splits over a tamely ramified extension of K. We show that the associated Moy-Prasad…

In this paper we establish a complete representation theorem for $G$-martingales. Unlike the existing results in the literature, we provide the existence and uniqueness of the second order term, which corresponds to the second order…

In this paper, we will discuss an approximation of the characteristic function of the first passage time for a Levy process using the martingale approach. The characteristic function of the first passage time of the tempered stable process…

Let $L$ be a L\'evy-type generator whose L\'evy measure is controlled from below by that of a non-degenerate $\alpha$-stable ($0<\alpha<2$) process. In this paper, we study the martingale problem for the operator $\mathcal{L}_{t}=L+K_{t}$,…

We discuss the first passage time problem in the semi-infinite interval, for homogeneous stochastic Markov processes with L{\'e}vy stable jump length distributions $\lambda(x)\sim\ell^{\alpha}/|x|^{1+\alpha}$ ($|x|\gg\ell$), namely,…

We give a bare-hands approach to the martingale representation theorem for integer valued random measures, which allows for a wide class of infinite activity jump processes, as well as all processes with well-ordered jumps.

Invariance times are stopping times $\tau$ such that local martingales with respect to some reduced filtration and an equivalently changed probability measure, stopped before $\tau$ , are local martingales with respect to the original model…

Let $F$ be a $p$-adic field. Let $\mathcal{R}$ be the Grothendieck ring of complex smooth finite-length representations of the groups $\{GL_n(F)\}_{n=0}^\infty$ taken together, with multiplication defined in the sense of parabolic…

We consider a complete probability space $(\Omega,\mathcal{F},\mathbb{P})$, which is endowed with two filtrations, $\mathbb{G}$ and $\mathbb{F}$, assumed to satisfy the usual conditions and such that $\mathbb{F} \subset \mathbb{G}$. On this…

In this note we introduce a new kind of augmentation of filtrations along a sequence of stopping times. This augmentation is suitable for the construction of new probability measures associated to a positive strict local martingale as done…

A spectral representation for regularly varying L\'evy processes with index between one and two is established and the properties of the resulting random noise are discussed in detail giving also new insight in the $L^2$-case where the…

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…

In this paper our first goal is to give precise definition of the L\'evy bridges with random length. Our second task is to establish the Markov property of this process with respect to its completed natural filtration and thus with respect…