Related papers: Martingale Representation in Progressively Enlarge…
In this paper, we study reflected generalized backward doubly stochastic differential equations driven by Teugels martingales associated with L\'evy process (RGBDSDELs, in short) with one continuous barrier. Under uniformly Lipschitz…
This article shows a strong averaging principle for diffusions driven by discontinuous heavy-tailed L\'evy noise, which are invariant on the compact horizontal leaves of a foliated manifold subject to small transversal random perturbations.…
We prove the Martingale Convergence Theorem by using the work of L. Dubins and I. Monroe about embedding a given discrete-time martingale in the sample paths of a Brownian motion.
We illustrate a process that constructs martingales from raw material that arises naturally from the theory of sampling without replacement.The usefulness of the new martingales is illustrated by the development of maximal inequalities for…
Let $(\Omega,\mathcal{F},(\mathcal{F}_t)_{t \geq 0},\mathbb{P})$ be a filtered probability space satisfying the usual assumptions: it is usually not possible to extend to $\mathcal{F}_{\infty}$ (the $\sigma$-algebra generated by…
In this manuscript a method for developing novel filtering algorithms through the parallel concatenation of two Bayesian filters is illustrated. Our description of this method, called turbo filtering, is based on a new graphical model; this…
Let $\Gamma$ be a non-commutative free group on finitely many generators. In a previous work two of the authors have constructed the class of multiplicative representations of $\Gamma$ and proved them irreducible as representation of…
Let the process Y(t) be a Skorohod integral process with respect to Brownian motion. We use a recent result by Tudor (2004), to prove that Y(t) can be represented as the limit of linear combinations of processes that are products of forward…
We introduce a deep learning method to simulate the motion of particles trapped in a chaotic recirculating flame. The Lagrangian trajectories of particles, captured using a high-speed camera and subsequently reconstructed in 3-dimensional…
We introduce a unified framework for studying persistence phenomena in commutative algebra via filtrations of ideals. For a filtration $\mathcal{F} = \{I_i\}_{i \in \mathbb{N}}$, we define $\mathcal{F}$-persistence and $\mathcal{F}$-strong…
We prove the Paquette-Zeitouni law of fractional logarithm (LFL) for the extreme eigenvalues [arXiv:1505.05627] in full generality, and thereby verify a conjecture from [arXiv:1505.05627]. Our result holds for any Wigner minor process and…
The law of the iterated logarithm (LIL) for the time-homogeneous Markov process with a unique invariant measure characterizes the almost sure maximum possible fluctuation of time averages around the ergodic limit. Whether a numerical…
We consider a natural analogue of Brownian motion on free orthogonal quantum groups and prove that it exhibits a cutoff at time $N\ln(N)$. Then, we study the induced classical process on the real line and compute its atoms and density. This…
To construct an N-representable time-dependent density-functional theory, a generalization to the time domain of the Levy-Lieb (LL) constrained search algorithm is required. That the action is only stationary in the Dirac-Frenkel…
We propose a unified framework to study policy evaluation (PE) and the associated temporal difference (TD) methods for reinforcement learning in continuous time and space. We show that PE is equivalent to maintaining the martingale…
We develop a martingale approximation approach to studying the limiting behavior of quadratic forms of Markov chains. We use the technique to examine the asymptotic behavior of lag-window estimators in time series and we apply the results…
Within a path integral formalism for non-Gaussian price fluctuations we set up a simple stochastic calculus and derive a natural martingale for option pricing from the wealth balance of options, stocks, and bonds. The resulting formula is…
We study the dynamics of erasing randomly chosen letters from words by introducing a certain class of discrete-time stochastic processes, general erased-word processes(GEWPs), and investigating three closely related topics: Representation,…
In this paper we review some old and new results about the enlargement of filtrations problem, as well as their applications to credit risk and insider trading problems. The enlargement of filtrations problem consists in the study of…
This work shows how exponential concentration inequalities for additive functionals of stochastic processes over a finite time interval can be derived from concentration inequalities for martingales. The approach is entirely probabilistic…