Related papers: Martingale representations in progressive enlargem…
We extend Haviland's theorem on the integral representation of positive linear functionals on usual (real multivariate) polynomials to the integral representation of positive linear maps on operator polynomials mapping into the space of…
The ability to represent complex high dimensional probability distributions in a compact form is one of the key insights in the field of graphical models. Factored representations are ubiquitous in machine learning and lead to major…
In this paper we generalize a representation formula for the local time of a function of a semimartingale due to Coquet and Ouknine \cite{Ouknine} , our formula being a pointwise equality between two processes we show in addition that the…
We discuss pointwise behavior of weak supersolutions for a class of doubly nonlinear parabolic fractional $p$-Laplace equations which includes the fractional parabolic $p$-Laplace equation and the fractional porous medium equation. More…
We consider the variational wave equation in one-dimensional space with stochastic forcing by an additive noise. Blow-up of local smooth solutions is established, and global existence is proved in the class of weak martingale solutions.
For a real-valued one dimensional diffusive strict local martingale,, we provide a set of smooth functions in which the Cauchy problem has a unique classical solution under a local H\"older condition. Under the weaker Engelbert-Schmidt…
We study multipole decompositions of the electromagnetic currents of spin-1/2, 1, and 3/2 particles described in terms of Lagrangians designed to reproduce representation specific wave equations which are second order in the momenta and…
The aim of this paper is to study some continuous-time bivariate Markov processes arising from group representation theory. The first component (level) can be either discrete (quasi-birth-and-death processes) or continuous (switching…
We present sufficient conditions, in terms of the jumping kernels, for two large classes of conservative Markov processes of pure-jump type to be purely discontinuous martingales with finite second moment. As an application, we establish…
Starting from the seventies mathematicians face the question whether a non-negative local martingale is a true or a strict local martingale. In this article we answer this question from a semimartingale perspective. We connect the…
We prove the local Gross-Prasad conjecture for generic L-packets of representations of special orthogonal groups. The proof uses the same result for tempered L-packets proved in a preceding paper, and irreducibility results for the induced…
We formulate and solve the martingale problem in a nonlinear expectation space. Unlike the classical work of Stroock and Varadhan (1969) where the linear operator in the associated PDE is naturally defined from the corresponding diffusion…
On a probability space $(\Omega,\mathcal{A},\mathbb{Q})$ we consider two filtrations $\mathbb{F}\subset \mathbb{G}$ and a $\mathbb{G}$ stopping time $\theta$ such that the $\mathbb{G}$ predictable processes coincide with $\mathbb{F}$…
Image representation is an important topic in computer vision and pattern recognition. It plays a fundamental role in a range of applications towards understanding visual contents. Moment-based image representation has been reported to be…
Fractional Poisson processes, a rapidly growing area of non-Markovian stochastic processes, are useful in statistics to describe data from counting processes when waiting times are not exponentially distributed. We show that the fractional…
Lions and Musiela (2007) give sufficient conditions to verify when a stochastic exponential of a continuous local martingale is a martingale or a uniformly integrable martingale. Blei and Engelbert (2009) and Mijatovi\'c and Urusov (2012c)…
In the present paper, we study the chaotic representation property for certain families of square integrable martingales. For this purpose, we introduce the notion of compensated-covariation stability of such families. The chaotic…
Continuous-time Markov chains describing interacting processes exhibit a state space that grows exponentially in the number of processes. This state-space explosion renders the computation or storage of the time-marginal distribution, which…
A variational method is used to derive a self-consistent macro-particle model for relativistic electromagnetic kinetic plasma simulations. Extending earlier work [E. G. Evstatiev and B. A. Shadwick, J. Comput. Phys., vol. 245, pp. 376-398,…
We construct a family of self-similar Markov martingales with given marginal distributions. This construction uses the self-similarity and Markov property of a reference process to produce a family of Markov processes that possess the same…