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We describe a construction process of a relevant measure in any non-empty compact metric space. This probability measure has invariance properties with respect to isometric maps defined on open sets. These properties imply that this measure…
We discuss eternal inflation in context of classical probability spaces defined by a triplet: sample space, $\sigma$-algebra and probability measure. We show that the measure problem is caused by the countable additivity axiom applied to…
Under short sales prohibitions, no free lunch with vanishing risk (NFLVR-S) is known to be equivalent to the existence of an equivalent supermartingale measure for the price processes (Pulido [22]). For two given price processes, we…
Consider Ginibre's ensemble of $N \times N$ non-Hermitian random matrices in which all entries are independent complex Gaussians of mean zero and variance $\frac{1}{N}$. As $N \uparrow \infty$ the normalized counting measure of the…
We revisit the problem of condensation for independent, identically distributed random variables with a power-law tail, conditioned by the value of their sum. For large values of the sum, and for a large number of summands, a condensation…
We provide sufficient conditions for polynomial rate of convergence in the weak law of large numbers for supercritical general indecomposable multi-type branching processes. The main result is derived by investigating the embedded…
Let $\mu$ be a probability measure (or corresponding random variable) such that all moments $\mu_n$ exist. Knowledge of the moments is not sufficient to determine infinite divisibility of the measure; we show also that infinitely divisible,…
The algorithmic theory of randomness is well developed when the underlying space is the set of finite or infinite sequences and the underlying probability distribution is the uniform distribution or a computable distribution. These…
As represented by the Liouville measure, Gaussian multiplicative chaos is a random measure constructed from a Gaussian field. Under certain technical assumptions, we prove the convergence of a process time-changed by Gaussian multiplicative…
We construct a class of nonnegative martingale processes that oscillate indefinitely with high probability. For these processes, we state a uniform rate of the number of oscillations and show that this rate is asymptotically close to the…
We show that if an infinite measure preserving system is well approximated on most of the phase space by a system satisfying the local limit theorem, then the original system enjoys mixing with respect to global observables, that is, the…
The Central Limit Theorem for the random walk on a stationary random network of conductances has been studied by several authors. In one dimension, when conductances and resistances are integrable, and following a method of martingale…
Global null testing is a classical problem going back about a century to Fisher's and Stouffer's combination tests. In this work, we present simple martingale analogs of these classical tests, which are applicable in two distinct settings:…
A tight upper bound is given on the distribution of the maximum of a supermartingale. Specifically, it is shown that if $Y$ is a semimartingale with initial value zero and quadratic variation process $[Y,Y]$ such that $Y + [Y,Y]$ is a…
Suppose we are given two probability measures on the set of one-way infinite finite-alphabet sequences and consider the question when one of the measures predicts the other, that is, when conditional probabilities converge (in a certain…
A maxitive measure is the analogue of a finitely additive measure or charge, in which the usual addition is replaced by the supremum operation. Contrarily to charges, maxitive measures often have a density. We show that maxitive measures…
A result of Arcones implies that if a measure-preserving linear operator $S$ on an abstract Wiener space $(X,H,\mu)$ is strongly mixing, then the set of limit points of the random sequence $((2\log n)^{-1/2}S^n(x))_{n\in\mathbb N}$ equals…
This paper develops a theory for completely random measures in the framework of free probability. A general existence result for free completely random measures is established, and in analogy to the classical work of Kingman it is proved…
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…
We introduce a finite version of free probability for rectangular matrices that amounts to operations on singular values of polynomials. We show that we can replicate the transforms from free probability, and that asymptotically there is…