Related papers: A composite generalization of Ville's martingale t…
For a sequence of independent events $E_n$ the sum of the associated zero-one random variables $1_{E_n}$ is almost surely finite or almost surely infinite according as the sum of the probabilities converges or diverges. In this paper the…
n infinite two-player zero-sum game with a Borel winning set, in which the opponent's actions are monitored eventually but not necessarily immediately after they are played, is determined. The proof relies on a representation of the game as…
In this paper, a sum rule means a relationship between a functional defined on a subset of all probability measures on $\mathbb{R}$ involving the reverse Kullback-Leibler divergence with respect to a particular distribution and recursion…
Continuity of measure asserts that the measure of the union of an increasing sequence of sets is equal to the supremum of the measures of those sets. We provide counter examples in the case of uncountable unions. We construct the first…
The van Lambalgen theorem is a surprising result in algorithmic information theory concerning the symmetry of relative randomness. It establishes that for any pair of infinite sequences $A$ and $B$, $B$ is Martin-L\"of random and $A$ is…
It is well known that any projective measurement can be decomposed into a sequence of weak measurements, which cause only small changes to the state. Similar constructions for generalized measurements, however, have relied on the use of an…
We extend the study of \emph{melonic} quartic tensor models to models with arbitrary quartic interactions. This extension requires a new version of the loop vertex expansion using several species of intermediate fields and iterated…
We obtain a condition for the $L^q$-convergence of martingales generated by random multiplicative cascade measures for $q>1$ without any self-similarity requirements on the cascades.
Let L be a countable language. We say that a countable infinite L-structure M admits an invariant measure when there is a probability measure on the space of L-structures with the same underlying set as M that is invariant under…
The classic model of computable randomness considers martingales that take real or rational values. Recent work by Bienvenu et al. (2012) and Teutsch (2014) shows that fundamental features of the classic model change when the martingales…
We reveal a contradiction in measure-theoretic probability. The contradiction is an "equation" $1/2 = 0$ with its two sides representing probabilities. Unlike known paradoxes in mathematics, the revealed contradiction cannot be explained…
A basic result of large deviations theory is Sanov's theorem, which states that the sequence of empirical measures of independent and identically distributed samples satisfies the large deviation principle with rate function given by…
The \emph{sum-product phenomenon} predicts that a finite set $A$ in a ring $R$ should have either a large sumset $A+A$ or large product set $A \cdot A$ unless it is in some sense "close" to a finite subring of $R$. This phenomenon has been…
Let $\lambda$ be a probability measure on $\mathbb T^{n-1}$ where $n=2$ or 3. Suppose $\lambda$ is invariant, ergodic and has positive entropy with respect to the linear transformation defined by a hyperbolic matrix. We get a measure $\mu $…
A random vector $X=(X_1,\ldots,X_n)$ with the $X_i$ taking values in an arbitrary measurable space $(S, \mathscr{S})$ is exchangeable if its law is the same as that of $(X_{\sigma(1)}, \ldots, X_{\sigma(n)})$ for any permutation $\sigma$.…
In credit risk literature, the existence of an equivalent martingale measure is stipulated as one of the main assumptions in the hazard process model. Here we show by construction the existence of a measure that turns the discounted stock…
Building on recent results regarding symmetric probabilistic constructions of countable structures, we provide a method for constructing probability measures, concentrated on certain classes of countably infinite structures, that are…
Shape constraints yield flexible middle grounds between fully nonparametric and fully parametric approaches to modeling distributions of data. The specific assumption of log-concavity is motivated by applications across economics, survival…
Let $\{Y_i,-\infty<i<\infty\}$ be a doubly infinite sequence of identically distributed, negatively dependent random variables under sub-linear expectations, $\{a_i,-\infty<i<\infty\}$ be an absolutely summable sequence of real numbers. In…
The general method is proposed for constructing a family of martingale measures for a wide class of evolution of risky assets. The sufficient conditions are formulated for the evolution of risky assets under which the family of equivalent…