Related papers: A representation theorem for set-valued submarting…
Martingale representation theorem for set-valued martingales was proposed by M. Kisielewicz [J. Math. Anal. Appl. 2014]. We shall prove that the result holds only for very special case: the set-valued martingale degenerates to the…
This paper considers the nonlinear theory of G-martingales as introduced by Peng. A martingale representation theorem for this theory is proved by using the techniques and the results established in an accompanying paper for the second…
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…
With this paper we hope to contribute to the theory of quantales and quantale-like structures. It considers the notion of $Q$-sup-algebra and shows a representation theorem for such structures generalizing the well-known representation…
In this paper we explain that the natural filtration of a continuous Hunt process is continuous, and show that martingales over such a filtration are continuous. We further establish a martingale representation theorem for a class of…
In this paper a quantum stochastic integral representation theorem is obtained for unbounded regular martingales with respect to multidimensional quantum noise. This simultaneously extends results of Parthasarathy and Sinha to unbounded…
We develop the representation theory of a finite semigroup over an arbitrary commutative semiring with unit, in particular classifying the irreducible and minimal representations. The results for an arbitrary semiring are as good as the…
We give a proof of a Martingale Representation Theorem using the methods of nonstandard analysis.
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.
We prove that every integral rig in Sets is (functorially) the rig of global sections of a sheaf of really local integral rigs. We also show that this representation result may be lifted to residuated integral rigs and then restricted to…
A stationary random sequence admits under some assumptions a representation as the sum of two others: one of them is a martingale difference sequence, and another is a so-called coboundary. Such a representation can be used for proving some…
We give an algorithm for computing the irreducible admissible representations of a real reductive group with regular integral infinitesimal character. This algorithm has been implemented on a computer, as part of the Atlas of Lie Groups and…
The purpose of this paper is to study certain set-valued integrals in UMD Banach spaces and provide a compatible form of the martingale representation theorem for set-valued martingales. Under specific conditions, these martingales can be…
In this paper we study the path-regularity and martingale properties of the set-valued stochastic integrals defined in our previous work Ararat et al. (2023). Such integrals have some fundamental differences from the well-known…
By making use of martingale representations, we derive the asymptotic normality of particle filters in hidden Markov models and a relatively simple formula for their asymptotic variances. Although repeated resamplings result in complicated…
We present an elementary treatment of the Optional Decomposition Theorem for continuous semimartingales and general filtrations. This treatment does not assume the existence of equivalent local martingale measure(s), only that of strictly…
Using the theory of representations of the symmetric group, we propose an algorithm to compute the invariant ring of a permutation group. Our approach have the goal to reduce the amount of linear algebra computations and exploit a thinner…
We develop a stochastic calculus that makes it easy to capture a variety of predictable transformations of semimartingales such as changes of variables, stochastic integrals, and their compositions. The framework offers a unified treatment…
A representation embedding between cartesian theories can be defined to be a functor between respective categories of models that preserves finitely-generated projective models and that preserves and reflects certain epimorphisms. This…
Consider $\mathbb{G}$ the progressive enlargement of a filtration $\mathbb{F}$ with a random time $\tau$. Assuming that, in $\mathbb{F}$, the martingale representation property holds, we examine conditions under which the martingale…