Related papers: Superhedging Supermartingales
Starting solely with a set of possible prices for a traded asset $S$ (in infinite discrete time) expressed in units of a numeraire, we explain how to construct a Daniell type of integral representing prices of integrable functions depending…
We introduce so-called super/sub-martingale projections as a family of endomorphisms defined on unions of Polish spaces. Such projections allow us to identify martingales as collections of transformations that relate path-valued random…
This paper considers a stochastic approximation algorithm, with decreasing step size and martingale difference noise. Under very mild assumptions, we prove the non convergence of this process toward a certain class of repulsive sets for the…
We consider model-free pricing of digital options, which pay out if the underlying asset has crossed both upper and lower barriers. We make only weak assumptions about the underlying process (typically continuity), but assume that the…
We have been striving to exceed computational complexity, and in the process, we have come to realize the dilemma of classical computing, and in turn we realize that superpositioner may be a way to solve. A superpositioner is a model formed…
Using the spectral measure $\mu_\mathbb{S}$ of the stopping time $\mathbb{S},$ we define the stopping element $X_\mathbb{S}$ as a Daniell integral $\int X_t\,d\mu_\mathbb{S}$ for an adapted stochastic process $(X_t)_{t\in J}$ that is a…
We study Doob's martingale convergence theorem for computable continuous time martingales on Brownian motion, in the context of algorithmic randomness. A characterization of the class of sample points for which the theorem holds is given.…
An estimation method is proposed for a wide variety of discrete time stochastic processes that have an intractable likelihood function but are otherwise conveniently specified by an integral transform such as the characteristic function,…
We provide a unified framework for modeling LIBOR rates using general semimartingales as driving processes and generic functional forms to describe the evolution of the dynamics. We derive sufficient conditions for the model to be…
We consider an extension of the Monge-Kantorovitch optimal transportation problem. The mass is transported along a continuous semimartingale, and the cost of transportation depends on the drift and the diffusion coefficients of the…
The superposition of arrival processes is a fundamental yet analytically intractable operation in queueing networks when inputs are general non-renewal streams. Classical methods either reduce merged flows to renewal surrogates, rely on…
This paper studies the problem of maximizing the expected utility of terminal wealth for a financial agent with an unbounded random endowment, and with a utility function which supports both positive and negative wealth. We prove the…
Stochastic exponentials are defined for semimartingales on stochastic intervals, and stochastic logarithms are defined for semimartingales, up to the first time the semimartingale hits zero continuously. In the case of (nonnegative) local…
A decision maker observes the evolving state of the world while constantly trying to predict the next state given the history of past states. The ability to benefit from such predictions depends not only on the ability to recognize patters…
Recent empirical studies suggest that the volatility of an underlying price process may have correlations that decay slowly under certain market conditions. In this paper, the volatility is modeled as a stationary process with long-range…
The aim of this paper is to introduce a new formalism for the deterministic analysis associated with backward stochastic differential equations driven by general c{\`a}dl{\`a}g martingales. When the martingale is a standard Brownian motion,…
We provide a categorical proof of convergence for martingales and backward martingales in mean, using enriched category theory. The enrichment we use is in topological spaces, with their canonical closed monoidal structure, which encodes a…
We prove the boundedness on $L^p$, $1<p<\infty$, of operators on manifolds which arise by taking conditional expectation of transformations of stochastic integrals. These operators include various classical operators such as second order…
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…
We characterize absence of arbitrage with simple trading strategies in a discounted market with a constant bond and several risky assets. We show that if there is a simple arbitrage, then there is a 0-admissible one or an obvious one, that…