Related papers: Lecture notes on martingale inequalities

In a preceding article, we have studied a generalization of the problem of finding a martingale on a manifold whose terminal value is known. This article completes the results obtained in the first article by providing uniqueness and…

We consider linear elliptic and parabolic equations with measurable coefficients and prove two types of $L_{p}$-estimates for their solutions, which were recently used in the theory of fully nonlinear elliptic and parabolic second order…

We study approximations to the Moreau envelope -- and infimal convolutions more broadly -- based on Laplace's method, a classical tool in analysis which ties certain integrals to suprema of their integrands. We believe the connection…

We herein propose a variant of the projected inexact Levenberg--Marquardt method (ILMM) for solving constrained nonsmooth equations. Since the orthogonal projection onto the feasible set may be computationally expensive, we propose a local…

We illustrate a process that constructs martingales from raw material that arises naturally from the theory of sampling without replacement.The usefulness of the new martingales is illustrated by the development of maximal inequalities for…

We provide a brief tutorial on the use of concentration inequalities as they apply to system identification of state-space parameters of linear time invariant systems, with a focus on the fully observed setting. We draw upon tools from the…

The It\^o formula, originated by K. It\^o, is focus on the stochastic calculus, where many stochastic processes can be placed under the framework of rough paths. In rough path theory, It\^o formulas have been proved for rough paths with…

We prove an extension of the Stein-Weiss weighted estimates for fractional integrals, in the context of Lp spaces with different integrability properties in the radial and the angular direction. In this way, the classical estimates can be…

Various topics in stochastic processes have been considered in the abstract setting of Riesz spaces, for example martingales, martingale convergence, ergodic theory, AMARTS, Markov processes and mixingales. Here we continue the relaxation…

We derive bilateral asymptotic as well as non-asymptotic estimates for the multivariate Laplace integrals. Possible applications: Tauberian theorems for random vectors.

This preprint is a text for students and teachers on inequalities. Some standard topics are covered on application of calculus to inequality proving. Many examples are considered, stated, solved or partially solved. Some problems are…

In this manuscript, we provide local $L^q$-estimates for the gradient of solutions of a class of quasilinear equations whose principal part lacks strong monotonicity. These estimates are used to establish uniform large-scale $L^q$-estimates…

This is a survey note of the author's observations on the discrete-time analogues of It\^o formulas.

Sharp $L^\infty$ estimates are obtained for general classes of fully non-linear PDE's on non-K\"ahler manifolds, complementing the theory developed earlier by the authors in joint work with F. Tong for the K\"ahler case. The key idea is…

The solution of rough differential equation, driven by the It\^o signature of a continuous local martingale, exists uniquely a.s. when the vector field is Lip(\beta) for \beta > 1, and coincides a.s. with the It\^o signature of the solution…

In this article we derive some polynomial inequalities for Mertens functions.

Motivated by the study of existence, uniqueness and regularity of solutions to stochastic partial differential equations driven by jump noise, we prove It\^{o} isomorphisms for $L^p$-valued stochastic integrals with respect to a compensated…

These notes are an extended version of the course "Introduction to rough paths theory" given at the XXV Brazilian School of Probability in Campinas in August 2022. Their aim is to give a consise overview to Lyon's theory of rough paths with…

We establish a global weighted $L^p$ estimate for the gradient of the solution to a divergence-form elliptic equations, where the coefficients are in a weighted VMO space and the equations have singularities on a co-dimension two boundary.

In this paper non-asymptotic moment estimates are derived for tail of distribution for discrete time polynomial martingale by means of martingale differences as a rule in the terms of unconditional and unconditional relative moments and…