Related papers: Introduction to Martingales
The purpose of these notes is to distribute, mostly without proofs, fundamental definitions and results concerning the theory of semimartingales and stochastic integration. The material serves as a foundational guide for those interested in…
This paper provides a new version of the condition of Di Nunno et al. (2003), Ankirchner and Imkeller (2005) and Biagini and \{O}ksendal (2005) ensuring the semimartingale property for a large class of continuous stochastic processes.…
There is a growing interest in the so-called Bayesian Predictive Inference approach, which allows to perform Bayesian inference without specifying the likelihood and prior of the model, or the need of any MCMC. Instead, only a sequence of…
Financial models based on the Wick product, and White Noise formalism have previously been suggested in order to incorporate integrals with respect to fractional Brownian motion. It has also been pointed out that this leads naturally to a…
Given a positive random variable $X$, $X\ge0$ a.s., a null hypothesis $H_0:E(X)\le\mu$ and a random sample of infinite size of $X$, we construct test supermartingales for $H_0$, i.e. positive processes that are supermartingale if the null…
Recently, Forr\'e (arXiv:2104.11547, 2021) introduced transitional conditional independence, a notion of conditional independence that provides a unified framework for both random and non-stochastic variables. The original paper establishes…
In this paper we explore the fundamentals of the Martingale Representation Theorem (MRT) and a closely related result, the Clark-Ocone formula. We also investigate how far these theorems can be taken, notably beyond the regular Sobolev…
This work is a mathematician's attempt to understand intuitionistic logic. It can be read in two ways: as a research paper interspersed with lengthy digressions into rethinking of standard material; or as an elementary (but highly…
We first develop a theory of conditional expectations for random variables with values in a complete metric space $M$ equipped with a contractive barycentric map $\beta$, and then give convergence theorems for martingales of…
In this paper, we associate, to any submartingale of class $(\Sigma)$, defined on a filtered probability space $(\Omega, \mathcal{F}, \mathbb{P}, (\mathcal{F}_t)_{t \geq 0})$, which satisfies some technical conditions, a $\sigma$-finite…
The purpose of this paper is two-fold. First is to extend the notions of an n-dimensional semimartingale and its stochastic integral to a piecewise semimartingale of stochastic dimension. The properties of the former carry over largely…
We develop the fundamental theorem of asset pricing in a probability-free infinite-dimensional setup. We replace the usual assumption of a prior probability by a certain continuity property in the state variable. Probabilities enter then…
This paper presents a convenient framework for modeling default process and pricing derivative securities involving credit risk. The framework provides an integrated view of credit valuation adjustment by linking distance-to-default,…
In 1933 Kolmogorov constructed a general theory that defines the modern concept of conditional probability. In 1955 Renyi fomulated a new axiomatic theory for probability motivated by the need to include unbounded measures. This note…
The purpose of this article is to describe all possible beliefs of market participants on objective measures under Markovian environments when a risk-neutral measure is given. To achieve this, we employ the Martin integral representation of…
A direct reformulation of the Hamiltonian formalism in terms of the intrinsic geometry of infinitely prolonged differential equations is obtained. Concepts of spatial equation and spatial-gauge symmetry of a Lagrangian system of equations…
This paper extends the long-term factorization of the stochastic discount factor introduced and studied by Alvarez and Jermann (2005) in discretetime ergodic environments and by Hansen and Scheinkman (2009) and Hansen (2012) in Markovian…
We investigate a collection of orthonormal functions that encodes information about the continued fraction expansion of real numbers. When suitably ordered these functions form a complete system of martingale differences and are a special…
While Kolmogorov's probability axioms are widely recognized, it is less well known that in an often-overlooked 1930 note, Kolmogorov proposed an axiomatic framework for a unifying concept of the mean -- referred to as regular means. This…
We provide a systematic, thorough treatment of the foundations of probability theory and stochastic processes along the lines of E. Bishop's constructive analysis. Every existence result presented shall be a construction; and the input…