Related papers: Introduction to Martingales
A new algebraic treatment of dependent type theory is proposed using ideas derived from topos theory and algebraic set theory.
We introduce the notion of a probabilistic measure which takes values in hyperbolic numbers and which satisfies the system of axioms generalizing directly Kolmogorov's system of axioms. We show that this new measure verifies the usual…
Supermartingales are here defined on a non-probabilistic setting and can be interpreted solely in terms of superhedging operations. The classical expectation operator is replaced by a pair of subadditive operators one of them providing a…
This work shows how exponential concentration inequalities for additive functionals of stochastic processes over a finite time interval can be derived from concentration inequalities for martingales. The approach is entirely probabilistic…
Generalization of the Lambalgen's theorem is studied with the notion of Hippocratic (blind) randomness without assuming computability of conditional probabilities. In [Bauwence 2014], a counter-example for the generalization of Lambalgen's…
New proofs are given of the existence of the compensator (or dual predictable projection) of a locally integrable c\'adl\'ag adapted process of finite variation and of the existence of the quadratic variation process for a c\'adl\'ag local…
Lebesgue's dominated convergence theorem is a crucial pillar of modern analysis, but there are certain areas of the subject where this theorem is deficient. Deeper criteria for convergence of integrals are described in this article.
We study a variant of the martingale optimal transport problem in a multi-period setting to derive robust price bounds of a financial derivative. On top of marginal and martingale constraints, we introduce a time-homogeneity assumption,…
By investigating model-independent bounds for exotic options in financial mathematics, a martingale version of the Monge-Kantorovich mass transport problem was introduced in \cite{BeiglbockHenry…
This book intends to give the main definitions and theorems in mathematics which could be useful for workers in theoretical physics. It gives an extensive and precise coverage of the subjects which are addressed, in a consistent and…
Kolmogorov's exponential inequalities are basic tools for studying the strong limit theorems such as the classical laws of the iterated logarithm for both independent and dependent random variables. This paper establishes the Kolmogorov…
In this note, we study inequality and limit theory under sublinear expectations. We mainly prove Doob's inequality for submartingale and Kolmogrov's inequality. By Kolmogrov's inequality, we obtain a special version of Kolmogrov's law of…
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. We consider a general class of kernel-based cross-impact models and investigate suitable parameterisations for trading…
This is part II of our book on KAM theory. We start by defining functorial analysis and then switch to the particular case of Kolmogorov spaces. We develop functional calculus based on the notion of local operators. This allows to define…
Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal…
These lecture notes are intended to cover some introductory topics in stochastic simulation for scientific computing courses offered by the IT department at Uppsala University, as taught by the author. Basic concepts in probability theory…
In this paper, we introduce a large class of (so-called) conditional indicators, on a complete probability space with respect to a sub $\sigma$-algebra. A conditional indicator is a positive mapping, which is not necessary linear, but may…
We propose martingale consumption as a natural, desirable consumption pattern for any given (proportional) investment strategy. The idea is to always adjust current consumption so as to achieve level expected future consumption under the…
We show that our generalization of the Black-Scholes partial differential equation (pde) for nontrivial diffusion coefficients is equivalent to a Martingale in the risk neutral discounted stock price. Previously, this was proven for the…
We prove a martingale analog of van Schaftingen's theorem and give sharp estimates on the lower Hausdorff dimension of measures in martingale shift invariant spaces. We also provide martingale analogs of trace theorems for Sobolev…