Related papers: Fatou limits of stochastic integrals
Given a sequence $(M^n)^{\infty}_{n=1}$ of nonnegative martingales starting at $M^n_0=1$, we find a sequence of convex combinations $(\widetilde{M}^n)^{\infty}_{n=1}$ and a limiting process $X$ such that…
Stochastic integrals are defined with respect to a collection $P = (P_i; \, i \in I)$ of continuous semimartingales, imposing no assumptions on the index set $I$ and the subspace of $\mathbb{R}^I$ where $P$ takes values. The integrals are…
The possibilities for limit functions on a Fatou component for the iteration of a single polynomial or rational function are well understood and quite restricted. In non-autonomous iteration, where one considers compositions of arbitrary…
In this paper, we explore several Fatou-type properties of risk measures. The paper continues to reveal that the strong Fatou property, which was introduced in [17], seems to be most suitable to ensure nice dual representations of risk…
We provide a characterization in terms of Fatou closedness for weakly closed monotone convex sets in the space of $\mathcal{P}$-quasisure bounded random variables, where $\mathcal{P}$ is a (possibly non-dominated) class of probability…
Fatou's lemma is a classic fact in real analysis that states that the limit inferior of integrals of functions is greater than or equal to the integral of the inferior limit. This paper introduces a stronger inequality that holds uniformly…
We define $\lambda(r)$-convergence, which is a generalization of nontangential convergence in the unit disc. We prove Fatou-type theorems on almost everywhere nontangential convergence of Poisson-Stiltjes integrals for general kernels…
The aim of the paper is to establish a convergence theorem for multi-dimensional stochastic approximation when the "innovations" satisfy some "light" averaging properties in the presence of a pathwise Lyapunov function. These averaging…
The classic Fatou lemma states that the lower limit of a sequence of integrals of functions is greater or equal than the integral of the lower limit. It is known that Fatou's lemma for a sequence of weakly converging measures states a…
This note describes Fatou's lemma and Lebesgue's dominated convergence theorem for a sequence of measures converging weakly to a finite measure and for a sequence of functions whose negative parts are uniformly integrable with respect to…
Let $f$ be a transcendental entire function and $U$ be a Fatou component of $f$. We show that if $U$ is an escaping wandering domain of $f$, then most boundary points of $U$ (in the sense of harmonic measure) are also escaping. In the other…
Let $(\mathcal{E},D(\mathcal{E}))$ be a quasi-regular semi-Dirichlet form and $(X_t)_{t\geq0}$ be the associated Markov process. For $u\in D(\mathcal{E})_{loc}$, denote $A_t^{[u]}:=\tilde{u}(X_{t})-\tilde{u}(X_{0})$ and…
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 analyze the boundaries of multiply connected Fatou components of transcendental maps by means of universal covering maps and associated inner functions. A unified approach is presented, which includes invariant Fatou components (of any…
In this paper, by extending the classic stochastic integrals, we investigate three kinds of more general stochastic integrals: Lebesgue-Stieltjes integrals on predictable sets of interval type (in short: PSITs), stochastic integrals on…
Our main result is to establish stability of martingale couplings: suppose that $\pi$ is a martingale coupling with marginals $\mu, \nu$. Then, given approximating marginal measures $\tilde \mu \approx \mu, \tilde \nu\approx \nu$ in convex…
We present results for Choquet integrals with minimal assumptions on the monotone set function through which they are defined. They include the equivalence of sublinearity and strong subadditivity independent of regularity assumptions on…
We introduce a theory of stochastic integration with respect to a family of semimartingales depending on a continuous parameter, as a mathematical background to the theory of bond markets. We apply our results to the problem of…
We provide a convergence result for sequences of random variables taking values in a metric space that satisfy a stochastic quasi-Fej\'er monotonicity condition, in the context of a (local) compactness assumption. Our result is quantitative…
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes.…