Related papers: CLT for martingales-III: discontinuous compensator…

We prove a robust super-hedging duality result for path-dependent options on assets with jumps, in a continuous time setting. It requires that the collection of martingale measures is rich enough and that the payoff function satisfies some…

We establish general results for weak relative compactness of sequences of It\^o integrals with respect to Skorohod's functional M1 topology, under general conditions. Moreover, we are able to explicitly characterise the form of the limit…

The central limit theorem of martingales is the fundamental tool for studying the convergence of stochastic processes, especially stochastic integrals and differential equations. In this paper, general central limit theorems and functional…

The existence of weak solutions is established for stochastic Volterra equations with time-inhomogeneous coefficients allowing for general kernels in the drift and convolutional or bounded kernels in the diffusion term. The presented…

Ergodic optimization and discrete weak KAM theory are two parallel theories with several results in common. For instance, the Mather set is the locus of orbits which minimize the ergodic averages of a given observable. In the favorable…

This paper provides new summation inequalities in both single and double forms to be used in stability analysis of discrete-time systems with time-varying delays. The potential capability of the newly derived inequalities is demonstrated by…

This paper investigates the initial-boundary value problem for weakly coupled systems of time-fractional subdiffusion equations with spatially and temporally varying coupling coefficients. By combining the energy method with the coercivity…

We study Krasnoselskii-Mann style iterative algorithms for approximating fixpoints of asymptotically weakly contractive mappings, with a focus on providing generalised convergence proofs along with explicit rates of convergence. More…

This is a companion note to our recent study of the weak convergence properties of constrained emphatic temporal-difference learning (ETD) algorithms from a theoretic perspective. It supplements the latter analysis with simulation results…

A convergence theorem for the continuous weak approximation of the solution of stochastic differential equations by general one step methods is proved, which is an extension of a theorem due to Milstein. As an application, uniform second…

Under mild regularity assumptions, the transport problem is stable in the following sense: if a sequence of optimal transport plans $\pi_1, \pi_2, \ldots$ converges weakly to a transport plan $\pi$, then $\pi$ is also optimal (between its…

The ${\alpha}$-quantile of a stochastic process $M_{t,{\alpha}}$ has been introduced in Miura (Hitotsubashi J Commerce Manag 27(1):15-28, 1992), and important distributional results have been derived in Akahori (Ann Appl Probab…

The central limit theorem of martingales is the fundamental tool for studying the convergence of stochastic processes. The central limit theorem and functional central limit theorem are obtained for martingale like random variables under…

We give general conditions for the central limit theorem and weak convergence to Brownian motion (the weak invariance principle / functional central limit theorem) to hold for observables of compact group extensions of nonuniformly…

We extend the theory of concentration inequalities to simple random tensors with heavy-tailed coefficients. Specifically, we consider the class of sub-Weibull distributions $\mathcal{S}_\alpha$ for $\alpha \in [1, 2]$. We establish…

In this work, we show that for the martingale problem for a class of degenerate diffusions with bounded continuous drift and diffusion coefficients, the small noise limit of non-degenerate approximations leads to a unique Feller limit. The…

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…

We present an elementary treatment of the Optional Decomposition Theorem for continuous semimartingales and general filtrations. This treatment does not assume the existence of equivalent local martingale measure(s), only that of strictly…

Under an appropriate regular variation condition, the affinely normalized partial sums of a sequence of independent and identically distributed random variables converges weakly to a non-Gaussian stable random variable. A functional version…

This work is about the existence of martingale solutions and weak solutions for a stochastic nonlocal Burgers equation on bounded intervals. The existence of a martingale solution is shown by using a Galerkin approximation, Prokhorov's…