Related papers: Some remarks on Davis inequality for biparameter f…
The present paper is devoted to the second part of our project on asymmetric maximal inequalities, where we consider martingales in continuous time. Let $(\mathcal M,\tau)$ be a noncommutative probability space equipped with a continuous…
We link optimal filtering for hidden Markov models to the notion of duality for Markov processes. We show that when the signal is dual to a process that has two components, one deterministic and one a pure death process, and with respect to…
We study a class of martingale inequalities involving the running maximum process. They are derived from pathwise inequalities introduced by Henry_Labordere et al. (2013) and provide an upper bound on the expectation of a function of the…
Let $(\Omega,\mathcal{F},\mathbb{P})$ be a probability space and $\varphi:\ \Omega\times[0,\infty)\to[0,\infty)$ be a Musielak-Orlicz function. In this article, the authors prove that the Doob maximal operator is bounded on the…
In this paper we established a new Simpson type conformable fractional integral equality for convex functions. Based on this identity, some results related to Simpson-like type inequalities are obtained. These results are then applied to…
This note contains two simple observations. First, by the weak factorization of product $H^1$ (Ferguson--Lacey, Lacey--Terwilleger), we obtain a multi-parameter analogue of Hardy's inequality. Second, as a dual statement, the Fourier…
A geometric reformulation of the martingale problem associated with a set of diffusion processes is proposed. This formulation, based on second order geometry and Ito integration on manifolds, allows us to give a natural and effective…
Given a probability space $(\Omega, \mathsf{A}, \mu)$, let $\mathsf{A}_1, \mathsf{A}_2, ...$ be a filtration of $\sigma$-subalgebras of $\mathsf{A}$ and let $\mathsf{E}_1, \mathsf{E}_2, ...$ denote the corresponding family of conditional…
In this paper we study the right differentiability of a parametric infimum function over a parametric set defined by equality constraints. We present a new theorem with sufficient conditions for the right differentiability with respect to…
Given a reference filtration $\mathbb{F}$, we develop in this work a generic method for computing the semimartingale decomposition of $\mathbb{F}$-martingales in some specific enlargements of $\mathbb{F}$. This method is then applied to the…
In the present paper we consider the Dirichlet problem for the second order differential operator $E=\nabla(A \nabla)$,where $A$ is a matrix with complex valued $L^\infty$ entries. We introduce the concept of dissipativity of $E$ with…
We show that standard deviation $\s$ satisfies the Leibniz inequality $\s(fg) \leq \s(f)\|g\| + \|f\|\s(g)$ for bounded functions f, g on a probability space, where the norm is the supremum norm. A related inequality that we refer to as…
We consider $L$-loop two-point tadpole (watermelon) integral with arbitrary masses, regularized both dimensionally and analytically. We derive differential equation system and recurrence relations (shifts of dimension and denominator…
Uncertainty propagation and filtering can be interpreted as gradient flows with respect to suitable metrics in the infinite dimensional manifold of probability density functions. Such a viewpoint has been put forth in recent literature, and…
Let X and Y be an m-dimensional F-semimartingale and an n-dimensional H-semimartingale respectively on the same probability space, both enjoying the strong predictable representation property. We propose a martingale representation result…
Let $(\mathcal{F}_n)_{n\ge 0}$ be the standard dyadic filtration on $[0,1]$. Let $\mathbb{E}_{\mathcal{F}_n}$ be the conditional expectation from $ L_1=L_1[0,1]$ onto $\mathcal{F} _n$, $n\ge 0$, and let $\mathbb{E}_{\mathcal{F} _{-1}} =0$.…
The trace-dev-div inequality in $H^s$ controls the trace in the norm of $H^s$ by that of the deviatoric part plus the $H^{s-1}$ norm of the divergence of a quadratic tensor field different from the constant unit matrix. This is well known…
We introduce the Fisher information in the basis of decay modes of Markovian dynamics, arguing that it encodes important information about the behavior of nonequilibrium systems. In particular we generalize an orthonormality relation…
First and second-order inequalities of Friedrichs type for Sobolev functions in arbitrary domains are offered. The relevant inequalities involve optimal norms and constants that are independent of the geometry of the domain. Parallel…
In this note, we complete the analysis of the Martingale Wasserstein Inequality started in arXiv:2011.11599 by checking that this inequality fails in dimension $d\ge 2$ when the integrability parameter $\rho$ belongs to $[1,2)$ while a…