Related papers: SLE local martingales, reversibility and duality
As a complement to some recent work by Pal and Protter, "Strict local martingales, bubbles, and no early exercise", we show that the call option prices associated with the Bessel strict local martingales are integrable over time, and we…
We establish a structure theorem for the integral points on moduli of special linear rank two local systems over surfaces, using mapping class group descent and boundedness results for systoles of local systems.
We study Bessel processes on Weyl chambers of types A and B on $\mathbb R^N$. Using elementary symmetric functions, we present several space-time-harmonic functions and thus martingales for these processes $(X_t)_{t\ge0}$ which are…
Causal reversibility blends reversibility and causality for concurrent systems. It indicates that an action can be undone provided that all of its consequences have been undone already, thus making it possible to bring the system back to a…
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…
We consider Schramm-Loewner evolutions (SLEs) with internal degrees of freedom that are associated with representations of affine Lie algebras, following group theoretical formulation of SLEs. We reconstruct the SLEs considered by…
We study the local dimensions and local multifractal properties of measures on doubling metric spaces. Our aim is twofold. On one hand, we show that there are plenty of multifractal type measures in all metric spaces which satisfy only mild…
We propose a computationally straightforward test for the linearity of a spatial interaction function. Such functions arise commonly, either as practitioner imposed specifications or due to optimizing behaviour by agents. Our conditional…
In this paper, a new approach for solving the problems of pricing and hedging derivatives is introduced in a general frictionless market setting. The method is applicable even in cases where an equivalent local martingale measure fails to…
We prove that for a so-called sticky process $S$ there exists an equivalent probability $Q$ and a $Q$-martingale $\tilde{S}$ that is arbitrarily close to $S$ in $L^p(Q)$ norm. For continuous $S$, $\tilde{S}$ can be chosen arbitrarily close…
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…
In this article, the Virasoro-type reduction and the corresponding inverse reductions are established for W-algebras associated with classical Lie type and nilpotent orbits of height two. Moreover, these results are lifted to the universal…
In the paper, we introduce the notion of a local regular supermartingale relative to a convex set of equivalent measures and prove for it an optional Doob decomposition in the discrete case. This Theorem is a generalization of the famous…
We develop and study the generalization of rational Schur algebras to the super setting. Similar to the classical case, this provides a new method for studying rational supermodules of the general linear supergroup $GL(m|n)$. Furthermore,…
We study the problem of merging sequential or independent e-values into one e-value or e-process. We describe a class of e-value merging functions via martingales and show that it dominates all merging methods for sequential e-values. All…
We consider a Lie algebra generalizing the Virasoro algebra to the case of two space variables. We study its coadjoint representation and calculate the corresponding Euler equations. In particular, we obtain a bi-Hamiltonian system that…
Spatial econometric research typically relies on the assumption that the spatial dependence structure is known in advance and is represented by a deterministic spatial weights matrix. Contrary to classical approaches, we investigate the…
Local Linear embedding (LLE) is a popular dimension reduction method. In this paper, we first show LLE with nonnegative constraint is equivalent to the widely used Laplacian embedding. We further propose to iterate the two steps in LLE…
We develop the idea of local duality symmetry (LDS) in gauge field theories. Using Clifford algebra techniques we construct dually invariant scalar Lagrangian of electrodynamics in the presence of sources and demonstrate that in tensor…
In a fully general setting, we study the relation between martingale spaces under two locally absolutely continuous probabilities and prove that the martingale representation property (MRP) is always stable under locally absolutely…