Related papers: SLE local martingales, reversibility and duality
We propose a rescaled LASSO, by premultipying the LASSO with a matrix term, namely linear unified LASSO (LLASSO) for multicollinear situations. Our numerical study has shown that the LLASSO is comparable with other sparse modeling…
Motivated by recent developments in the calibration of stochastic volatility models (SVMs for short), we study continuous-time formulations of martingale optimal transport and martingale Schr\"odinger bridge problems. We establish duality…
Stochastic Loewner evolutions (SLE) are random growth processes of sets, called hulls, embedded in the two dimensional upper half plane. We elaborate and develop a relation between SLE evolutions and conformal field theories (CFT) which is…
Extending the investigations about the theory of duals, we analyze duals built up with the aid of discrete symmetry operators. We scrutinize algebraic and physical constraints (encompassing them in a theoretical scope) in order to verify…
We define a class of random measures, spatially independent martingales, which we view as a natural generalisation of the canonical random discrete set, and which includes as special cases many variants of fractal percolation and Poissonian…
We give a refinement of Saito's arithmetic duality for two-dimensional local rings by giving algebraic group structures for arithmetic cohomology groups.
In this paper, we construct martingale suitable weak solutions for $3$-dimensional incompressible stochastic Navier-Stokes equations with generally non-linear noise. In deterministic setting, as widely known, ``suitable weak solutions'' are…
An $L^2$ version of the Serre duality on domains in complex manifolds involving duality of Hilbert space realizations of the $\bar{\partial}$-operator is established. This duality is used to study the solution of the…
We consider a financial market with one riskless and one risky asset. The super-replication theorem states that there is no duality gap in the problem of super-replicating a contingent claim under transaction costs and the associated dual…
In this paper we study a family of nonlinear (conditional) expectations that can be understood as a continuous semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a set-valued…
We first present a Priestley-style dualitiy for the classes of algebras that are the algebraic counterpart of some congruential, finitary and filter-distributive logic with theorems. Then we analyze which properties of the dual spaces…
We consider the problem of testing the stationarity and isotropy of a spatial point pattern based on the concept of local spectra. Using a logarithmic transformation, the mechanism of the proposed test is approximately identical to a simple…
To provide a solid analytic foundation for the module approach to conditional risk measures, our purpose is to establish a complete random convex analysis over random locally convex modules by simultaneously considering the two kinds of…
We improve the arithmetic duality formalism of the rational etale site. This improvement allows us to avoid some exotic approximation arguments on local fields with ind-rational base, thus simplifying the proofs of the previously…
We prove a Borel version of the local lemma, i.e. we show that, under suitable assumptions, if the set of variables in the local lemma has a structure of a Borel space, then there exists a satisfying assignment which is a Borel function.…
Spaces with a Weyl-type connection and torsion of a special type induced by the structure of the differentiability conditions in the algebra of complex quaternions are considered. The consistency of these conditions implies the self-duality…
Many results in stochastic analysis and mathematical finance involve local martingales. However, specific examples of strict local martingales are rare and analytically often rather unhandy. We study local martingales that follow a given…
The theory of monotonicity and duality is developed for general one-dimensional Feller processes. Moreover it is shown that local monotonicity conditions (conditions on the L\'evy kernel) are sufficient to prove the well-posedness of the…
We present an algorithm for finding all time-reversible systems within a given family of 2-dim systems of ODE's whose right-hand sides are polynomials. We also study an interconnection of time-reversibility and invariants of a subgroup of…
This paper deals with iteration stable (STIT) tessellations, and, more generally, with a certain class of tessellations that are infinitely divisible with respect to iteration. They form a new, rich and flexible class of spatio-temporal…