Related papers: SLE local martingales, reversibility and duality
We exhibit sufficient conditions such that components of a multidimensional SDE giving rise to a local martingale $M$ are strict local martingales or martingales. We assume that the equations have diffusion coefficients of the form…
We develop a methodology for closing duality gap and guaranteeing strong duality in infinite convex optimization. Specifically, we examine two new Lagrangian-type dual formulations involving infinitely many dual variables and infinite sums…
Screening rules allow to early discard irrelevant variables from the optimization in Lasso problems, or its derivatives, making solvers faster. In this paper, we propose new versions of the so-called $\textit{safe rules}$ for the Lasso.…
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…
In this article we study and classify optimal martingales in the dual formulation of optimal stopping problems. In this respect we distinguish between weakly optimal and surely optimal martingales. It is shown that the family of weakly…
We study the link between a compact hypersurface in $\P^{n+1}$ and the set of all its tangent planes. In this context, we identify $\P^{n+1}$ to the set of linear subspaces of codimension one by orthogonal complementarity. This gives rise…
Inspired by classic work of Wallman and more recent work of Jung-Kegelmann-Moshier and Vickers, we show how to encode general subbases of stably locally compact spaces via certain entailment relations. We further build this up to a…
We introduce a general framework for generating dualities between categories of partial orders and categories of ordered Stone spaces; we recover in particular the classical Priestley duality for distributive lattices and establish several…
In a preceding article, we have studied a generalization of the problem of finding a martingale on a manifold whose terminal value is known. This article completes the results obtained in the first article by providing uniqueness and…
The paper is devoted to 2-local derivations on the algebra $LS(M)$ of all locally measurable operators affiliated with a type I$_\infty$ von Neumann algebra $M.$ We prove that every 2-local derivation on $LS(M)$ is a derivation.
Invariance times are stopping times $\tau$ such that local martingales with respect to some reduced filtration and an equivalently changed probability measure, stopped before $\tau$ , are local martingales with respect to the original model…
We develop a theory of residues for arithmetic surfaces, establish the reciprocity law around a point, and use the residue maps to explicitly construct the dualizing sheaf of the surface. These are generalisations of known results for…
In this paper, we study Bessel processes of dimension $\delta\equiv2(1-\mu)$, with $0<\delta<2$, and some related martingales and random times. Our approach is based on martingale techniques and the general theory of stochastic processes…
The explicit integrability of second order ordinary differential equations invariant under time-translation and rescaling is investigated. Quadratic systems generated from the linearisable version of this class of equations are analysed to…
A bilinearisation-reduction approach is described for finding solutions for nonlocal integrable systems and is illustrated with nonlocal discrete nonlinear Schr\"odinger equations. In this approach we first bilinearise the coupled system…
In this lecture I review recent results on the use of Solvable Lie Algebras as an efficient description of the scalar field sector of supergravities in relation with their non perturbative structure encoded in the U-duality group. I also…
In this paper we present methods for the synthesis of polynomial invariants for probabilistic transition systems. Our approach is based on martingale theory. We construct invariants in the form of polynomials over program variables, which…
The recent introduction of the Least-Squares Support Vector Regression (LS-SVR) algorithm for solving differential and integral equations has sparked interest. In this study, we expand the application of this algorithm to address systems of…
In a polynomial regression model, the divisibility conditions implicit in polynomial hierarchy give way to a natural construction of constraints for the model parameters. We use this principle to derive versions of strong and weak hierarchy…
We extend the It\=o formula \cite{MR1837298}*{Theorem 2.3} for semimartingales with rcll paths. We also comment on Local time process of such semimartingales. We apply the It\=o formula to L\'evy processes to obtain existence of solutions…