Related papers: On local martingale and its supremum: harmonic fun…

In this article we derive a self-normalized functional limit theorem for strictly stationary linear processes with i.i.d. heavy-tailed innovations and random coefficients under the condition that all partial sums of the series of…

We characterize the event of convergence of a local supermartingale. Conditions are given in terms of its predictable characteristics and quadratic variation. The notion of stationarily local integrability plays a key role.

Some classes of increment martingales, and the corresponding localized classes, are studied. An increment martingale is indexed by the real line and its increment processes are martingales. We focus primarily on the behavior as time goes to…

This paper establishes a functional law of large numbers and a functional central limit theorem for marked Hawkes point measures and their corresponding shot noise processes. We prove that the normalized random measure can be approximated…

We present a systematic study on a class of nonlocal integral functionals for functions defined on a bounded domain and the naturally induced function spaces. The function spaces are equipped with a seminorm depending on finite differences…

In this paper, we give a few results on the local behavior of harmonic functions on the Sierpinski triangle - more precisely, of their restriction to a side of the triangle. First we present a general formula that gives the H\"older…

We propose a discrete time formulation of the semi-martingale optimal transport problem based on multi-marginal entropic transport. This approach offers a new way to formulate and solve numerically the calibration problem proposed by [17],…

We construct an example of a real-valued continuous non-constant function $f$ defined on a connected complete metric space $X$ such that every point of $X$ is a point of local minimum or local maximum for $f$. The space $X$ is connected but…

In this paper we introduce the notion of fractional martingale as the fractional derivative of order $\alpha$ of a continuous local martingale, where $\alpha\in(-{1/2},{1/2})$, and we show that it has a nonzero finite variation of order…

Let the process Y(t) be a Skorohod integral process with respect to Brownian motion. We use a recent result by Tudor (2004), to prove that Y(t) can be represented as the limit of linear combinations of processes that are products of forward…

We consider the optimal stopping problem for a Gauss-Markov process conditioned to adopt a prescribed terminal distribution. By applying a time-space transformation, we show it is equivalent to stopping a Brownian bridge pinned at a random…

Necessary optimality conditions in the form of the maximum principle for control problems with infinite time horizon are considered. Both finite and infinite values of objective functional are allowed since the concept of overtaking or…

We provide a fractional counterpart of the classical results by Schwarz and Malmheden on harmonic functions. From that we obtain a representation formula for $s$-harmonic functions as a linear superposition of weighted classical harmonic…

This paper focuses on martingale optimal transport problems when the martingales are assumed to have bounded quadratic variation. First, we give a result that characterizes the existence of a probability measure satisfying some convex…

In this note, we investigate the behaviour of suprema for band-limited spherical random fields. We prove upper and lower bound for the expected values of these suprema, by means of metric entropy arguments and discrete approximations; we…

As an alternative to the well-known methods of "chaining" and "bracketing" that have been developed in the study of random fields, a new method, which is based on a stochastic maximal inequality derived by using the Taylor expansion, is…

Using the balayage formula, we prove an inequality between the measures associated to local times of semimartingales. Our result extends the "comparison theorem of local times" of Ouknine $(1988)$, which is useful in the study of stochastic…

We study a generic principal-agent problem in continuous time on a finite time horizon. We introduce a framework in which the agent is allowed to employ measure-valued controls and characterise the continuation utility as a solution to a…

Linear two-timescale stochastic approximation (SA) scheme is an important class of algorithms which has become popular in reinforcement learning (RL), particularly for the policy evaluation problem. Recently, a number of works have been…

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…