Related papers: Martingale selection theorem for a stochastic sequ…
We derive a new closed-form variance-adaptive confidence sequence (CS) for estimating the average conditional mean of a sequence of bounded random variables. Empirically, it yields the tightest closed-form CS we have found for tracking…
The study of stochastic variational principles involves the problem of constructing fixed-endpoint and adapted variations of semimartingales. We provide a detailed construction of variations of semimartingales that are not only fixed at…
Consider $\mathbb{G}$ the progressive enlargement of a filtration $\mathbb{F}$ with a random time $\tau$. Assuming that, in $\mathbb{F}$, the martingale representation property holds, we examine conditions under which the martingale…
In this paper we introduce the concept of conic martingales}. This class refers to stochastic processes having the martingale property, but that evolve within given (possibly time-dependent) boundaries. We first review some results about…
Given a sequence $(X_n)$ of real or complex random variables and a sequence of numbers $(a_n)$, an interesting problem is to determine the conditions under which the series $\sum_{n=1}^\infty a_n X_n$ is almost surely convergent. This paper…
We propose a new approach to sequential testing which is an adaptive (on-line) extension of the (off-line) framework developed in [10]. It relies upon testing of pairs of hypotheses in the case where each hypothesis states that the vector…
In this paper, we mainly focus on the set-valued (stochastic) analysis on the space of convex, closed, but possibly unbounded sets, and try to establish a useful theoretical framework for studying the set-valued stochastic differential…
We derive sufficient conditions for the convex and monotonic g-stochastic ordering of diffusion processes under nonlinear g-expectations and g-evaluations. Our approach relies on comparison results for forward-backward stochastic…
In this note we introduce a new kind of augmentation of filtrations along a sequence of stopping times. This augmentation is suitable for the construction of new probability measures associated to a positive strict local martingale as done…
We obtain the limiting spectral distribution for large sample covariance matrices associated with random vectors having graph-dependent entries under the assumption that the interdependence among the entries grows with the sample size n.…
Stochastic dominance of a random variable by a convex combination of its independent copies has recently been shown to hold within the relatively narrow class of distributions with concave odds function, and later extended to broader…
We consider continuous-time mean-variance portfolio selection with bankruptcy prohibition under convex cone portfolio constraints. This is a long-standing and difficult problem not only because of its theoretical significance, but also for…
Consider a sequence of $n$ independent random variables with a common continuous distribution $F$, and consider the task of choosing an increasing subsequence where the observations are revealed sequentially and where an observation must be…
In decision-making problems under uncertainty, probabilistic constraints are a valuable tool to express safety of decisions. They result from taking the probability measure of a given set of random inequalities depending on the decision…
We find a two term asymptotic expansion for the optimal expected value of a sequentially selected monotone subsequence from a random permutation of length n. A striking feature of this expansion is that tells us that the expected value of…
Motivated by applications where impatience is pervasive and evaluation times are uncertain, we study a selection model where options may expire at an unknown point in time and evaluation times are stochastic. Initially, the decision-maker…
In this paper we focus on providing sufficient conditions for some well-known stochastic orders in reliability but dealing with the discrete versions of them, filling a gap in the literature. In particular, we find conditions based on the…
We develop a Monte Carlo-free approach to inference post output from randomized algorithms with a convex loss and a convex penalty. The pivotal statistic based on a truncated law, called the selective pivot, usually lacks closed form…
We study the genealogical distance of two randomly chosen individuals in a population that evolves according to a two type Moran model with mutation and selection. We prove that this distance is stochastically smaller than the corresponding…
Characterizations of finite sequences $\beta_{1}<\cdots<\beta_{n}$ representing expected values of order statistics from a random sample of size $n$ are given. As a by-product, a characterization of binomial mixtures, when the mixing random…