Related papers: Concrete representation of martingales

The integral representation theorem for martingales has been widely used in probability theory. In this work, we propose and prove a general representation theorem for a class of set-valued submartingales. We also extend the stochastic…

We prove martingale-ergodic and ergodic-martingale theorems for vector valued Bochner integrable functions. We obtain dominant and maximal inequalities. We also prove weighted and multiparameter martingale-ergodic and ergodic martingale…

We prove martingale-ergodic and ergodic-martingale theorems with continuous parameter for vector valued Bochner integrable functions. We first prove almost everywhere convergence of vector valued martingales with continuous parameter. The…

For each 1 < p < infinity, there exists a positive constant c_p, depending only on p, such that the following holds. Let (d_k), (e_k) be real-valued martingale difference sequences. If for for all bounded nonnegative predictable sequences…

A stationary random sequence admits under some assumptions a representation as the sum of two others: one of them is a martingale difference sequence, and another is a so-called coboundary. Such a representation can be used for proving some…

We consider a sequence $X^n=(X^n_t)_{t\ge 0},n\ge 1$ of semimartingales. Each $X^n$ is a weak solution to an It\^o equation with respect to a Wiener process and a Poissonian martingale measure and is in general non-Markovian process. For…

The Fock transform recently introduced by the authors in a previous paper is applied to investigate convergence of generalized functional sequences of a discrete-time normal martingale $M$. A necessary and sufficient condition in terms of…

Denote by {$\times$} the fractional part. We establish several new metrical results on the distribution properties of the sequence ({x n }) n$\ge$1. Many of them are presented in a more general framework, in which the sequence of functions…

We consider the space of convex functions defined in the Euclidean $n$-dimensional space, which are lower semi-continuous and tend to infinity at infinity. We study real-valued valuations defined on this space of functions, which are…

Whitney type examples of maps $f\in C^k(\real^m,\real^n)$ for a maximal possible real $k$, and multidimensional space-filling curves with special properties are constructed.

In this paper, we obtain stability results for martingale representations in a very general framework. More specifically, we consider a sequence of martingales each adapted to its own filtration, and a sequence of random variables…

Inspired by Menshov's representation theorem, we prove that there exists a sequence of frequecies such that any measurable (complex valued) function on R can be represented as a sum of almost everywhere convergent trigonometric series with…

This paper deals with strong invariance principles (known also as strong approximation theorems) for sums of the form $\sum_{n=1}^{[Nt]}F\big(X(n),X(2n),...,X(kn), X(q_{k+1}(n)),X(q_{k+2}(n)),..., X(q_\ell(n))\big)$

We show that, under certain smoothness conditions, a Brownian martingale at a fixed time can be represented as an exponential of its value at a later time. The time-dependent generator of this exponential operator is equal to one half times…

We give a bare-hands approach to the martingale representation theorem for integer valued random measures, which allows for a wide class of infinite activity jump processes, as well as all processes with well-ordered jumps.

For a fixed integer $k \ge 0$, consider representations of positive integers as sums of binomial coefficients of the form $\binom{n}{k}$. While exact minimal bounds for the number of required summands are known only in a few low-dimensional…

In this paper we give an integral representation of an $n$-convex function $f$ in general case without additional assumptions on function $f$. We prove that any $n$-convex function can be represented as a sum of two $(n+1)$-times monotone…

Let $f(n)$ be a strongly additive complex valued arithmetic function. Under mild conditions on $f$, we prove the following weighted strong law of large numbers: if $ X,X_1,X_2,... $ is any sequence of integrable i.i.d. random variables,…

We construct a pathwise calculus for functionals of integer-valued measures and use it to derive an martingale representation formula with respect to a large class of integer-valued random measures. Using these results, we extend the…

This paper extends the concept of de Branges matrices to any finite $m\times m$ order where $m=2n$. We shall discuss these matrices along with the theory of de Branges spaces of $\mathbb{C}^n$-valued entire functions and their associated…