相关论文: Representation Theorems for Quadratic ${\cal F}$-C…

In this article, a sublinear expectation induced by $G$-expectation is introduced, which is called $G$-evaluation for convenience. As an application, we prove that any $\xi\in L^\beta_G(\Omega_T)$ with some $\beta>1$ the decomposition…

How an economic agent (a firm, an investor or a financial market) evaluates a contingent claim, say a European type of derivatives X, with maturity t? In this paper we study a mechanism of dynamic expectations and evaluations. We give the…

In the theory of progressive enlargements of filtrations, the supermartingale $Z_{t}=\mathbf{P}(g>t\mid \mathcal{F}_{t}) $ associated with an honest time g, and its additive (Doob-Meyer) decomposition, play an essential role. In this paper,…

We develop the mathematics of a filtration shrinkage model that has recently been considered in the credit risk modeling literature. Given a finite collection of points $x_1<...<x_N$ in $\mathbb{R}$, the region indicator function $R(x)$…

By using a simple observation that the density processes appearing in Ito's martingale representation theorem are invariant under the change of measures, we establish a non-linear version of the Cameron-Martin formula for solutions of a…

Let $S$ be the dyadic bi-parameter square function $$Sf(x)^{2} = \sum_{R \in \mathcal{D}} |\langle f, h_{R} \rangle|^{2} \frac{1_{R}(x)}{|R|}.$$ We prove that if $T$ is a bi-parameter martingale transform and $f,g$ are suitable test…

A driving force behind the diverse applicability of modern machine learning is the ability to extract meaningful features across many sources. However, many practical domains involve data that are non-identically distributed across sources,…

We consider coherent sublinear expectations on a measurable space, without assuming the existence of a dominating probability measure. By considering a decomposition of the space in terms of the supports of the measures representing our…

This paper extends the domination-monotonicity conditions, which guarantee the well-posedness of extended mean-filed forward-backward stochastic differential equations (extended MF-FBSDEs), from the previously studied linear framework to a…

Simulating a Gaussian process requires sampling from a high-dimensional Gaussian distribution, which scales cubically with the number of sample locations. Spectral methods address this challenge by exploiting the Fourier representation,…

In this paper we establish a complete representation theorem for $G$-martingales. Unlike the existing results in the literature, we provide the existence and uniqueness of the second order term, which corresponds to the second order…

When analyzing probabilistic computations, a powerful approach is to first find a martingale---an expression on the program variables whose expectation remains invariant---and then apply the optional stopping theorem in order to infer…

This article establishes a rigorous spectral framework for the mathematical analysis of SHAP values. We show that any predictive model defined on a discrete or multi-valued input space admits a generalized Fourier expansion with respect to…

Let $\mathcal{F}$ be a saturated fusion system on a $p$-group $S$. We study the ring $R(\mathcal{F})$ of $\mathcal{F}$-stable characters by exploiting a new connection to the modular characters of a finite group $G$ with $\mathcal{F} =…

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 study the martingale problem associated with the operator $L u = \partial_s u + 1/2 \sum_{i,j=1}^{d_0} a^{ij} \partial_{ij} u + \sum_{i,j=1}^d B^{ij} x^j \partial_i u$, where $d_0 \leq d$. We show that the martingale problem is…

In this paper we study a family of nonlinear (conditional) expectations that can be understood as a stochastic process with uncertain parameters. We develop a general framework which can be seen as a version of the martingale problem method…

We prove a quadratic sparse domination result for general non-integral square functions $S$. That is, we prove an estimate of the form \begin{equation*} \int_{M} (S f)^{2} g \, \mathrm{d}\mu \le c \sum_{P \in \mathcal{S}}…

We obtain functional central limit theorems for both discrete time expressions of the form $1/\sqrt{N}\sum_{n=1}^{[Nt]}(F(X(q_1(n)),\ldots, X(q_{\ell}(n)))-\bar{F})$ and similar expressions in the continuous time where the sum is replaced…

The main result of the article reads: the distribution of a continuous starting from zero local martingale whose quadratic characteristic is almost surely absolutely continuous with respect to some non-random increasing continuous function…