相关论文: Jump inequalities via real interpolation
Interval arithmetic is a simple way to compute a mathematical expression to an arbitrary accuracy, widely used for verifying floating-point computations. Yet this simplicity belies challenges. Some inputs violate preconditions or cause…
This paper is the first part of a series of papers on filtering for partially observed jump diffusions satisfying a stochastic differential equation driven by Wiener processes and Poisson martingale measures. The coefficients of the…
This paper is devoted to an extension of rigidity results for nonlinear differential equations, based on carr{\'e} du champ methods, in the one-dimensional periodic case. The main result is an interpolation inequality with non-trivial…
This paper deals with a general form of variational problems in Banach spaces which encompasses variational inequalities as well as minimization problems. We prove a characterization of local error bounds for the distance to the…
By using the $\Phi$-entropy inequality derived in \cite{Wu, Ch} for Poisson measures, the same type of inequality is established for a class of stochastic differential equations driven by purely jump L\'evy processes. The semigroup…
We discuss the use of inequalities to obtain the solution of certain variational problems on time scales.
In this paper we consider local martingales with values in a UMD Banach function space. We prove that such martingales have a version which is a martingale field. Moreover, a new Burkholder--Davis--Gundy type inequality is obtained.
In the paper we study sharp maximal inequalities for martingales and non-negative submartingales: if $f$, $g$ are martingales satisfying \[|\mathrm{d}g_n|\leq|\mathrm{d}f_n|,\qquad n=0,1,2,...,\] almost surely, then…
The main aim of this work is to give a general approach to the celebrated Kahane-Salem-Zygmund inequalities. We prove estimates for exponential Orlicz norms of averages $\sup_{1\le j \leq N} \big |\sum_{1 \leq i \leq K}\gamma_i(\cdot)…
We study in this paper the function approximation error of linear interpolation and extrapolation. Several upper bounds are presented along with the conditions under which they are sharp. All results are under the assumptions that the…
Consider a real-valued branching random walk in the boundary case. Using the techniques developed by A\"id\'ekon and Shi [5], we give two integral tests which describe respectively the lower limits for the minimal position and the upper…
For a Banach space X we define RUMD_n(X) to be the infimum of all c>0 such that (AVE_{\epsilon_k =\pm 1} || \sum_1^n epsilon_k (M_k - M_{k-1} )||_{L_2^X}^2 )^{1/2} <= c || M_n ||_{L_2^X} holds for all Walsh-Paley martingales {M_k}_0^n…
Let $\mathcal{M}$ be a semifinite von Neumann algebra. We equip the associated noncommutative $L_p$-spaces with their natural operator space structure introduced by Pisier via complex interpolation. On the other hand, for $1<p<\infty$ let…
In this paper we introduce the notion of weak differential subordination for martingales and show that a Banach space $X$ is a UMD Banach space if and only if for all $p\in (1,\infty)$ and all purely discontinuous $X$-valued martingales $M$…
We provide necessary and sufficient first order geometric conditions for the stochastic invariance of a closed subset of R^d with respect to a jump-diffusion under weak regularity assumptions on the coefficients. Our main result extends the…
Inequalities play an important role in pure and applied mathematics. In particular, Opial inequality plays a main role in the study of the existence and uniqueness of initial and boundary value problems for differential equations. It has…
For local martingales with nonnegative jumps, we prove a sufficient criterion for the corresponding exponential martingale to be a true martingale. The criterion is in terms of exponential moments of a convex combination of the optional and…
We propose a new estimation scheme for estimation of the volatility parameters of a semimartingale with jumps based on a jump-detection filter. Our filter uses all of data to analyze the relative size of increments and to discriminate jumps…
We propose statistical tests to discriminate between the finite and infinite activity of jumps in a semimartingale discretely observed at high frequency. The two statistics allow for a symmetric treatment of the problem: we can either take…
We study jump-diffusion processes with parameters switching at random times. Being motivated by possible applications, we characterise equivalent martingale measures for these processes by means of the relative entropy. The minimal entropy…