相关论文: Remarks on martingale representation theorem for s…

We discuss data representation which can be learned automatically from data, are invariant to transformations, and at the same time selective, in the sense that two points have the same representation only if they are one the transformation…

In the context of Risk Neutral Pricing theory, we consider the classic problem of calibrating a martingale over $\mathbb{R}^n$ to a finite number of marginals thereof, or more practically, to prices of an arbitrary finite set of (joint)…

In the theory of algorithmic randomness, one of the central notions is that of computable randomness. An infinite binary sequence X is computably random if no recursive martingale (strategy) can win an infinite amount of money by betting on…

A fundamental result by L. Solomon in algebraic combinatorics and representation theory states that Mackey formulas for products of characters of a symmetric group, or equivalently the computation of tensor products of representations…

We discuss the representation theory of the bialgebra end(A) introduced by Manin. As a side result we give a new proof that Koszul algebras are distributive and furthermore we show that some well-known N-Koszul algebras are also…

We prove a version of Rao decomposition for quasi-martingales indexed by a linearly ordered set.

A convex duality result for martingale optimal transport problems with two marginals was established in Beiglb\"ock et al. (2013). In this paper we provide a generalization of this result to the multi-period setting.

In this paper we present methods for the synthesis of polynomial invariants for probabilistic transition systems. Our approach is based on martingale theory. We construct invariants in the form of polynomials over program variables, which…

In this paper we obtain a martingale representation theorem in the progressive enlargement $\mathbb{G}$ by a random time $\tau$ of the filtration $\mathbb{F}^L$ generated by a L\'evy process $L$. The assumptions on the random time are that…

We use the abstract method of (local) martingale problems in order to give criteria for convergence of stochastic processes. Extending previous notions, the formulation we use is neither restricted to Markov processes (or semimartingales),…

We extend some sharp inequalities for martingale-differences to general multiplicative systems of random variables. The key ingredient in the proofs is a technique reducing the general case to the case of Rademacher random variables without…

We introduce some classical concepts in the representation theory of compact groups, in order to use them for a new generalization of the Peter-Weyl Theorem. We mostly deal with functions on locally compact groups possessing large…

Using Y.Andr\'e's result on differential equations staisfied by $E$-functions, we derive an improved version of the Siegel-Shidlovskii theorem. It gives a complete characterisation of algebraic relations over the algebraic numbers between…

We develop a stochastic calculus that makes it easy to capture a variety of predictable transformations of semimartingales such as changes of variables, stochastic integrals, and their compositions. The framework offers a unified treatment…

We prove the Martingale Convergence Theorem by using the work of L. Dubins and I. Monroe about embedding a given discrete-time martingale in the sample paths of a Brownian motion.

In this paper, we establish an analytic framework for studying set-valued backward stochastic differential equations (set-valued BSDE), motivated largely by the current studies of dynamic set-valued risk measures for multi-asset or…

We generalise the Atiyah-Segal-Singer fixed point theorem to noncompact manifolds. Using $KK$-theory, we extend the equivariant index to the noncompact setting, and obtain a fixed point formula for it. The fixed point formula is the…

We consider the eigenvalue problem of certain kind of non-compact linear operators given as the sum of a multiplication and a kernel operator. A degenerate kernel method is used to approximate isolated eigenvalues. It is shown that entries…

In this note we re-examine the analysis of the paper "On the martingale property of stochastic exponentials" by B. Wong and C.C. Heyde, Journal of Applied Probability, 41(3):654-664, 2004. Some counterexamples are presented and alternative…

In this article we prove martingale type pointwise convergence theorems pertaining to tensor product splines defined on $d$-dimensional Euclidean space ($d$ is a positive integer), where conditional expectations are replaced by their…