相关论文: Fatou limits of stochastic integrals

First, sufficient conditions are given for a triangular array of random vectors such that the sequence of related random step functions converges towards a (not necessarily time homogeneous) diffusion process. These conditions are weaker…

We prove a variety of new and refined uniform continuity bounds for entropies of both classical random variables on an infinite state space and of quantum states of infinite-dimensional systems. We obtain the first tight continuity estimate…

We consider a scalar parabolic partial differential equation on the interval with nonlinear boundary conditions that are asymptotically sublinear. As the parameter crosses critical values (e.g. the Steklov eigenvalues), it is known that…

A local convergence rate is established for an orthogonal collocation method based on Radau quadrature applied to an unconstrained optimal control problem. If the continuous problem has a sufficiently smooth solution and the Hamiltonian…

In this paper we consider the problem of inference on a class of sets describing a collection of admissible models as solutions to a single smooth inequality. Classical and recent examples include, among others, the Hansen-Jagannathan (HJ)…

We investigate the analytic structure of functions defined by integrals with integrands singular on a finite union of quadrics. The main motivation comes from Feynman integrals which belong to this class. Using isotopy techniques we derive…

Given a set-valued stochastic process $(V_t)_{t=0}^T$, we say that the martingale selection problem is solvable if there exists an adapted sequence of selectors $\xi_t\in V_t$, admitting an equivalent martingale measure. The aim of this…

In these notes we will survey recent results on various finitary approximation properties of infinite groups. We will discuss various restrictions on groups that are approximated for example by finite solvable groups or finite-dimensional…

We study a surprising phenomenon in which Feynman integrals in $D=4-2\varepsilon$ space-time dimensions as $\varepsilon \to 0$ can be fully characterized by their behavior in the opposite limit, $\varepsilon \to \infty$. More concretely, we…

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),…

For any $d \geq 1$, random $\mathbb{Z}^d$ shifts of finite type (SFTs) were defined in previous work of the authors. For a parameter $\alpha \in [0,1]$, an alphabet $\mathcal{A}$, and a scale $n \in \mathbb{N}$, one obtains a distribution…

The aim of my thesis is to discuss, develop and apply the newest developments of this fascinating theory connected to modern harmonic analysis. In particular, we investigate some strong convergence result of partial sums of Vilenkin-Fourier…

It is often the case in Statistics that one needs to compute sums of infinite series, especially in marginalising over discrete latent variables. This has become more relevant with the popularization of gradient-based techniques (e.g.…

Motivated by the work of Musiela and Zariphopoulou \cite{zar-03}, we study the It\^o random fields which are utility functions $U(t,x)$ for any $(\omega,t)$. The main tool is the marginal utility $U_x(t,x)$ and its inverse expressed as the…

We define an integral of real-valued functions with respect to a measure that takes its values in the extended positive cone of a partially ordered vector space $E$. The monotone convergence theorem, Fatou's lemma, and the dominated…

We provide explicit convergence rates for Chernoff-type approximations of convex monotone semigroups which have the form $S(t)f=\lim_{n\to\infty}I(\frac{t}{n})^n f$ for bounded continuous functions $f$. Under suitable conditions on the…

We leverage recent advances in heavy-tail approximations for global hypothesis testing with dependent studies to construct approximate confidence regions without modeling or estimating their dependence structures. A non-rejection region is…

We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is then used to obtain an approximation for…

Congruences for stochastic automata are defined, the correspondin factor automata are constructed and investigated for automata ove analytic spaces. We study the behavior under finite and infinite streams. Congruences consist of multiple…

We investigate the occurrence of additive and multiplicative structures in random subsets of the natural numbers. Specifically, for a Bernoulli random subset of $\mathbb{N}$ where each integer is included independently with probability…