相关论文: Measure free martingales

In credit risk literature, the existence of an equivalent martingale measure is stipulated as one of the main assumptions in the hazard process model. Here we show by construction the existence of a measure that turns the discounted stock…

This article proposes a novel test for the martingale difference hypothesis based on the martingale difference divergence function, a recently developed dependence measure suitable for measuring the degree of conditional mean dependence of…

We consider the problem of finding a real valued martingale fitting specified marginal distributions. For this to be possible, the marginals must be increasing in the convex order and have constant mean. We show that, under the extra…

The familiar cascade measures are sequences of random positive measures obtained on $[0,1]$ via $b$-adic independent cascades. To generalize them, this paper allows the random weights invoked in the cascades to take real or complex values.…

A causal set is a countably infinite poset in which every element is above finitely many others; causal sets are exactly the posets that have a linear extension with the order-type of the natural numbers -- we call such a linear extension a…

Based on the ideas of {\it quantum extension} and {\it quantum conditioning}, we propose a generic approach to construct a new kind of entanglement measures called {\it conditional entanglement}. The new measures, built from the known…

The extent to which a given wave function, $\psi$, is entangled is measured by minimizing the norm of $\psi$ minus all possible unentangled functions. This measure is given by the largest eigenvalue of $\psi^\dagger \psi$, considered as an…

We define a class of random measures, spatially independent martingales, which we view as a natural generalisation of the canonical random discrete set, and which includes as special cases many variants of fractal percolation and Poissonian…

For a $d$-dimensional stochastic process $(S_n)_{n=0}^N$ we obtain criteria for the existence of an equivalent martingale measure, whose density $z$, up to a normalizing constant, is bounded from below by a given random variable $f$. We…

In the problem of optimal investment with utility function defined on $(0,\infty)$, we formulate sufficient conditions for the dual optimizer to be a uniformly integrable martingale. Our key requirement consists of the existence of a…

We show that the set of all measures on any measurable space is a complete lattice, i.e. every collection of measures has both a greatest lower bound and a least upper bound.

We present conditions every measure of entanglement has to satisfy and construct a whole class of 'good' entanglement measures. The generalization of our class of entanglement measures to more than two particles is straightforward. We…

In practice there are temporary arbitrage opportunities arising from the fact that prices for a given asset at different stock exchanges are not instantaneously the same. We will show that even in such an environment there exists a…

We provide a composite version of Ville's theorem that an event has zero measure if and only if there exists a nonnegative martingale which explodes to infinity when that event occurs. This is a classic result connecting measure-theoretic…

As a crucial problem in statistics is to decide whether additional variables are needed in a regression model. We propose a new multivariate test to investigate the conditional mean independence of Y given X conditioning on some known…

Let $(\Omega, \A, \mu)$ be a Lebesgue space and $T$ an ergodic measure preserving automorphism on $\Omega$ with positive entropy. We show that there is a bounded and strictly stationary martingale difference sequence defined on $\Omega$…

We give sufficient conditions for a finite metric space to be determined by the magnitude function. In particular, a generic finite metric space such that the distances between the points are rationally independent is determined by the…

Given a positive random variable $X$, $X\ge0$ a.s., a null hypothesis $H_0:E(X)\le\mu$ and a random sample of infinite size of $X$, we construct test supermartingales for $H_0$, i.e. positive processes that are supermartingale if the null…

We prove an elementary yet useful inequality bounding the maximal value of certain linear programs. This leads directly to a bound on the martingale difference for arbitrarily dependent random variables, providing a generalization of some…

We discuss why regular observables can not be proper entanglement measures, and how observables in a generalized setting can be used to make an entanglement monotone a directly observable quantity for the case of pure states. For the case…