相关论文: Martingale selection theorem for a stochastic sequ…

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…

Strassen's classical martingale coupling theorem states that two real-valued random variables are ordered in the convex (resp.\ increasing convex) stochastic order if and only if they admit a martingale (resp.\ submartingale) coupling. By…

In this paper, we investigate a stochastic approximation procedure $\left(X_n\right)_{n\ge 0}$ taking values in $R$. The process is adapted to a filtration $(F_n)_{n\ge 0}$ and satisfies the recursion…

Strassen's theorem asserts that for given marginal probabilities $\mu,\nu$ there exists a martingale starting in $\mu$ and terminating in $\nu$ if and only if $\mu,\nu$ are in convex order. From a financial perspective, it guarantees the…

Given a bounded sequence $\{X^{n}\}_{n}$ of semimartingales on a time interval $[0,T]$, we find a sequence of convex combinations $\{Y^{n}\}_{n}$ and a limiting semimartingale $Y$ such that $\{Y^{n}\}_{n}$ converges to $Y$ in a…

The martingale expansion provides a refined approximation to the marginal distributions of martingales beyond the normal approximation implied by the martingale central limit theorem. We develop a martingale expansion framework specifically…

A set $G \subseteq \omega$ is $n$-generic for a positive integer $n$ if and only if every $\Sigma^0_n$ formula of $G$ is decided by a finite initial segment of $G$ in the sense of Cohen forcing. It is shown here that every $n$-generic set…

Inspired by a recent paper of I. Grama, E. Le Page and M. Peign\'e, we consider a sequence $(g_n)_{n \geq 1}$ of i.i.d. random $d\times d$-matrices with non-negative entries and study the fluctuations of the process $(\log \vert g_n\cdots…

In this work, we propose a global model selection criterion to estimate the graph of conditional dependencies of a random vector based on a finite sample. By global criterion, we mean optimizing a function over the entire set of possible…

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…

It is shown that under standard hypotheses, if stochastic approximation iterates remain tight, they converge with probability one to what their o.d.e. limit suggests. A simple test for tightness (and therefore a.s. convergence) is provided.…

In this paper, we obtain stability results for martingale representations in a very general framework. More specifically, we consider a sequence of martingales each adapted to its own filtration, and a sequence of random variables…

The problem is sequence prediction in the following setting. A sequence $x_1,...,x_n,...$ of discrete-valued observations is generated according to some unknown probabilistic law (measure) $\mu$. After observing each outcome, it is required…

In this paper, we introduce a convergence notion for ordered selections. Our convergence notion is based on subpermutation densities and convergences of the marginal distributions. A particular case of this convergence is the well-known…

Suppose we observe samples of a subset of a collection of random variables. No additional information is provided about the number of latent variables, nor of the relationship between the latent and observed variables. Is it possible to…

A novel selection principle was introduced by Dorantes-Aldama and Shakhmatov: a topological space $X$ is termed {\em selectively pseudocompact} if for any sequence $(U_n:n\in {\omega})$ of pairwise disjoint non-empty open sets of $X$, one…

In this paper we consider the problem of constructing confidence intervals for coefficients of martingale regression models (in particular, time series models) after variable selection. Although constructing confidence intervals are common…

Let $M =(M_t)_{t\geq 0}$ be any continuous real-valued stochastic process. We prove that if there exists a sequence $(a_n)_{n\geq 1}$ of real numbers which converges to 0 and such that $M$ satisfies the reflection property at all levels…

This paper considers the problem of robust adaptive efficient estimating of a periodic function in a continuous time regression model with the dependent noises given by a general square integrable semimartingale with a conditionally…

This paper revisits the set membership identification for linear control systems and establishes its convergence rates under relaxed assumptions on (i) the persistent excitation requirement and (ii) the system disturbances. In particular,…