Optional decomposition of optional supermartingales and applications to filtering and finance

ABSTRACT

The classical Doob–Meyer decomposition and its uniform version the optional decomposition are stated on probability spaces with filtrations satisfying the usual conditions. However, the comprehensive needs of filtering theory and mathematical finance call for their generalizations to more abstract spaces without such technical restrictions. The main result of this paper states that there exists a uniform Doob–Meyer decomposition of optional supermartingales on unusual probability spaces. This paper also demonstrates how this decomposition works in the construction of optimal filters in the very general setting of the filtering problem for optional semimartingales. Finally, the application of these optimal filters of optional semimartingales to mathematical finance is presented.     

On the Alexandroff decomposition theorem

We prove an Alexandroff decomposition type theorem, which extends a decomposition theorem proved in [de LUCIA, P.—MORALES, P.: Decomposition of group-valued measures in orthoalgebras, Fund. Math. 158 (1998), 109–124].      

The generalized decomposition theorem in Banach spaces and its applications

In this paper, we first give a simple proof of the decomposition theorem in Alber (Field Inst. Comm. 25 (2000) 77) and then present a new decomposition of arbitrary elements in reflexive strictly convex and smooth Banach spaces. As applications of the decomposition theorem, we give the representations of the metric projection operator for some kind of closed convex sets. Finally, we provide a sufficient condition under which the generalized projection operator coincides with the metric projection operator.     

The generalized triangular decomposition

Given a complex matrix , we consider the decomposition , where is upper triangular and and have orthonormal columns. Special instances of this decomposition include the singular value decomposition (SVD) and the Schur decomposition where is an upper triangular matrix with the eigenvalues of on the diagonal. We show that any diagonal for can be achieved that satisfies Weyl's multiplicative majorization conditions:

where is the rank of , is the -th largest singular value of , and is the -th largest (in magnitude) diagonal element of . Given a vector which satisfies Weyl's conditions, we call the decomposition , where is upper triangular with prescribed diagonal , the generalized triangular decomposition (GTD). A direct (nonrecursive) algorithm is developed for computing the GTD. This algorithm starts with the SVD and applies a series of permutations and Givens rotations to obtain the GTD. The numerical stability of the GTD update step is established. The GTD can be used to optimize the power utilization of a communication channel, while taking into account quality of service requirements for subchannels. Another application of the GTD is to inverse eigenvalue problems where the goal is to construct matrices with prescribed eigenvalues and singular values.

     

Idealization of a decomposition theorem

In 1986, Tong [13] proved that a function f : (X,τ)→(Y,φ) is continuous if and only if it is α-continuous and A-continuous. We extend this decomposition of continuity in terms of ideals. First, we introduce the notions of regular-I-closed sets, A _I-sets and A _I -continuous functions in ideal topological spaces and investigate their properties. Then, we show that a function f : (X,τ,I)→(Y, φ) is continuous if and only if it is α-I-continuous and A _I-continuous. This revised version was published online in June 2006 with corrections to the Cover Date.     

On a generalized Kirchhoff equation with sublinear nonlinearities

In this paper, we consider a generalized Kirchhoff equation in a bounded domain under the effect of a sublinear nonlinearity. Under suitable assumptions on the data of the problem, we show that, with a simple change of variable, the equation can be reduced to a classical semilinear equation and then studied with standard tools. Copyright © 2016 John Wiley & Sons, Ltd.     

关于概率空间与次线性期望空间中的随机变量一致可积性的一个注记（英文）

在这篇注记中我们讨论随机变量的一致可积性.在概率空间中,我们引进了随机变量一致可积性的两个新的定义,并证明了他们与经典定义等价.在次线性期望空间中,我们给出了随机变量一致可积性的德拉瓦利普桑准则,并作了一些其它讨论.     

On a generalized sup-inf problem

In this paper, necessary and sufficient conditions for solvability of nonlinear inequality systems are given using certain generalized convexity concepts. Our results imply some theorems of Kirszbraun, Fan, Minty, Simons, Sebestyén, and Gwinner-Oettli.The authors are grateful to the referees for their helpful comments. They thank one of the referees, who emphasized the connection between the Wald minimax theorem and Theorem 2.1, and suggested an alternative proof of Theorem 2.1 in Section 4.     

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In this note we discuss uniform integrability of random variables. In a probability space, we introduce two new notions on uniform integrability of random variables, and prove that they are equivalent to the classic one. In a sublinear expectation space, we give de La Vall\'{e}e Poussin criterion for the uniform integrability of random variables and do some other discussions.     

ON A GENERALIZED MODULUS OF CONVEXITY AND UNIFORM NORMAL STRUCTURE

In this article, the authors study a generalized modulus of convexity, δ(α)(∈).Certain related geometrical properties of this modulus are analyzed. Their main result is that Banach space X has uniform normal structure if there exists ∈, 0 ≤∈≤1, such that δ(α)(1 ∈) ＞ (1 - α)∈.     

Optional and predictable projections of set-valued measurable processes

Abstract. In this paper,the optional and predictable projections of set-valued measurable pro-cesses are studied. The existence and uniqueness of optional and predictable projections of set-valued measurable processes are proved under proper circumstances.     

On generalized convexity and duality with a square root term

We extend the duality theorems for a class of nondifferentiable problems with Mond-Weir type duals.     

Hodge decomposition theorem on strongly K(a)hler Finsler manifolds

Faran posed an open problem about analysis on complex Finsler spaces: Is there an analogue of the (θ)-Laplacian? Is there an analogue of Hodge theory? Under the assumption that (M, F) is a compact strongly K(a)hler Finsler manifold, we define a (θ)-Laplacian on the base manifold. Our result shows that the well-known Hodge decomposition theorem in K(a)hler manifolds is still true in the more general compact strongly K(a)hler Finsler manifolds.     

On the domain decomposition method for the generalized Stokes problem with continuous pressure

Using the nonoverlapping domain decomposition approach, we propose a formulation of the dual Schur algorithm for the generalized Stokes problem discretized by a mixed finite element method continuous for the pressure in each subdomain, but discontinuous at the interfaces. The corresponding LBB condition is checked. The dual interface problem is written in the case of two subdomains, and it is generalized to several subdomains. An efficient preconditioner for the interface problem is derived. Numerical results are presented for two different local solvers. Parallel computations were made on an IBM‐SP2. © 2000 John Wiley & Sons, Inc. Numer Methods Partial Differential Eq 16: 84–106, 2000     

Theoretical properties and numerical tests of an efficient nonlinear decomposition algorithm

Kronsjö's nonlinear generalization (Ref. 1) of Benders' algorithm (Ref. 2) is reviewed. At each iteration, this algorithm produces upper and lower bounds to the true optimum, and the sequence of lower bounds is increasing. The algorithm is modified, so that the sequence of upper bounds is -decreasing as well. The two versions are tested numerically using an ALGOL program originally written by Wong (Ref. 3), incorporating the SUMT method (Fiacco and McCormick, Refs. 4 and 5). The two versions are compared against each other, and the problem of the optimal degree of decomposition is considered. Finally, an attempt is made to express the computer time required to solve the test problems as a function of master problem size, number of subproblems, and average subproblem size.The author wishes to express his gratitude to Professor T. O. M. Kronsjö for valuable help and comments.     

On the Theory of (Dual) Projection for Fuzzy Stochastic Processes

Abstract

In a theory similar to one of real-valued stochastic processes, in this paper, we investigate the projection and dual projection for fuzzy stochastic processes. First, the related concepts of fuzzy stochastic processes are introduced, such as adaption, measurability, optionality, predictability, etc. Subsequently, we study fuzzy stochastic integral and fuzzy measure generated by increasing fuzzy stochastic processes. Moreover, (dual) projection w.r.t. (increasing) fuzzy stochastic processes are discussed. We prove the existence and uniqueness of (dual) optional (predictable) projection for (increasing) fuzzy stochastic processes.     

Sensitivity analysis for the generalized singular value decomposition

In this paper, we discuss the sensitivity of multiple nonzero finite generalized singular values and the corresponding generalized singular matrix set of a real matrix pair analytically dependent on several parameters. From our results, the partial derivatives of multiple nonzero singular values and their left and right singular vector matrices are obtained.Copyright © 2012 John Wiley & Sons, Ltd.     

On a theorem of yulmukhametov

A new version and a modified proof of Yulmukhametov’s theorem on the decomposition of measures are given. Translated fromMatematicheskie Zametki, Vol. 67, No. 6, pp. 859–862, June, 2000.     

Spectral mapping theorem for generalized Kato spectrum

In this paper, we give an affirmative answer to Mbekhta's conjecture (Mbekhta, 1990 [13]) about the pseudo Fredholm operators in Hilbert space. As a consequence, we characterize pseudo Fredholm operators and we prove that the generalized Kato spectrum satisfies the spectral mapping theorem in the Hilbert spaces setting.