共查询到20条相似文献,搜索用时 15 毫秒
1.
P. A. Mykland 《Probability Theory and Related Fields》1995,103(4):475-492
The paper develops a way of embedding general martingales in continuous ones in such a way that the quadratic variation of the continuous martingale has conditional cumulants (given the original martingale) that are explicitly given in terms of optional and predictable variations of the original process. Bartlett identities for the conditional cumulants are also found. A main corollary to these results is the establishment of second (and in some cases higher) order asymptotic expansions for martingales.Research supported in part by National Science Foundation grant DMS 93-05601 and Army Research Office grant DAAH04-1-0105 相似文献
2.
R. W. R. Darling 《Probability Theory and Related Fields》1992,93(2):137-152
Summary Kallenberg and Sztencel have recently discovered exponential upper bounds, independent of dimension, on the probability that a vector martingale will exit from a ball in Euclidean space by timet. This article extends their results to martingales on Riemannian manifolds, including Brownian motion, and shows how exit probabilities depend on curvature. Using comparison with rotationally symmetric manifolds, these estimates are easily computable, and are sharp up to a constant factor in certain cases. 相似文献
3.
Wen-Chi Kuo 《Indagationes Mathematicae》2006,17(2):271-283
We prove a martingale convergence for sub and super martingales on Riesz spaces. As a consequence we can form Krickeberg and Riesz like decompositions. The minimality of the Krickeberg decomposition yields a natural ordered lattice structure on the space of convergent martingales making this space into a Dedekind complete Riesz space. Finally we show that the Riesz space of convergent martingales is Riesz isomorphic to the order closure of the union of the ranges of the conditional expectations in the filtration. Consequently we can characterize the space of order convergent martingales both in Riesz spaces and in the setting of probability spaces. 相似文献
4.
5.
Wen-Chi Kuo 《Indagationes Mathematicae》2004,15(3):435-451
It has been recognised that order is closely linked with probability theory, with lattice theoretic approaches being used to study Markov processes but, to our knowledge, the complete theory of (sub, super) martingales and their stopping times has not been formulated on Riesz spaces. We generalize the concepts of stochastic processes, (sub, super) martingales and stopping times to Riesz spaces. In this paper we consider discrete time processes with bounded stopping times. 相似文献
6.
Victor H. de la Peña Michael J. Klass Tze Leung Lai 《Stochastic Processes and their Applications》2009
Multivariate self-normalized processes, for which self-normalization consists of multiplying by the inverse of a positive definite matrix (instead of dividing by a positive random variable as in the scalar case), are ubiquitous in statistical applications. In this paper we make use of a technique called “pseudo-maximization” to derive exponential and moment inequalities, and bounds for boundary crossing probabilities, for these processes. In addition, Strassen-type laws of the iterated logarithm are developed for multivariate martingales, self-normalized by their quadratic or predictable variations. 相似文献
7.
Anton Thalmaier 《Probability Theory and Related Fields》1996,105(3):335-367
Summary We develop a general framework for a stochastic interpretation of certain nonlinear PDEs on manifolds. The linear operation of takin expectations is replaced by the concept of martingale means, namely the notion of deterministic starting points of martingales (with respect to the Levi-Civita connection) ending up at a prescribed state. We formulate a monotonicity condition for the Riemannian quadratic variation of such martingales that allows us to turn smallness of the quadratic variation into a priori gradient bounds for solutions of the nonlinear heat equation. Such estimates lead to simple criteria for blow-ups in the nonlinear heat flow for harmonic maps with small initial energy.This article was processed by the author using the Springer-Verlag TEX QPMZGHB macro package 1991. 相似文献
8.
Let X be a rearrangement-invariant Banach function space
over a complete probability space
, and denote by
the Hardy space consisting of all martingales
such that
. We prove that
implies
for any filtration
if and only if Doobs inequality holds in
X, where
denotes the martingale defined by
, n = 0, 1, 2, ..., and
a.s.Received: 1 August 2000 相似文献
9.
In this paper, atomic decompositions of Banach lattice-valued martingales are given. We discuss the relation between the LERMT property and atomic decompositions. With the help of atomic decompositions, the relation of the martingale spaces is investigated. 相似文献
10.
An expansion of large deviation probabilities for martingales is given, which extends the classical result due to Cramér to the case of martingale differences satisfying the conditional Bernstein condition. The upper bound of the range of validity and the remainder of our expansion is the same as in the Cramér result and therefore are optimal. Our result implies a moderate deviation principle for martingales. 相似文献
11.
Peter Kotelenez 《Stochastic Processes and their Applications》1984,17(1):115-125
Necessary and sufficient conditions for Hölder continuity of Hilbert space valued martingales are given in terms of the associated quadratic variation. As an application one obtains a sufficient condition for a mild solution of a stochastic evolution equation to have a continuous version if the semigroup governing this equation is analytic. Further we derive Levy's modulus of continuity for the Hilbert space valued stochastic integral with the Wiener process as integrator and obtain a generalization of the loglog law for that integral. 相似文献
12.
José Villa-Morales 《Expositiones Mathematicae》2012,30(4):406-411
A particular case of the Dirichlet problem is solved using the Convergence Theorem for discrete-time martingales and the mean value property of harmonic functions as the main tools. 相似文献
13.
Lucien Chevalier 《Journal of Functional Analysis》2004,207(2):344-357
In our previous papers (Adv. in Math. 138 (1) (1998) 182; Potential Anal. 12 (2000) 419), we have obtained a decomposition of |f|, where f is a function defined on , that is analogous to the one proved by H. Tanaka for martingales (the so-called “Tanaka formula”). More precisely, the decomposition has the form , where is (a variant of ) the density of the area integral associated with f. This functional (introduced by R.F. Gundy in his 1983 paper (The density of area integral, Conference on Harmonic Analysis in Honor of Antoni Zygmund. Wadsworth, Belmont, CA, 1983, pp. 138-149.)) can be viewed as the counterpart of the local time in Euclidean harmonic analysis. In this paper, we are interested in boundedness and continuity properties of the mapping (which we call the Lévy transform in analysis) on some classical function or distribution spaces. As was shown in [4,5], the above (non-linear) decomposition is bounded in Lp for every p∈[1,+∞[, i.e. one has , where Cp is a constant depending only on p. Nevertheless our methods (roughly speaking, the Calderón-Zygmund theory in [4], stochastic calculus and martingale inequalities in [5]) both gave constants Cp whose order of magnitude near 1 is O(1/(p−1)). The aim of this paper is two-fold: first, we improve the preceding result and we answer a natural question, by proving that the best constants Cp are bounded near 1. Second, we prove that the Lévy transform is continuous on the Hardy spaces Hp with p>n/(n+1). 相似文献
14.
Duality theorem for B‐valued martingale Orlicz–Hardy spaces associated with concave functions
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Lin Yu 《Mathematische Nachrichten》2016,289(5-6):756-774
The dual space of B ‐valued martingale Orlicz–Hardy space with a concave function Φ, which is associated with the conditional p‐variation of B ‐valued martingale, is characterized. To obtain the results, a new type of Campanato spaces for B ‐valued martingales is introduced and the classical technique of atomic decompositions is improved. Some results obtained here are connected closely with the p‐uniform smoothness and q‐uniform convexity of the underlying Banach space. 相似文献
15.
In this article, several weak Hardy spaces of Banach-space-valued martingales are introduced, some atomic decomposition theorems for them are established and their duals are investigated. The results closely depend on the geometrical properties of the Banach space in which the martingales take values. 相似文献
16.
Given a complete separable σ-finite measure space (X,Σ, μ) and nested partitions of X, we construct unbalanced Haar-like wavelets on X that form an unconditional basis for Lp (X,Σ, μ) where1<p<∞. Our construction and proofs build upon ideas of Burkholder and Mitrea. We show that if(X,Σ, μ) is not purely atomic, then the unconditional basis constant of our basis is (max(p, q) −1). We derive a fast algorithm to compute the coefficients. 相似文献
17.
Adam Os?kowski 《Statistics & probability letters》2012,82(1):186-190
Suppose that f is a martingale taking values in a Banach space B and g is its transform by a deterministic sequence of numbers in {−1,1}, such that supn‖gn‖≥1 almost surely. We show that a certain family of Φ-estimates for f holds true if and only B is a Hilbert space. 相似文献
18.
Jacobus J. Grobler Coenraad C.A. Labuschagne Valeria Marraffa 《Journal of Mathematical Analysis and Applications》2014
We derive quadratic variation inequalities for discrete-time martingales, sub- and supermartingales in the measure-free setting of Riesz spaces. Our main result is a Riesz space analogue of Austin?s sample function theorem, on convergence of the quadratic variation processes of martingales. 相似文献
19.
In this article, by extending classical Dellacherie's theorem on stochastic sequences to variable exponent spaces, we prove that the famous Burkholder-Gundy-Davis inequality holds for martingales in variable exponent Hardy spaces. We also obtain the variable exponent analogues of several martingale inequalities in classical theory, including convexity lemma, Chevalier's inequality and the equivalence of two kinds of martingale spaces with predictable control. Moreover, under the regular condition on σ-algebra sequence we prove the equivalence between five kinds of variable exponent martingale Hardy spaces. 相似文献