Measure free martingales

We give a necessary and sufficient condition on a sequence of functions on a set Ω under which there is a measure on Ω which renders the given sequence of functions a martingale. Further such a measure is unique if we impose a natural maximum entropy condition on the conditional probabilities.     

L p -Version of the Dubins–Savage Inequality and Some Exponential Inequalities

The Dubins–Savage inequality is generalized by using the pth (1<p≤2) conditional moment of the martingale differences. This inequality is further extended under suitable conditions when p>2. Another martingale inequality due to Freedman is also generalized when 0<p≤2. Implications of these inequalities for strong convergence are discussed. Some general exponential inequalities are also given for martingales (supermartingales) under suitable conditions.      

Limit theorems for large deviations probabilities of certain quadratic forms

Let (ξ _k ,F _k ) be a martingale difference sequence. The paper concerns the tail behavior of the quadratic formS _n = ∑ _k=1 ⁿ ∑ _j=1 ^k−1 β _n ^k−j χ _k χ _j , where β _n asn→∞. The main conclusions aboutP}n ⁻¹ S _n >x _n }, wherex _n →∞, asn→∞, are obtained using the tail behavior of a martingale with values in a certain Hilbert space. Vilnius University, Naugarduko 24; Institute of Mathematics and Informatics, Akademijos 4, 2600 Vilnius, Lithuania. Published in Lietuvos Matematikos Rinkinys, Vol. 37, No. 4, pp. 532–549, October–December, 1997.     

On the average difference between two conjugates of an algebraic number

We give a lower bound for |α−1|, where α is an algebraic number, and also an upper bound for the number of real zeros of a polynomial. A lower bound for the maximal modulus of conjugates of a totally real algebraic integer is also obtained. Vilnius University, Naugarduko 24, 2006 Vilnius, Lithuania. Published in Lietuvos Matematikos Rinkinys, Vol. 35, No. 4, pp. 421–431, October–December, 1995.     

Asymptotically optimal estimating equation with strongly consistent solutions for longitudinal data

In this article, we introduce a conditional marginal model for longitudinal data, in which the residuals form a martingale difference sequence. This model allows us to consider a rich class of estimating equations which contains several estimating equations proposed in the literature. A particular sequence of estimating equations in this class contains a random matrix R _i−1^*(β) as a replacement for the “true” conditional correlation matrix of the ith individual. Using the approach of [12], we identify some sufficient conditions under which this particular sequence of equations is asymptotically optimal (in our class). In the second part of the article, we identify a second set of conditions under which we prove the existence and strong consistency of a sequence of estimators of β defined as roots of estimation equations which are martingale transforms (in particular, roots of the sequence of asymptotically optimal equations).     

Amarts on Riesz Spaces

The concepts of conditional expectations, martingales and stopping times were extended to the Riesz space context by Kuo, Labuschagne and Watson （Discrete time stochastic processes on Riesz spaces, Indag. Math.,15（2004）, 435-451）. Here we extend the definition of an asymptotic martingale （amart） to the Riesz spaces context, and prove that Riesz space amarts can be decomposed into the sum of a martingale and an adapted sequence convergent to zero. Consequently an amart convergence theorem is deduced.     

Filtration-consistent nonlinear expectations and related <Emphasis Type="Italic">g</Emphasis>-expectations

 From a general definition of nonlinear expectations, viewed as operators preserving monotonicity and constants, we derive, under rather general assumptions, the notions of conditional nonlinear expectation and nonlinear martingale. We prove that any such nonlinear martingale can be represented as the solution of a backward stochastic equation, and in particular admits continuous paths. In other words, it is a g-martingale. Received: 2 February 2000 / Revised version: 1 June 2001 / Published online: 13 May 2002     

On the asymptotic independence of Dirichlet series

The joint limit distribution of functions given by Dirichlet series is studied. The necessary and sufficient condition when this distribution is a product of marginal distributions is found. An example of such Dirichlet series with linear independent systems of exponents is presented. Partially supported by the Lithuanian State Science and Studies Foundation. Vilnius University, Naugarduko 24, 2006 Vilnius; Šiauliai University, P. Višinskio 25, 5419 Šiauliai, Lithuania. Translated from Lietuvos Matematikos Rinkinys, Vol. 39, No. 1, pp. 65–73, January–March, 1999. Translated by A. Laurinčikas     

Properties of residuals for spatial point processes

For any point process in that has a Papangelou conditional intensity λ, we define a random measure of ‘innovations’ which has mean zero. When the point process model parameters are estimated from data, there is an analogous random measure of ‘residuals’. We analyse properties of the innovations and residuals, including first and second moments, conditional independence, a martingale property, and lack of correlation. Some large sample asymptotics are studied. We derive the marginal distribution of smoothed residuals by solving a distributional equivalence.     

On approximation of stochastic differential equations with coefficients depending on the past

Vilnius University, Naugarduko 24, 2006 Vilnius, Lithuania. Published in Lietuvos Matematikos Rinkinys, Vol. 32, No. 2, pp. 285–298, April–June, 1992.     

Some limit theorems for a Dirichlet series related to the Euler function

Using some conjectures on the mean-value of generalized numbers, limit theorems in the sense of the weak convergence of probability measures for the Dirichlet series related to the Euler function are proved. Also, the limit measure is studied. Partially supported by the Lithuanian State Science and Studies Foundation. Vilnius University, Naugarduko 24, 2006 Vilnius, Lithuania: Šiauliai University, P. Višinskio 25, 5400 Šiauliai, Lithuania. Translated from Lietuvos Matematikos Rinkinys, Vol. 39, No. 3, pp. 331–342, July–September, 1999. Translated by A. Laurinčikas     

Intrinsic normalizations of a hyperplane distribution on the Grassmann manifold. I

We consider intrinsic normalizations of a hyperplane distribution on the Grassmann manifold of ann-dimensional projective space. Vilnius University, Naugarduko 24, 2600 Vilnius, Lithuania. Translated from Lietuvos Matematikos Rinkinys, Vol. 39, No. 2, pp. 257–273, April–June, 1999. Translated by V. Mackevičius     

Difference scheme for the nonlinear problem of magnetization

Vilnius University, Naugarduko 24, 2006 Vilnius, Lithuania. Translated from Lietuvos Matematikos Rinkinys, Vol. 32, No. 2, pp. 237–248, April–June, 1992.     

On the blow-up of solutions of a system of nonlinear Schrödinger equations

Vilnius University, Naugarduko 24, 2006 Vilnius, Lithuania. Translated from Lietuvos Matematikos Rinkinys, Vol. 35, No. 2, pp. 181–189, April–June, 1995.     

Behavior of the homogeneous symmetric polynomial in an angular region

Vilnius Technical University, Saulétekio al. 11, 2600 Vilnius, Lithuania. Translated from Lietuvos Matematikos Rinkinys Vol. 35, No. 4, pp. 469–488, October–December, 1995.     

Multiplicative processes on the set of shifted primes

The asymptotical behavior of the distributions of stochastic processes defined by multiplicative functions in the set of shifted primes is considered. The first author was supported by Konferenz der deutschen Akademien der Wissenschaften. Vilnius University, Naugarduko 24, 2006 Vilnius, Lithuania. Paderborn University, Warburger 100, 33098 Paderborn, Germany. Published in Lietuvos Matematikos Rinkinys, Vol. 39, No. 4, pp. 441–460, October–December, 1999.     

Large deviations for integer centered poisson approximation

Large deviations in a centered Poisson approximation are examined. For lattice distributions, the centered Poisson approximation is more universal than the normal and standard Poisson laws. Vilnius University, Naugarduko 24, 2600 Vilnius, Lithuania. Translated from Lietuvos Matematikos Rinkinys, Vol. 39, No. 1, pp. 9–23, January–March, 1999. Translated by V. Čekanavičius     

On the maximal conjugate of a totally real algebraic integer

Let α be an algebraic integer of degreed whosed conjugates are all real. We give a lower bound for the absolute value of conjugates of α in terms ofd and of the number of conjugates outside the interval [−2; 2]. Combining this with a lower bound for Mahler's measure of a polynomial, we obtain a lower bound for the maximal conjugate of a totally real algebraic integer. Vilnius University, Naugarduko 24, 2006 Vilnius, Lithuania. Published in Lietuvos Matematikos Rinkinys, Vol. 37, No. 1, pp. 18–25, January–March, 1997.     

On the number of polynomials of small house

Suppose that ɛ is a positive number, and letd be a sufficiently large positive integer. We consider a set of monic polynomials of degreed with integer coefficients and roots lying in the disk of radiusd ^ɛ/d. We prove that the number of such polynomials is less than exp(d ^2/3+ɛ). Partially supported by the Lithuanian State Science and Studies Foundation. Vilnius University, Naugarduko 24, 2600 Vilnius, Lithuania. Published in Lietuvos Matematikos Rinkinys, Vol. 39, No. 2, pp. 214–219, April–June, 1999.     

The provability of certain sequents in additive arithmetic

Vilnius Pedagogical University, Studentų 39, 2034 Vilnius, Lithuania. Published in Lietuvos Matematikos Rinkinys, Vol. 35, No. 4, pp. 518–526, October–December, 1995.