A Weak-Type Inequality for Submartingales and Itô Processes

Adam Osękowski

Displaying similar documents to “A Weak-Type Inequality for Submartingales and Itô Processes”

The weak convergence of regenerative processes using some excursion path decompositions

Amaury Lambert, Florian Simatos (2014)

Annales de l'I.H.P. Probabilités et statistiques

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We consider regenerative processes with values in some general Polish space. We define their $ε$ -big excursions as excursions $e$ such that $ϕ (e) g t; ε$ , where $ϕ$ is some given functional on the space of excursions which can be thought of as, e.g., the length or the height of $e$ . We establish a general condition that guarantees the convergence of a sequence of regenerative processes involving the convergence of $ε$ -big excursions and of their endpoints, for all $ε$ in a set whose closure contains $0$ . Finally,...

On smoothing properties of transition semigroups associated to a class of SDEs with jumps

Seiichiro Kusuoka, Carlo Marinelli (2014)

Annales de l'I.H.P. Probabilités et statistiques

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We prove smoothing properties of nonlocal transition semigroups associated to a class of stochastic differential equations (SDE) in $ℝ^{d}$ driven by additive pure-jump Lévy noise. In particular, we assume that the Lévy process driving the SDE is the sum of a subordinated Wiener process $Y$ (i.e. $Y = W \circ T$ , where $T$ is an increasing pure-jump Lévy process starting at zero and independent of the Wiener process $W$ ) and of an arbitrary Lévy process independent of $Y$ , that the drift coefficient is continuous...

Generalization of the weak amenability on various Banach algebras

Madjid Eshaghi Gordji, Ali Jabbari, Abasalt Bodaghi (2019)

Mathematica Bohemica

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The generalized notion of weak amenability, namely $(ϕ, ψ)$ -weak amenability, where $ϕ, ψ$ are continuous homomorphisms on a Banach algebra $𝒜$ , was introduced by Bodaghi, Eshaghi Gordji and Medghalchi (2009). In this paper, the $(ϕ, ψ)$ -weak amenability on the measure algebra $M (G)$ , the group algebra $L^{1} (G)$ and the Segal algebra $S^{1} (G)$ , where $G$ is a locally compact group, are studied. As a typical example, the $(ϕ, ψ)$ -weak amenability of a special semigroup algebra is shown as well.

Lévy processes conditioned on having a large height process

Mathieu Richard (2013)

Annales de l'I.H.P. Probabilités et statistiques

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In the present work, we consider spectrally positive Lévy processes $(X_{t}, t \geq 0)$ not drifting to $+ \infty$ and we are interested in conditioning these processes to reach arbitrarily large heights (in the sense of the height process associated with $X$ ) before hitting $0$ . This way we obtain a new conditioning of Lévy processes to stay positive. The (honest) law $ℙ_{x}^{☆}$ of this conditioned process (starting at $x g t; 0$ ) is defined as a Doob $h$ -transform via a martingale. For Lévy processes with infinite variation paths,...

The subspace of weak $P$ -points of $ℕ^{*}$

Salvador García-Ferreira, Y. F. Ortiz-Castillo (2015)

Commentationes Mathematicae Universitatis Carolinae

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Let $W$ be the subspace of $ℕ^{*}$ consisting of all weak $P$ -points. It is not hard to see that $W$ is a pseudocompact space. In this paper we shall prove that this space has stronger pseudocompact properties. Indeed, it is shown that $W$ is a $p$ -pseudocompact space for all $p \in ℕ^{*}$ .

On the condition of Λ-convexity in some problems of weak continuity and weak lower semicontinuity

Agnieszka Kałamajska (2001)

Colloquium Mathematicae

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We study the functional $I_{f} (u) = \int_{Ω} f (u (x)) d x$ , where u=(u₁, ..., uₘ) and each $u_{j}$ is constant along some subspace $W_{j}$ of ℝⁿ. We show that if intersections of the $W_{j}$ ’s satisfy a certain condition then $I_{f}$ is weakly lower semicontinuous if and only if f is Λ-convex (see Definition 1.1 and Theorem 1.1). We also give a necessary and sufficient condition on ${W_{j}}_{j = 1, . . ., m}$ to have the equivalence: $I_{f}$ is weakly continuous if and only if f is Λ-affine.

A uniqueness result for the continuity equation in two dimensions

Giovanni Alberti, Stefano Bianchini, Gianluca Crippa (2014)

Journal of the European Mathematical Society

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We characterize the autonomous, divergence-free vector fields $b$ on the plane such that the Cauchy problem for the continuity equation $\partial_{t} u + \frac{.}{\dot{}} (b u) = 0$ admits a unique bounded solution (in the weak sense) for every bounded initial datum; the characterization is given in terms of a property of Sard type for the potential $f$ associated to $b$ . As a corollary we obtain uniqueness under the assumption that the curl of $b$ is a measure. This result can be extended to certain non-autonomous vector fields $b$ with...

Weak convergence of mutually independent $X ₙ^{B}$ and $X ₙ^{A}$ under weak convergence of $X ₙ \equiv X ₙ^{B} - X ₙ^{A}$

W. Szczotka (2006)

Applicationes Mathematicae

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For each n ≥ 1, let $v_{n, k}, k \geq 1$ and $u_{n, k}, k \geq 1$ be mutually independent sequences of nonnegative random variables and let each of them consist of mutually independent and identically distributed random variables with means v̅ₙ and u̅̅ₙ, respectively. Let $X ₙ^{B} (t) = (1 / c ₙ) \sum_{j = 1}^{[n t]} (v_{n, j} - v ̅ ₙ)$ , $X ₙ^{A} (t) = (1 / c ₙ) \sum_{j = 1}^{[n t]} (u_{n, j} - u ̅ ̅ ₙ)$ , t ≥ 0, and $X ₙ = X ₙ^{B} - X ₙ^{A}$ . The main result gives conditions under which the weak convergence $X ₙ \overset{}{\to} X$ , where X is a Lévy process, implies $X ₙ^{B} \overset{}{\to} X^{B}$ and $X ₙ^{A} \overset{}{\to} X^{A}$ , where $X^{B}$ and $X^{A}$ are mutually independent Lévy processes and $X = X^{B} - X^{A}$ .

Weak Type Inequality for the Square Function of a Nonnegative Submartingale

Adam Osękowski (2009)

Bulletin of the Polish Academy of Sciences. Mathematics

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Let f be a nonnegative submartingale and S(f) denote its square function. We show that for any λ > 0, $λ ℙ (S (f) \geq λ) \leq π / 2 ∥ f ∥ ₁$ , and the constant π/2 is the best possible. The inequality is strict provided ∥f∥₁ ≠ 0.

On Paszkiewicz-type criterion for a.e. continuity of processes in $L^{p}$ -spaces

Jakub Olejnik (2010)

Banach Center Publications

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In this paper we consider processes Xₜ with values in $L^{p}$ , p ≥ 1 on subsets T of a unit cube in ℝⁿ satisfying a natural condition of boundedness of increments, i.e. a process has bounded increments if for some non-decreasing f: ℝ₊ → ℝ₊ ||Xₜ-Xₛ||ₚ ≤ f(||t-s||), s,t ∈ T. We give a sufficient criterion for a.s. continuity of all processes with bounded increments on subsets of a given set T. This criterion turns out to be necessary for a wide class of functions f. We use a geometrical Paszkiewicz-type...

Relative weak derived functors

Panneerselvam Prabakaran (2020)

Commentationes Mathematicae Universitatis Carolinae

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Let $R$ be a ring, $n$ a fixed non-negative integer, $𝒲 ℐ$ the class of all left $R$ -modules with weak injective dimension at most $n$ , and $𝒲 ℱ$ the class of all right $R$ -modules with weak flat dimension at most $n$ . Using left (right) $𝒲 ℐ$ -resolutions and the left derived functors of Hom we study the weak injective dimensions of modules and rings. Also we prove that $- \otimes -$ is right balanced on $ℳ_{R} \times_{R} ℳ$ by $𝒲 ℱ \times 𝒲 ℐ$ , and investigate the global right $𝒲 ℐ$ -dimension of $_{R} ℳ$ by right derived functors of $\otimes$ .

On the strong Brillinger-mixing property of $α$ -determinantal point processes and some applications

Lothar Heinrich (2016)

Applications of Mathematics

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First, we derive a representation formula for all cumulant density functions in terms of the non-negative definite kernel function $C (x, y)$ defining an $α$ -determinantal point process (DPP). Assuming absolute integrability of the function $C_{0} (x) = C (o, x)$ , we show that a stationary $α$ -DPP with kernel function $C_{0} (x)$ is “strongly” Brillinger-mixing, implying, among others, that its tail- $σ$ -field is trivial. Second, we use this mixing property to prove rates of normal convergence for shot-noise processes and sketch...

On ultra-weak convergence in $L^{p}$

Donald E. Myers (1976)

Annales Polonici Mathematici

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Covariance structure of wide-sense Markov processes of order k ≥ 1

Arkadiusz Kasprzyk, Władysław Szczotka (2006)

Applicationes Mathematicae

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A notion of a wide-sense Markov process $X_{t}$ of order k ≥ 1, $X_{t} \sim W M (k)$ , is introduced as a direct generalization of Doob’s notion of wide-sense Markov process (of order k=1 in our terminology). A base for investigation of the covariance structure of $X_{t}$ is the k-dimensional process $x_{t} = (X_{t - k + 1}, . . ., X_{t})$ . The covariance structure of $X_{t} \sim W M (k)$ is considered in the general case and in the periodic case. In the general case it is shown that $X_{t} \sim W M (k)$ iff $x_{t}$ is a k-dimensional WM(1) process and iff the covariance function of $x_{t}$ has the triangular...

Sharp Weak-Type Inequality for the Haar System, Harmonic Functions and Martingales

Adam Osękowski (2014)

Bulletin of the Polish Academy of Sciences. Mathematics

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Let ${(h_{k})}_{k \geq 0}$ be the Haar system on [0,1]. We show that for any vectors $a_{k}$ from a separable Hilbert space and any $ε_{k} \in [- 1, 1]$ , k = 0,1,2,..., we have the sharp inequality $| | \sum_{k = 0}^{n} ε_{k} a_{k} h_{k} {| |}_{W ([0, 1])} \leq 2 | | \sum_{k = 0}^{n} a_{k} h_{k} {| |}_{L^{\infty} ([0, 1])}$ , n = 0,1,2,..., where W([0,1]) is the weak- $L^{\infty}$ space introduced by Bennett, DeVore and Sharpley. The above estimate is generalized to the sharp weak-type bound ${| | Y | |}_{W (Ω)} {\leq 2 | | X | |}_{L^{\infty} (Ω)}$ , where X and Y stand for -valued martingales such that Y is differentially subordinate to X. An application to harmonic functions on Euclidean domains is presented.

A continuous mapping theorem for the argmin-set functional with applications to convex stochastic processes

Dietmar Ferger (2021)

Kybernetika

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For lower-semicontinuous and convex stochastic processes $Z_{n}$ and nonnegative random variables $ϵ_{n}$ we investigate the pertaining random sets $A (Z_{n}, ϵ_{n})$ of all $ϵ_{n}$ -approximating minimizers of $Z_{n}$ . It is shown that, if the finite dimensional distributions of the $Z_{n}$ converge to some $Z$ and if the $ϵ_{n}$ converge in probability to some constant $c$ , then the $A (Z_{n}, ϵ_{n})$ converge in distribution to $A (Z, c)$ in the hyperspace of Vietoris. As a simple corollary we obtain an extension of several argmin-theorems in the literature. In particular,...

Spectral condition, hitting times and Nash inequality

Eva Löcherbach, Oleg Loukianov, Dasha Loukianova (2014)

Annales de l'I.H.P. Probabilités et statistiques

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Let $X$ be a $μ$ -symmetric Hunt process on a LCCB space $𝙴$ . For an open set $𝙶 \subseteq 𝙴$ , let $τ_{𝙶}$ be the exit time of $X$ from $𝙶$ and $A^{𝙶}$ be the generator of the process killed when it leaves $𝙶$ . Let $r : [0, \infty [\to [0, \infty [$ and $R (t) = \int_{0}^{t} r (s) d s$ . We give necessary and sufficient conditions for $𝔼_{μ} R (τ_{𝙶}) l t; \infty$ in terms of the behavior near the origin of the spectral measure of $- A^{𝙶}$ . When $r (t) = t^{l}$ , $l \geq 0$ , by means of this condition we derive the Nash inequality for the killed process. In the diffusion case this permits to show that the existence of moments of order $l + 1$ for $τ_{𝙶}$ ...