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Representation of Itô integrals by Lebesgue/Bochner integrals

Qi Lü, Jiongmin Yong, Xu Zhang (2012)

Journal of the European Mathematical Society

In [Yong 2004], it was proved that as long as the integrand has certain properties, the corresponding Itô integral can be written as a (parameterized) Lebesgue integral (or a Bochner integral). In this paper, we show that such a question can be answered in a more positive and refined way. To do this, we need to characterize the dual of the Banach space of some vector-valued stochastic processes having different integrability with respect to the time variable and the probability measure. The later...

Semigroup actions on tori and stationary measures on projective spaces

Yves Guivarc'h, Roman Urban (2005)

Studia Mathematica

Let Γ be a subsemigroup of G = GL(d,ℝ), d > 1. We assume that the action of Γ on d is strongly irreducible and that Γ contains a proximal and quasi-expanding element. We describe contraction properties of the dynamics of Γ on d at infinity. This amounts to the consideration of the action of Γ on some compact homogeneous spaces of G, which are extensions of the projective space d - 1 . In the case where Γ is a subsemigroup of GL(d,ℝ) ∩ M(d,ℤ) and Γ has the above properties, we deduce that the Γ-orbits...

Sur les espaces de Fréchet ne contenant pas c 0

X. Fernique (1992)

Studia Mathematica

Soit E un espace de Fréchet séparable ne contenant pas c 0 ; soit de plus ( X n ) une suite symétrique de vecteurs aléatoires à valeurs dans E. Alors si la série de Fourier aléatoire X n e x p ( i λ n , t ) , t R d , a p.s. ses sommes partielles localement uniformément bornées dans E, nécessairement elle converge p.s. uniformément sur tout compact de R d vers une fonction aléatoire à valeurs dans E et à trajectoires continues.

Tail and moment estimates for sums of independent random vectors with logarithmically concave tails

Rafał Latała (1996)

Studia Mathematica

Let X i be a sequence of independent symmetric real random variables with logarithmically concave tails. We consider a variable X = v i X i , where v i are vectors of some Banach space. We derive approximate formulas for the tail and moments of ∥X∥. The estimates are exact up to some universal constant and they extend results of S. J. Dilworth and S. J. Montgomery-Smith [1] for the Rademacher sequence and E. D. Gluskin and S. Kwapień [2] for real coefficients.

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