Consider the sequence of positive numbers defined by C₁ = 1 and , n = 1,2,.... Let M be a real-valued martingale and let S(M) denote its square function. We establish the bound |Mₙ|≤ Cₙ Sₙ(M), n=1,2,..., and show that for each n, the constant Cₙ is the best possible.
We study higher-order moment measures of heavy-tailed renewal models, including a renewal point process with heavy-tailed inter-renewal distribution and its continuous analog, the occupation measure of a heavy-tailed Lévy subordinator. Our results reveal that the asymptotic structure of such moment measures are given by explicit power-law density functions. The same power-law densities appear naturally as cumulant measures of certain Poisson and Gaussian stochastic integrals. This correspondence...
The paper deals with nonnegative stochastic processes X(t,ω)(t ≤ 0) not identically zero with stationary and independent increments right-continuous sample functions and fulfilling the initial condition X(0,ω)=0. The main aim is to study the moments of the random functionals for a wide class of functions f. In particular a characterization of deterministic processes in terms of the exponential moments of these functionals is established.
We obtain sharp bounds for the monotonic rearrangement operator from "dyadic-type" classes to "continuous" ones; in particular, for the BMO space and Muckenhoupt classes. The idea is to connect the problem with a simple geometric construction named α-extension.
We show here that a wide class of integral inequalities concerning functions on can be obtained by purely combinatorial methods. More precisely, we obtain modulus of continuity or other high order norm estimates for functions satisfying conditions of the type where and are monotone increasing functions of .Several applications are also derived. In particular these methods are shown to yield a new condition for path continuity of general stochastic processes
Mathematics Subject Classification: 65C05, 60G50, 39A10, 92C37In this paper the multi-dimensional Monte-Carlo random walk simulation models governed by distributed fractional order differential equations (DODEs) and multi-term fractional order differential equations are constructed. The construction is based on the discretization leading to a generalized difference scheme (containing a finite number of terms in the time step and infinite number of terms in the space step) of the Cauchy problem for...
Nous introduisons une notion de moyenne harmonique pour une marche aléatoire sur une relation d’équivalence mesurée graphée, qui généralise la notion classique de moyenne invariante. Pour les graphages à géométrie bornée, une telle moyenne existe toujours. Nous prouvons qu’une moyenne harmonique devient invariante lorsque la marche aléatoire sur presque toute orbite jouit de bonnes propriétés asymptotiques telles que la propriété de Liouville ou la récurrence.
In this paper, we give sufficient conditions to establish central limit theorems and moderate deviation principle for a class of support estimates of empirical and Poisson point processes. The considered estimates are obtained by smoothing some bias corrected extreme values of the point process. We show how the smoothing permits to obtain Gaussian asymptotic limits and therefore pointwise confidence intervals. Some unidimensional and multidimensional examples are provided.