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Musielak-Orlicz spaces and prediction problems

Kazimierz Urbanik (2004)

Banach Center Publications

By a harmonizable sequence of random variables we mean the sequence of Fourier coefficients of a random measure M: X ( M ) = 0 1 e 2 π n i s M ( d s ) (n = 0,±1,...) The paper deals with prediction problems for sequences Xₙ(M) for isotropic and atomless random measures M. The crucial result asserts that the space of all complex-valued M-integrable functions on the unit interval is a Musielak-Orlicz space. Hence it follows that the problem for Xₙ(M) (n = 0,±1,...) to be deterministic is in fact an extremal problem of Szegö’s type...

Nash Equilibria in a class of Markov stopping games

Rolando Cavazos-Cadena, Daniel Hernández-Hernández (2012)

Kybernetika

This work concerns a class of discrete-time, zero-sum games with two players and Markov transitions on a denumerable space. At each decision time player II can stop the system paying a terminal reward to player I and, if the system is no halted, player I selects an action to drive the system and receives a running reward from player II. Measuring the performance of a pair of decision strategies by the total expected discounted reward, under standard continuity-compactness conditions it is shown...

Necessary and sufficient conditions for weak convergence of random sums of independent random variables

Andrzej Krajka, Zdzisław Rychlik (1993)

Commentationes Mathematicae Universitatis Carolinae

Let { X n , n 1 } be a sequence of independent random variables such that E X n = a n , E ( X n - a n ) 2 = σ n 2 , n 1 . Let { N n , n 1 } be a sequence od positive integer-valued random variables. Let us put S N n = k = 1 N n X k , L n = k = 1 n a k , s n 2 = k = 1 n σ k 2 , n 1 . In this paper we present necessary and sufficient conditions for weak convergence of the sequence { ( S N n - L n ) / s n , n 1 } , as n . The obtained theorems extend the main result of M. Finkelstein and H.G. Tucker (1989).

Neighbourhoods of independence and associated geometry in manifolds of bivariate Gaussian and Freund distributions

Khadiga Arwini, Christopher Dodson (2007)

Open Mathematics

We provide explicit information geometric tubular neighbourhoods containing all bivariate distributions sufficiently close to the cases of independent Poisson or Gaussian processes. This is achieved via affine immersions of the 4-manifold of Freund bivariate distributions and of the 5-manifold of bivariate Gaussians. We provide also the α-geometry for both manifolds. The Central Limit Theorem makes our neighbourhoods of independence limiting cases for a wide range of bivariate distributions; the...

Noncommutative fractional integrals

Narcisse Randrianantoanina, Lian Wu (2015)

Studia Mathematica

Let ℳ be a hyperfinite finite von Nemann algebra and ( k ) k 1 be an increasing filtration of finite-dimensional von Neumann subalgebras of ℳ. We investigate abstract fractional integrals associated to the filtration ( k ) k 1 . For a finite noncommutative martingale x = ( x k ) 1 k n L ( ) adapted to ( k ) k 1 and 0 < α < 1, the fractional integral of x of order α is defined by setting I α x = k = 1 n ζ k α d x k for an appropriate sequence ( ζ k ) k 1 of scalars. For the case of a noncommutative dyadic martingale in L₁() where is the type II₁ hyperfinite factor equipped...

Noncommutative independence in the infinite braid and symmetric group

Rolf Gohm, Claus Köstler (2011)

Banach Center Publications

This is an introductory paper about our recent merge of a noncommutative de Finetti type result with representations of the infinite braid and symmetric group which allows us to derive factorization properties from symmetries. We explain some of the main ideas of this approach and work out a constructive procedure to use in applications. Finally we illustrate the method by applying it to the theory of group characters.

Noncommutative weak Orlicz spaces and martingale inequalities

Turdebek N. Bekjan, Zeqian Chen, Peide Liu, Yong Jiao (2011)

Studia Mathematica

This paper is devoted to the study of noncommutative weak Orlicz spaces and martingale inequalities. The Marcinkiewicz interpolation theorem is extended to include noncommutative weak Orlicz spaces as interpolation classes. As an application, we prove the weak type Φ-moment Burkholder-Gundy inequality for noncommutative martingales through establishing a weak type Φ-moment noncommutative Khinchin inequality for Rademacher random variables.

Nonlinear filtering for observations on a random vector field along a random path. Application to atmospheric turbulent velocities

Christophe Baehr (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

To filter perturbed local measurements on a random medium, a dynamic model jointly with an observation transfer equation are needed. Some media given by PDE could have a local probabilistic representation by a Lagrangian stochastic process with mean-field interactions. In this case, we define the acquisition process of locally homogeneous medium along a random path by a Lagrangian Markov process conditioned to be in a domain following the path and conditioned to the observations. The nonlinear...

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