Results 1 to 10 of about 3,551 (159)
A composite generalization of Ville's martingale theorem [PDF]
CoRR, 2022 We provide a composite version of Ville's theorem that an event has zero measure if and only if there exists a nonnegative martingale which explodes to infinity when that event occurs. This is a classic result connecting measure-theoretic probability to the sequence-by-sequence game-theoretic probability, recently developed by Shafer and Vovk.
Johannes Ruf +3 more
openalex +3 more sources
A generalization of Cramér large deviations for martingales [PDF]
Comptes Rendus. Mathématique, 2014 In this note, we give a generalization of Cramér's large deviations for martingales, which can be regarded as a supplement of Fan et al. (2013) [3]. Our method is based on the change of probability measure developed by Grama and Haeusler (2000) [6].
Xiequan Fan, Ion Grama, Quansheng Liu
openalex +5 more sources
On a generalization of martingales due to Blake [PDF]
Pacific Journal of Mathematics, 1973 R. Subramanian
openalex +4 more sources
On a generalization of the martingale maximal theorem [PDF]
Banach Center Publications, 1979 Ferenc Schipp
openalex +2 more sources
Generalization of Itô's formula for smooth nondegenerate martingales
Stochastic Processes and their Applications, 2001 Let \(W\) be a \(d\)-dimensional Wiener process, \(X=(X_ {t}) _ {0\leq t\leq T}\) a \(d\)-dimensional continuous local martingale adapted to \(W\) and satisfying certain nondegeneracy hypotheses. It is proven that if \(f\in L^ {p}_ {\text{loc}}(\mathbb R^ {d})\) for some \(p>d\), then the quadratic covariation of the processes \(f(X)\) and \(X^ {i}\), \
S. Moret, David Nualart
openalex +3 more sources
Martingales and some generalizations arising from the supersymmetric hyperbolic sigma model [PDF]
Alea, 2019 Margherita Disertori
exaly +2 more sources
A generalization of martingales and two consequent convergence theorems [PDF]
Pacific Journal of Mathematics, 1970 Louis H. Blake
openalex +3 more sources
A GENERALIZATION OF CONVEXITY, AND MARTINGALES IN LINEAR SPACES [PDF]
Proceedings of the National Academy of Sciences, 1965 E. J. McShane
openalex +4 more sources
Generalized kolmogorov inequalities for martingales [PDF]
Zeitschrift f�r Wahrscheinlichkeitstheorie und Verwandte Gebiete, 1976 The classical cebysev inequality leads to an inequality for martingales which is often called the Kolmogorov inequality. It is shown here that many generalized cebysev inequalities for random variables lead in a similar way to martingale inequalities, and that the corresponding martingale inequality is sharp when the cebysev inequality is.
Gilat, D., Sudderth, W. D.
openaire +2 more sources
Exponential inequalities for martingales with applications [PDF]
, 2015 The paper is devoted to establishing some general exponential inequalities for supermartingales. The inequalities improve or generalize many exponential inequalities of Bennett, Freedman, de la Pe\~{n}a, Pinelis and van de Geer.
Fan, Xiequan, Grama, Ion, Liu, Quansheng
core +4 more sources