Zobrazeno 1 - 10
of 40
pro vyhledávání: '"Siorpaes, Pietro"'
Autor:
Massa, Marco, Siorpaes, Pietro
We introduce an algorithm which, given probabilities $\mu \leq_{\text{cx}} \nu$ in convex order and defined on a separable Banach space $B$, constructs finitely-supported approximations $\mu_n \to \mu, \nu_n\to \nu$ which are in convex order $\mu_n \
Externí odkaz:
http://arxiv.org/abs/2206.10514
Autor:
Milazzo, Alessandro, Siorpaes, Pietro
We consider a little-known abstract decomposition result, due to Dellacherie, and show that it yields many decompositions of measures, several of which are new. Then, we investigate how the outputs of the decomposition depend on its inputs, in partic
Externí odkaz:
http://arxiv.org/abs/2204.07487
Publikováno v:
Electronic Journal of Probability 2021, Vol. 26, paper no. 77, 1-29
Three concepts of local times for deterministic c{\`a}dl{\`a}g paths are developed and the corresponding pathwise Tanaka--Meyer formulae are provided. For semimartingales, it is shown that their sample paths a.s. satisfy all three pathwise definition
Externí odkaz:
http://arxiv.org/abs/2002.03227
Autor:
Mostovyi, Oleksii, Siorpaes, Pietro
Publikováno v:
In Journal of Mathematical Analysis and Applications 1 December 2023 528(1)
Autor:
Mostovyi, Oleksii, Siorpaes, Pietro
Given positive measures $\nu,\mu$ on an arbitrary measurable space $(\Omega, \mathcal F)$, we construct a sequence of finite partitions $(\pi_n)_n$ of $(\Omega, \mathcal F)$ s.t. $$ \sum_{A\in \pi_n: \mu(A)>0} 1_{A} \frac{\nu(A)}{\mu(A)} \longrightar
Externí odkaz:
http://arxiv.org/abs/1909.03505
Autor:
Obłój, Jan, Siorpaes, Pietro
We study the structure of martingale transports in finite dimensions. We consider the family $\mathcal{M}(\mu,\nu) $ of martingale measures on $\mathbb{R}^N \times \mathbb{R}^N$ with given marginals $\mu,\nu$, and construct a family of relatively ope
Externí odkaz:
http://arxiv.org/abs/1702.08433
We study a notion of local time for a continuous path, defined as a limit of suitable discrete quantities along a general sequence of partitions of the time interval. Our approach subsumes other existing definitions and agrees with the usual (stochas
Externí odkaz:
http://arxiv.org/abs/1508.05984
Autor:
Siorpaes, Pietro
We present several applications of the pathwise Burkholder-Davis-Gundy (BDG) inequalities. Most importantly we prove them for cadlag semimartingales and a general function $\Phi$, and use this to derive BDG inequalities (non-pathwise ones) for the Be
Externí odkaz:
http://arxiv.org/abs/1507.01302
Autor:
Siorpaes, Pietro
We show that any cadlag predictable process of finite variation is an a.s. limit of elementary predictable processes; it follows that predictable stopping times can be approximated `from below' by predictable stopping times which take finitely many v
Externí odkaz:
http://arxiv.org/abs/1306.6238
Autor:
Beiglböck, Mathias, Siorpaes, Pietro
Publikováno v:
Bernoulli 2015, Vol. 21, No. 1, 360-373
We present a new proof of the Burkholder-Davis-Gundy inequalities for $1\leq p<\infty$. The novelty of our method is that these martingale inequalities are obtained as consequences of elementary deterministic counterparts. The latter have a natural i
Externí odkaz:
http://arxiv.org/abs/1305.6188