Huilin Zhang
This paper is concerned with the connection between G-Brownian Motion and analytic functions. We introduce the complex version of sublinear expectation, and then do the stochastic analysis in this framework. Furthermore, the conformal G-Brownian Motion is introduced together with a representation, and the corresponding conformal invariance is shown.
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We provides some useful estimates for solving martingale representation problem under G-expectations. We also study the corresponding conditions for the existence and uniqueness.
We give a theory of sublinear expectations and martingales in discrete time. Without assuming the existence of a dominating probability measure, we derive the extensions of classical results on uniform integrability, optional stopping of martingales, and martingale convergence. We also give a theory of BSDEs in the context of sublinear expectations and a finite-state space, including general existence and comparison results.
This paper considers the nonlinear theory of G-martingales as introduced by Peng. A martingale representation theorem for this theory is proved by using the techniques and the results established in an accompanying paper for the second order stochastic target problems and the second order backward stochastic differential equations. In particular, this representation provides a hedging strategy in a market with an uncertain volatility.
We investigate a possible definition of expectation and conditional expectation for random variables with values in a local field such as the $p$-adic numbers. We define the expectation by analogy with the observation that for real-valued random variables in $L^2$ the expected value is the orthogonal projection onto the constants. Previous work has shown that the local field version of $L^\infty$ is the appropriate counterpart of $L^2$, and so the expected value of a local field-valued random variable is defined to be its ``projection'' in $L^\infty$ onto the constants. Unlike the real case, t…
The central limit theorem of martingales is the fundamental tool for studying the convergence of stochastic processes, especially stochastic integrals and differential equations. In this paper, general central limit theorems and functional central limit theorems are obtained for martingale like random variables under the sub-linear expectation. As applications, the Lindeberg central limit theorem and functional central limit theorem are obtained for independent but not necessarily identically distributed random variables, and a new proof of the Lévy characterization of a G-Brownian motion with…
The $L^p$ maximal inequalities for martingales are one of the classical results in the theory of stochastic processes. Here we establish the sharp moderate maximal inequalities for one-dimensional diffusion processes, which include the $L^p$ maximal inequalities as special cases. Moreover, we apply our theory to many specific examples, including the Ornstein-Uhlenbeck (OU) process, Brownian motion with drift, reflected Brownian motion with drift, Cox-Ingersoll-Ross process, radial OU process, and Bessel process. The results are further applied to establish the moderate maximal inequalities for…
Introduction to Martingales
本文介绍鞅，涵盖测度论、勒贝格积分与条件期望，证明关键定理，并展示其在金融中的应用。
We formulate and solve the martingale problem in a nonlinear expectation space. Unlike the classical work of Stroock and Varadhan (1969) where the linear operator in the associated PDE is naturally defined from the corresponding diffusion process, the main difficulty in the nonlinear setting is to identify an appropriate class of nonlinear operators for the associated fully nonlinear PDEs. Based on the analysis of the martingale problem, we introduce the notion of weak solution for stochastic differential equations under nonlinear expectations and obtain an existence theorem under the Hölder c…
Given a real valued and time-inhomogeneous martingale diffusion X, we investigate the properties of functions defined by the conditional expectation f(t,X_t)=E[g(X_T)|F_t]. We show that whenever g is monotonic or Lipschitz continuous then f(t,x) will also be monotonic or Lipschitz continuous in x. If g is convex then f(t,x) will be convex in x and decreasing in t. We also define the marginal support of a process and show that it almost surely contains the paths of the process. Although f need not be jointly continuous, we show that it will be continuous on the marginal support of X. We prove t…
In this article, a sublinear expectation induced by $G$-expectation is introduced, which is called $G$-evaluation for convenience. As an application, we prove that any $ξ\in L^β_G(Ω_T)$ with some $β>1$ the decomposition theorem holds and any $β>1$ integrable symmetric $G$-martingale can be represented as an It$\hat{o}'s$ integral w.r.t $G$-Brownian motion. As a byproduct, we prove a regular property for $G$-martingale: Any $G$-martingale $\{M_t\}$ has a quasi-continuous version
The central limit theorem of martingales is the fundamental tool for studying the convergence of stochastic processes. The central limit theorem and functional central limit theorem are obtained for martingale like random variables under the sub-linear expectation by Zhang (2019). In this paper, we consider the multi-dimensional martingale like random vectors and establish a functional central limit theorem. As applications, the Lindeberg central limit theorem for independent random vectors is established, and the sufficient and necessary conditions of the central limit theorem for independent…
In this paper, we establish Girsanov's formula for $G$-Brownian motion. Peng (2007, 2008) constructed $G$-Brownian motion on the space of continuous paths under a sublinear expectation called $G$-expectation; as obtained by Denis et al. (2011), $G$-expectation is represented as the supremum of linear expectations with respect to martingale measures of a certain class. Our argument is based on this representation with an enlargement of the associated class of martingale measures, and on Girsanov's formula for martingales in the classical stochastic analysis. The methodology differs from that of…
The motivation for this paper comes from the following question on comparison of norms of conformal martingales $X$, $Y$ in $\R^d$, $d\geq 2$. Suppose that $Y$ is differentially subordinate to $X$. For $0<p<\infty$, what is the optimal value of the constant $C_{p,d}$ in the inequality $$ Y_p\leq C_{p,d}X_p ?$$ We answer this question by considering a more general related problem for nonnegative submartingales. This enables us to study extension of the above inequality to the case when $d>1$ is not an integer, which has further interesting applications to stopped Bessel processes and to the beh…
The objective of this paper is to derive a representation of symmetric G-martingales as stochastic integrals with respect to the G-Brownian motion. For this end, we first study some extensions of stochastic calculus with respect to G-martingales under the sublinear expectation spaces.
Characterizations of $A_\infty$ Weights in Martingale Spaces
本文通过条件期望研究鞅空间中 $A_\infty$ 权的刻画，在正则性假设下获得等价刻画，并利用模条件期望的权得到不同刻画间的单向蕴含关系。
In this paper, we study representative investor's G-utility maximization problem by G-martingale approach in the framework of G-expectation space proposed by Peng \cite{Pe19}. Financial market has only a bond and a stock with uncertainty characterized by G-Brownian motions. The routine idea of \cite{Wxz} fails because that the quadratic variation process of a G-Brownian motion is also a stochastic process. To overcome this difficulty, an extended nonlinear expectation should be pulled in. A sufficient condition of G-utility maximization is presented firstly. In the case of log-utility, an expl…
Our purpose is to investigate properties for processes with stationary and independent increments under $G$-expectation. As applications, we prove the martingale characterization to $G$-Brownian motion and present a decomposition for generalized $G$-Brownian motion.
We present an implementation in conformal field theory (CFT) of local finite conformal transformations fixing a point. We give explicit constructions when the fixed point is either the origin or the point at infinity. Both cases involve the exponentiation of a Borel subalgebra of the Virasoro algebra. We use this to build coherent state representations and to derive a close analog of Wick's theorem for the Virasoro algebra. This allows to compute the conformal partition function in non trivial geometries obtained by removal of hulls from the upper half plane. This is then applied to stochastic…
Scharmm-Loewner evolution (SLE) and conformal field theory (CFT) are popular and widely used instruments to study critical behavior of two-dimensional models, but they use different objects. While SLE has natural connection with lattice models and is suitable for strict proofs, it lacks computational and predictive power of conformal field theory. To provide a way for the concurrent use of SLE and CFT we consider CFT correlation functions which are martingales with respect to SLE. We establish connection between parameters of Schramm-Loewner evolution on coset space and algebraic data of coset…
We implement a version of conformal field theory in a doubly connected domain to connect it to the theory of annulus SLE of various types, including the standard annulus SLE, the reversible annulus SLE, and the annulus SLE with several force points. This implementation considers the statistical fields generated under the OPE multiplication by the Gaussian free field and its central/background charge modifications with a weighted combination of Dirichlet and excursion-reflected boundary conditions. We derive the Eguchi-Ooguri version of Ward's equations and Belavin-Polyakov-Zamolodchikov equati…
In this paper, we continue to explore the consistence and usability of Probability Bracket Notation (PBN) proposed in our previous articles. After a brief review of PBN with dimensional analysis, we investigate probability spaces in terms of PBN by introducing probability spaces associated with random variables (R.V) or associated with stochastic processes (S.P). Next, we express several important properties of conditional expectation (CE) and some their proofs in PBN. Then, we introduce martingales based on sequence of R.V or based on filtration in PBN. In the process, we see PBN can be used …
On the integrability of the supremum of stochastic volatility models and other martingales
本文提出一种方法，用于界定点价过程 supremum 的期望，应用于粗糙 Bergomi 模型，避免讨论高阶矩的有限性。同时，作者探讨了非可积 supremum 的鞅文献，并给出了新的构造方法，得到均匀可积的鞅。
We consider filtration consistent nonlinear expectations in probability spaces satisfying only the usual conditions and separability. Under a domination assumption, we demonstrate that these nonlinear expectations can be expressed as the solutions to Backward Stochastic Differential Equations with Lipschitz continuous drivers, where both the martingale and the driver terms are permitted to jump, and the martingale representation is infinite dimensional. To establish this result, we show that this domination condition is sufficient to guarantee that the comparison theorem for BSDEs will hold, a…
In this article, we study predictable projections of stochastic integrals with respect to the conformal Brownian motion, extending the connection between powers of the conformal Brownian motion and the corresponding Hermite polynomials. As a consequence of this result, we then investigate the relation between analytic functions and $L^p$-convergent series of Hermite polynomials. Finally, our results are applied to Widder's representation for a class of Brownian martingales, retrieving a characterization for the moments of Widder's measure.
It is known that the Azema-Yor solution to the Skorokhod embedding problem maximizes the law of the running maximum of an uniformly integrable martingale with given terminal value distribution. Recently this optimality property has been generalized to expectations of certain bivariate cost functions depending on the terminal value and the running maximum. In this paper we give an extension of this result to another class of functions. In particular, we study a class of cost functions with the property that the corresponding optimal embeddings are not Azema-Yor. The suggested approach is quite …
We present an explicit relation between representations of the Virasoro algebra and polynomial martingales in stochastic Loewner evolutions (SLE). We show that the Virasoro algebra is the spectrum generating algebra of SLE martingales. This is based on a new representation of the Virasoro algebra, inspired by the Borel-Weil construction, acting on functions depending on coordinates parametrizing conformal maps.
We find a simple expression for the probability density of $\int \exp (B_s - s/2) ds$ in terms of its distribution function and the distribution function for the time integral of $\exp (B_s + s/2)$. The relation is obtained with a change of measure argument where expectations over events determined by the time integral are replaced by expectations over the entire probability space. We develop precise information concerning the lower tail probabilities for these random variables as well as for time integrals of geometric Brownian motion with arbitrary constant drift. In particular, $E[ \exp\big…
This paper gives a definition of g-harmonic functions and shows the relation between the g-harmonic functions and g-martingales. It's direct to construct such relation under smooth case, but for continuous case we need the theory of viscosity solution. The results show that under the nonlinear expectation mechanism, we also can get the similar relation between harmonic functions and martingales. Finally, we will give a result about the strict converse problem of mean value property of g-harmonic functions.
The hypothesis of randomness is fundamental in statistical machine learning and in many areas of nonparametric statistics; it says that the observations are assumed to be independent and coming from the same unknown probability distribution. This hypothesis is close, in certain respects, to the hypothesis of exchangeability, which postulates that the distribution of the observations is invariant with respect to their permutations. This paper reviews known methods of testing the two hypotheses concentrating on the online mode of testing, when the observations arrive sequentially. All known onli…
We implement a version of radial conformal field theory in a family of statistical fields generated by central charge modification of the Gaussian free field and show that the correlation functions of such fields under the insertion of one-leg operator form a collection of radial SLE martingale-observables. We apply the renormalization procedure to the multi-point vertex fields with the neutrality condition to expand this collection and study its basic properties.
Given a process with independent increments $X$ (not necessarily a martingale) and a large class of square integrable r.v. $H=f(X_T)$, $f$ being the Fourier transform of a finite measure $μ$, we provide explicit Kunita-Watanabe and Föllmer-Schweizer decompositions. The representation is expressed by means of two significant maps: the expectation and derivative operators related to the characteristics of $X$. We also provide an explicit expression for the variance optimal error when hedging the claim $H$ with underlying process $X$. Those questions are motivated by finding the solution of the c…
A Formalization of Martingales in Isabelle/HOL
本文在Isabelle/HOL中形式化了任意巴拿赫空间上的鞅理论，将条件期望从实数推广到巴拿赫空间，定义了随机过程及鞅类，并证明了平均定理以确立密度的唯一性。
Let $(\mathcal{F}_n)_{n\ge 0}$ be the standard dyadic filtration on $[0,1]$. Let $\mathbb{E}_{\mathcal{F}_n}$ be the conditional expectation from $ L_1=L_1[0,1]$ onto $\mathcal{F} _n$, $n\ge 0$, and let $\mathbb{E}_{\mathcal{F} _{-1}} =0$. We present the sharp estimate for the distribution function of the martingale transform $T$ defined by \begin{align*} Tf=\sum_{m=0}^\infty \left( \mathbb{E}_{\mathcal{F}_{2m}} f-\mathbb{E}_{\mathcal{F}_{2m-1}}f \right), ~f\in L_1, \end{align*} in terms of the classical Calderón operator. As an application, for a given symmetric function space $E$ on $[0,1]$,…
In this paper we study dynamic backward problems, with the computation of conditional expectations as a main objective, in a framework where the (forward) state process satisfies a Volterra type SDE, with fractional Brownian motion as a typical example. Such processes are neither Markov processes nor semimartingales, and most notably, they feature a certain time inconsistency which makes any direct application of Markovian ideas, such as flow properties, impossible without passing to a path-dependent framework. Our main result is a functional Itô formula, extending the seminal work of Dupire \…
{Consider a càdlàg local martingale $M$ with square brackets $[M]$. In this paper, we provide upper and lower bounds for expectations of the type ${\mathbb E} [M]^{q/2}_τ$, for any stopping time $τ$ and $q\ge 2$, in terms of predictable processes. This result can be thought of as a Burkholder-Davis-Gundy type inequality in the sense that it can be used to relate the expectation of the running maximum $|M^*|^q$ to the expectation of the dual previsible projections of the relevant powers of the associated jumps of $M$. The case for a class of moderate functions is also discussed.
We develop a version of dipolar conformal field theory in a simply connected domain with the Dirichlet-Neumann boundary condition and central charge one. We prove that all correlation functions of the fields in the OPE family of Gaussian free field with a certain boundary value are martingale-observables for dipolar SLE(4).
Nonlinear Continuous Semimartingales
本文研究了具有不确定局部特征的连续半鞅的非线性期望，通过动态规划原理将其值函数与非线性路径依赖偏微分方程的粘性解联系起来，并证明其求解非线性鞅问题。
We develop a version of dipolar conformal field theory based on the central charge modification of the Gaussian free field with the Dirichlet boundary condition and prove that correlators of certain family of fields in this theory are martingale-observables for dipolar SLE. We prove the restriction property of dipolar SLE(8/3) and Friedrich-Werner's formula in the dipolar case.
In this paper, we prove the Girsanov formula for $G$-Brownian motion without the non-degenerate condition. The proof is based on the perturbation method in the nonlinear setting by constructing a product space of the $G$-expectation space and a linear space that contains a standard Brownian motion. The estimates for exponential martingale of $G$-Brownian motion are important for our arguments.
We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist of singular measures corresponding to a general form of volatility uncertainty. We derive a càdlàg nonlinear martingale which is also the value process of a superhedging problem. The superhedging strategy is obtained from a representation similar to the optional decomposition. Furthermore, we prove an optional sampling theorem for the nonlinear martingale and characterize it as the solution of a second order backward SDE. The uniqueness of dynamic extensions of static sublinear…
We consider the generators $L_k$ of Heckman-Opdam diffusion processes in the compact and non-compact case in $N$ dimensions for root systems of type $A$ and $B$, with a multiplicity function of the form $k=κk_0$ with some fixed value $k_0$ and a varying constant $κ\in\,[0,\infty[$. Using elementary symmetric functions, we present polynomials which are simultaneous eigenfunctions of the $L_k$ for all $κ\in\,]0,\infty[$. This leads to martingales associated with the Heckman-Opdam diffusions $ (X_{t,1},\ldots,X_{t,N})_{t\ge0}$. As our results extend to the freezing case $κ=\infty$ with a determin…
Adaptive inference with random ellipsoids through Conformal Conditional Linear Expectation
本文在多变量回归框架下提出两种基于残差与输入点协方差分析的新conformity scores，构建显式椭球预测集，证明其渐近性质及体积缩减优势，并在数值研究中验证有效性。
We consider a coupling of the Gaussian free field with slit holomorphic stochastic flows, called ($δ,σ$)-SLE, which contains known SLE processes (chordal, radial, and dipolar) as particular cases. In physical terms, we study a free boundary conformal field theory with one scalar bosonic field, where Green's function is assumed to have some general regular harmonic part. We establish which of these models allow coupling with ($δ,σ$)-SLE, or equivalently, when the correlation functions induce local ($δ,σ$)-SLE martingales (martingale observables).
From conformal field theory on the Riemann sphere, we implement its boundary version in a simply-connected domain using the Schottky double construction. We consider the statistical fields generated by background charge modification of the Gaussian free field with Dirichlet boundary condition under the OPE multiplications. We prove that the correlation functions of such fields with symmetric background charges form a collection of martingale-observables for (forward) chordal/radial SLE with force points and spins. We also present the connection between conformal field theory with Neumann bound…
Let $ψ:\mathbb{R}^{+}\rightarrow\mathbb{R}^{+}$ be a smooth and continuous real function and $ψ\in\mathrm{L}^{2}(\mathbb{R}^{+})$. Let ${B}(t)$ be a standard Brownian motion defined with respect to a probability space $(Ω,\mathscr{F},{\mathsf{P}})$ and where $d{B}(t)=ξ(t)dt$ and $t\in\mathbb{R}^{+}$. The process $ξ(t)$ is a Gaussian white noise with expectation $\mathbf{\mathsf{E}}~ξ(t)=0$ and with covariance ${\mathsf{E}}~ξ(t)ξ(s)=δ(t-s)$. The Dolean-Dades stochastic exponential ${Z}(t)$ is the solution to the linear stochastic differential equation describing a geometric Brownian motion such…
Stochastic Loewner evolutions (SLE) are random growth processes of sets, called hulls, embedded in the two dimensional upper half plane. We elaborate and develop a relation between SLE evolutions and conformal field theories (CFT) which is based on a group theoretical formulation of SLE processes and on the identification of the proper hull boundary states. This allows us to define an infinite set of SLE zero modes, or martingales, whose existence is a consequence of the existence of a null vector in the appropriate Virasoro modules. This identification leads, for instance, to linear systems f…
This paper present an overview of some of the applications of the martingale inequalities of D.L. Burkholder to $L^p$-bounds for singular integral operators, concentrating on the Hilbert transform, first and second order Riesz transforms, the Beurling-Ahlfors operator and other multipliers obtained by projections (conditional expectations) of transformations of stochastic integrals. While martingale inequalities can be used to prove the boundedness of a wider class of Calderón-Zygmund singular integrals, the aim of this paper is to show results which give optimal or near optimal bounds in the …
Integral representations for expectations of functions of a stable Lévy process $X$ and its supremum $\bar X$ are derived. As examples, cumulative probability distribution functions (cpdf) of $X_T, \barX_T$, the joint cpdf of $X_T$ and $\barX_T$, and the expectation of $(\be X_T-\barX_T)_+$, $\be>1$, are considered, and efficient numerical procedures for cpdfs are developed. The most efficient numerical methods use the conformal acceleration technique and simplified trapezoid rule.
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