We present a new approach to Davie’s theorem on the uniqueness of solutions to the equation

for almost all Brownian paths. A generalization of this result and a discussion of some closely related problems are given.

In this paper a non-convex vector optimization problem among infinite-dimensional spaces is presented. In particular, a generalized Lagrange multiplier rule is formulated as a necessary and sufficient optimality condition for weakly minimal solutions of a constrained vector optimization problem, without requiring that the ordering cone that defines the inequality constraints has non-empty interior. This paper extends the result of Donato (J. Funct. Analysis261 (2011), 2083–2093) to the general setting of vector optimization by introducing a constraint qualification assumption that involves the Fréchet differentiability of the maps and the tangent cone to the image set. Moreover, the constraint qualification is a necessary and sufficient condition for the Lagrange multiplier rule to hold.

Dyadic shifts $D\oplus T$ of point distributions $D$ in the $d$-dimensional unit cube $U^{d}$ are considered as a form of randomization. Explicit formulas for the $L_{q}$-discrepancies of such randomized distributions are given in the paper in terms of Rademacher functions. Relying on the statistical independence of Rademacher functions, Khinchin’s inequalities, and other related results, we obtain very sharp upper and lower bounds for the mean $L_{q}$-discrepancies, $0<q\leqslant \infty$. The upper bounds imply directly a generalization of the well-known Chen theorem on mean discrepancies with respect to dyadic shifts (Theorem 2.1). From the lower bounds, it follows that for an arbitrary $N$-point distribution $D_{N}$ and any exponent $0<q\leqslant 1$, there exist dyadic shifts $D_{N}\oplus T$ such that the $L_{q}$-discrepancy ${\mathcal{L}}_{q}[D_{N}\oplus T]>c_{d,q}(\log N)^{(1/2)(d-1)}$ (Theorem 2.2). The lower bounds for the $L_{\infty }$-discrepancy are also considered in the paper. It is shown that for an arbitrary $N$-point distribution $D_{N}$, there exist dyadic shifts $D_{N}\oplus T$ such that ${\mathcal{L}}_{\infty }[D_{N}\oplus T]>c_{d}(\log N)^{(1/2)d}$ (Theorem 2.3).

Given a probability density, we estimate the rate of decay of the measure of the level sets of its evolutes by the Ornstein–Uhlenbeck semigroup. The rate is faster than what follows from the preservation of mass and Markov’s inequality.

It is known that the transport capacity of a dense wireless ad hoc network with n nodes scales like √n. We show that the transport capacity divided by √n approaches a nonrandom limit with probability 1 when the nodes are uniformly distributed on the unit square. To show the existence of the limit, we prove that the transport capacity under the protocol model is a subadditive Euclidean functional and use the machinery of subadditive functions in the spirit of Steele.

We investigate the almost sure asymptotic properties of vector martingale transforms. Assuming some appropriate regularity conditions both on the increasing process and on the moments of the martingale, we prove that normalized moments of any even order converge in the almost sure central limit theorem for martingales. A conjecture about almost sure upper bounds under wider hypotheses is formulated. The theoretical results are supported by examples borrowed from statistical applications, including linear autoregressive models and branching processes with immigration, for which new asymptotic properties are established on estimation and prediction errors.

We specify a model for a catastrophe loss index, where the initial estimate of each catastrophe loss is reestimated immediately by a positive martingale starting from the random time of loss occurrence. We consider the pricing of catastrophe insurance options written on the loss index and obtain option pricing formulae by applying Fourier transform techniques. An important advantage is that our methodology works for loss distributions with heavy tails, which is the appropriate tail behavior for catastrophe modeling. We also discuss the case when the reestimation factors are given by positive affine martingales and provide a characterization of positive affine local martingales.

In a decision problem with uncertainty a decision maker receives partial information about the actual state via an information structure. After receiving a signal, he is allowed to withdraw and gets zero profit. We say that one structure is better than another when a withdrawal option exists if it may never happen that one structure guarantees a positive profit while the other structure guarantees only zero profit. This order between information structures is characterized in terms that are different from those used by Blackwell's comparison of experiments. We also treat the case of a malevolent nature that chooses a state in an adverse manner. It turns out that Blackwell's classical characterization also holds in this case.

Consider a financial market in which an agent trades with utility-induced restrictions on wealth. For a utility function which satisfies the condition of reasonable asymptotic elasticity at -∞, we prove that the utility-based superreplication price of an unbounded (but sufficiently integrable) contingent claim is equal to the supremum of its discounted expectations under pricing measures with finite loss-entropy. For an agent whose utility function is unbounded from above, the set of pricing measures with finite loss-entropy can be slightly larger than the set of pricing measures with finite entropy. Indeed, the former set is the closure of the latter under a suitable weak topology. Central to our proof is a proof of the duality between the cone of utility-based superreplicable contingent claims and the cone generated by pricing measures with finite loss-entropy.

Let be a unital Banach algebra. Assume that a has a generalized inverse a+. Then is said to be a stable perturbation of a if . In this paper we give various conditions for stable perturbation of a generalized invertible element and show that the equation is closely related to the gap function . These results will be applied to error estimates for perturbations of the Moore-Penrose inverse in C*–algebras and the Drazin inverse in Banach algebras.