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Consider a measurable space with an atomless finite vector measure. This measure defines a mapping of the $sigma$-field into an Euclidean space. According to the Lyapunov convexity theorem, the range of this mapping is a convex compactum. Similar ranges are also defined for measurable subsets of the space. Two subsets with the same vector measure may have different ranges. We investigate the question whether, among all the subsets having the same given vector measure, there always exists a set with the maximal range of the vector measure. The answer to this question is positive for two-dimensional vector measures and negative for higher dimensions. We use the existence of maximal ranges to strengthen the Dvoretzky-Wald-Wolfowitz purification theorem for the case of two measures.
The classical Cramer-Lundberg risk process models the ruin probability of an insurance company experiencing an incoming cash flow - the premium income, and an outgoing cash flow - the claims. From a systems viewpoint, the web of insurance agents and
This paper introduces the concept of random context representations for the transition probabilities of a finite-alphabet stochastic process. Processes with these representations generalize context tree processes (a.k.a. variable length Markov chains
This paper establishes It^os formula along a flow of probability measures associated with gene-ral semimartingales. This generalizes existing results for flow of measures on It^o processes. Our approach is to first prove It^os formula for cylindrical
We consider random walks on the group of orientation-preserving homeomorphisms of the real line ${mathbb R}$. In particular, the fundamental question of uniqueness of an invariant measure of the generated process is raised. This problem was already s
We prove that in any finite set of $mathbb Z^d$ with $dge 3$, there is a subset whose capacity and volume are both of the same order as the capacity of the initial set. As an application we obtain estimates on the probability of {it covering uniforml