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Starting from the hyperbolic Brownian motion as a time-changed Brownian motion, we explore a set of probabilistic models--related to the SABR model in mathematical finance--which can be obtained by geometry-preserving transformations, and…
In this paper, we study the pricing of contingent claims under G-expectation. In order to accomodate volatility uncertainty, the price of the risky security is supposed to governed by a general linear stochastic differential equation (SDE)…
Brownian motions, martingales, and Wiener processes are introduced and studied for set valued functions taking values in the subfamily of compact convex subsets of arbitrary Banach space $X$. The present paper is an application of one the…
Nonlinear expectation, including sublinear expectation as its special case, is a new and original framework of probability theory and has potential applications in some scientific fields, especially in finance risk measure and management.…
Let $\Omega$ be a Polish space with Borel $\sigma$-field $\mathcal{F}$ and countably generated sub $\sigma$-field $\mathcal{G}\subset\mathcal{F}$. Denote by $\mathcal{L}(\mathcal{F})$ the set of all bounded $\mathcal{F}$-upper semianalytic…
We investigate stochastic processes that generalize geometric Brownian motion, focusing on cases where the standard invariant measure, i.e. the solution of the stationary Fokker-Planck equation does not necessarily exist. We demonstrate…
This paper aims at characterizing the approximability of bounded sets in the range of nonlinear operators in Banach spaces by finite-dimensional linear varieties. In particular, the class of operators we consider includes the endpoint maps…
The combination of functional limit theorems with the pathwise analysis of deterministic and stochastic differential equations has proven to be a powerful approach to the analysis of fast-slow systems. In a multivariate setting, this…
Contraction rates of time-varying maps induced by dynamical systems illuminate a wide range of asymptotic properties with applications in stability analysis and control theory. In finite-dimensional smoothly varying inner-product spaces…
In this paper we investigate a Gaussian average property of Banach spaces. This property is weaker than the Gordon Lewis property but closely related to this and other unconditional structures. It is also shown that this property implies…
A logical function can be used to characterizing a property of a state of Boolean network (BN), which is considered as an aggregation of states. To illustrate the dynamics of a set of logical functions, which characterize our concerned…
Denote by $X$ a Banach space and by $T : X \to X$ a bounded linear operator with non-trivial kernel satisfying suitable conditions. We consider the concepts of entropy - for $T$-invariant probability measures - and pressure for H\"older…
This article delves into the study of the theory of regularized learning in Banach spaces for linear-functional data. It encompasses discussions on representer theorems, pseudo-approximation theorems, and convergence theorems. Regularized…
We present a detailed study of a simple quantum stochastic process, the quantum phase space Brownian motion, which we obtain as the Markovian limit of a simple model of open quantum system. We show that this physical description of the…
We introduce a property of Banach spaces called uniform convex-transitivity, which falls between almost transitivity and convex-transitivity. We will provide examples of uniformly convex-transitive spaces. This property behaves nicely in…
In this article we extend recent results by the first author on the necessity of $BMO$ for the boundedness of commutators on the classical Lebesgue spaces. We generalize these results to a large class of Banach function spaces. We show that…
We study pathwise $p$-th variation of continuous paths on a compact interval along a fixed partition sequence. Although the class of continuous paths with finite $p$-th variation is generally not linear, we develop a coefficient-based…
Classical option pricing schemes assume that the value of a financial asset follows a geometric Brownian motion (GBM). However, a growing body of studies suggest that a simple GBM trajectory is not an adequate representation for asset…
A class of Gaussian processes generalizing the usual fractional Brownian motion for Hurst indices in (1/2,1) and multifractal Brownian motion introduced in Ralchenko and Shevchenko (Theory Probab Math Stat 80, 2010) and Boufoussi et al.…
We investigate parametrized variational problems where for each parameter the solution may originate from a different parameter-dependent function space. Our main motivation is the theory of Friedrichs' systems, a large abstract class of…