Related papers: An extension of Wiener integration with the use of…
The approximation of integral functionals with respect to a stationary Markov process by a Riemann-sum estimator is studied. Stationarity and the functional calculus of the infinitesimal generator of the process are used to get a better…
The article is devoted to the expansion of iterated Stratonovich stochastic integrals of arbitrary multiplicity $k$ $(k\in\mathbb{N})$ based on the generalized iterated Fourier series converging pointwise. The case of Fourier-Legendre…
We study the distribution of values of the Riemann zeta function $\zeta(s)$ on vertical lines $\Re s + i \mathbb{R}$, by using the theory of Hilbert space. We show among other things, that, $\zeta(s)$ has a Fourier expansion in the…
Given a self-adjoint operator $H\geq 0$ and (appropriate) densely defined and closed operators $P_{1},\dots, P_{n}$ in a Hilbert space $\mathscr{H}$, we provide a systematic study of bounded operators given by iterated integrals…
We propose a method for solving constrained fixed point problems involving compositions of Lipschitz pseudo contractive and firmly nonexpansive operators in Hilbert spaces. Each iteration of the method uses separate evaluations of these…
We investigate Wiener-transformable markets, where the driving process is given by an adapted transformation of a Wiener process. This includes processes with long memory, like fractional Brownian motion and related processes, and, in…
We combine Malliavin calculus with Stein's method, in order to derive explicit bounds in the Gaussian and Gamma approximations of random variables in a fixed Wiener chaos of a general Gaussian process. We also prove results concerning…
The motivation behind this paper is threefold. Firstly, to study, characterize and realize operator concavity along with its applications to operator monotonicity of free functions on operator domains that are not assumed to be matrix…
In this paper, we propose a stochastic version of the classical Tseng's forward-backward-forward method with inertial term for solving monotone inclusions given by the sum of a maximal monotone operator and a single-valued monotone operator…
We formulate and prove the existence and uniqueness of the generalized Fourier transform associated with the absolutely continuous part of an arbitrary selfadjoint operator on a separable Hilbert space. To this end we develop a novel method…
This lecture presents recent advances in the theory of errors propagation. We first explain in which cases the propagation of errors may be performed with a first order differential calculus or needs a second order differential calculus.…
Here we present well-posedness results for first order stochastic differential inclusions, more precisely for sweeping process with a stochastic perturbation. These results are provided in combining both deterministic sweeping process…
In this paper, we will evaluate integrals that define the conditional expectation, variance and characteristic function of stochastic processes with respect to fractional Brownian motion (fBm) for all relevant Hurst indices, i.e. $H \in…
We derive an asymptotic expansion for the quadratic variation of a stochastic process satisfying a stochastic differential equation driven by a fractional Brownian motion, based on the theory of asymptotic expansion of Skorohod integrals…
In this paper, we generalize the Riemann-Liouville differential and integral operators on the space of Henstock-Kurzweil integrable distributions, $D_{HK}$. We obtain new fundamental properties of the fractional derivative and integral, a…
This article presents a natural extension of the tensor algebra. In addition to "left multiplications" by vectors, we can consider "derivations" by covectors as basic operators on this extended algebra. These two types of operators satisfy…
In our recent publication [1] we presented an exponential series approximation suitable for highly accurate computation of the complex error function in a rapid algorithm. In this Short Communication we describe how a simplified…
Nature provides us with a restricted set of microscopic interactions. The question is whether we can synthesize out of these fundamental interactions an arbitrary unitary operator. In this paper we present a constructive algorithm for…
We derive a generalised It\=o formula for stochastic processes which are constructed by a convolution of a deterministic kernel with a centred L\'evy process. This formula has a unifying character in the sense that it contains the classical…
This paper presents a stochastic approach to theorems concerning the behavior of iterations of the Bernstein operator $B_n$ taking a continuous function $f \in C[0,1]$ to a degree-$n$ polynomial when the number of iterations $k$ tends to…