Related papers: Vector measures of bounded gamma-variation and sto…
We prove the optimal regularity for some class of vector-valued variational inequalities with gradient constraints. We also give a new proof for the optimal regularity of some scalar variational inequalities with gradient constraints. In…
We introduce fractional Brownian motion processes (fBm) as an alternative model for the turbulent index of refraction. These processes allow to reconstruct most of the index properties, but they are not differentiable. We overcome the…
Novel constructions of empirical controllability and observability gramians for nonlinear systems for subsequent use in a balanced truncation style of model reduction are proposed. The new gramians are based on a generalisation of the…
We consider convolution-type stochastic Volterra equations with additive Hilbert-valued fractional Brownian motion, $0<H<1$. We find the weak solution to this stochastic Volterra equation, and study its stochastic integral part, the…
We consider Volterra Gaussian processes on [0,T], where T>0 is a fixed time horizon. These are processes of type X_t=\int^t_0 z_X(t,s)dW_s, t\in[0,T], where z_X is a square-integrable kernel, and W is a standard Brownian motion. An example…
We study large deviation properties of random matricial spectral measures.
For Brownian surfaces with boundary and an interior marked point, a natural observable to consider is the distance profile, defined as the process of distances from the marked point to a variable point $x$ lying on the boundary. When the…
We present a new variational principle for linking models of beams and deformable solids, providing also its mathematical analysis. Despite the apparent differences between the two types of governing equations, it will be shown that the…
The random measures on the space of continuous functions are considered. Stationary random measures are described. The weak solutions of the stochastic equations are substituted by the strong measure-valued solutions.
In this article, we will first introduce a class of Gaussian processes, and prove the quasi-invariant theorem with respect to the Gaussian Wiener measure, which is the law of the associated Gaussian process. In particular, it includes the…
We consider a stochastic volatility model where the dynamics of the volatility are given by a possibly infinite linear combination of the elements of the time extended signature of a Brownian motion. First, we show that the model is…
We characterize invariant subspaces of Brownian shifts on vector-valued Hardy spaces. We also solve the unitary equivalence problem for the invariant subspaces of these shifts.
Variance-Gamma distributions are widely used in financial modelling and contain as special cases the normal, Gamma and Laplace distributions. In this paper we extend Stein's method to this class of distributions. In particular, we obtain a…
We discuss the relationships between some classical representations of the fractional Brownian motion, as a stochastic integral with respect to a standard Brownian motion, or as a series of functions with independent Gaussian coefficients.…
In this paper we study Green measures of certain classes of Markov processes. In particular Brownian motion and processes with jump generators with different tails. The Green measures are represented as a sum of a singular and a regular…
Gaussian processes occupy one of the leading places in modern statistics and probability theory due to their importance and a wealth of strong results. The common use of Gaussian processes is in connection with problems related to…
An innovative extension of Geometric Brownian Motion model is developed by incorporating a weighting factor and a stochastic function modelled as a mixture of power and trigonometric functions. Simulations based on this Modified Brownian…
The article presents a new method of integration of functions with values in Banach spaces. This integral and related notions prove to be a useful tool in the study of Banach space geomtry.
We introduce the concept of finite $\gamma$-scaled quadratic variation along a sequence of partitions for paths on a given interval. This concept, with historical roots in the study of Gaussian processes by Gladyshev (1961) and Klein \&…
We state the implications on the properties of vector mesons due to gauge invariance. In particular, we find that polarized vector mesons exhibit a property in the radiation distribution of order $\omega^{-1}$ in the photon energy, namely…