Related papers: Vector measures of bounded gamma-variation and sto…
In our monograph with B. Roynette and M. Yor, we construct a sigma-finite measure related to penalisations of different stochastic processes, including the Brownian motion in dimension 1 or 2, and a large class of linear diffusions. In the…
From the Aharonov-Bohm effect to general relativity, geometry plays a central role in modern physics. In quantum mechanics many physical processes depend on the Berry curvature. However, recent advances in quantum information theory have…
This paper provides yet another look at the mixed fractional Brownian motion (fBm), this time, from the spectral perspective. We derive an approximation for the eigenvalues of its covariance operator, asymptotically accurate up to the…
The stochastic rotational invariance of an integration by parts formula inspired by the Bismut approach to Malliavin calculus is proved in the framework of the Lie symmetry theory of stochastic differential equations. The non-trivial effect…
We derive Cram\'{e}r type moderate deviations for stationary sequences of bounded random variables. Our results imply the moderate deviation principles and a Berry-Esseen bound. Applications to quantile coupling inequalities, functions of…
We propose an extended BRST invariant Lagrangian quantization scheme of general gauge theories based on an explicit realization of the modified triplectic algebra that was announced in our previous investigation (hep-th/0104189). The…
Phase transitions with spontaneous symmetry breaking and vector order parameter are considered in multidimensional theory of general relativity. Covariant equations, describing the gravitational properties of topological defects, are…
We introduce the (path-valued) Brownian frame process whose evaluation at time t is the sample path of the underlying Brownian motion run from time t-1 to t. Due to its connections with Gaussian Volterra processes and SDDEs this is an…
We introduce a fractional theory of the calculus of variations for multiple integrals. Our approach uses the recent notions of Riemann-Liouville fractional derivatives and integrals in the sense of Jumarie. Main results provide fractional…
We study some functional inequalities satisfied by the distribution of the solution of a stochastic differential equation driven by fractional Brownian motions. Such functional inequalities are obtained through new integration by parts…
The conservation of physical quantities under coordinate transformations, known as gauge invariance, has been the foundation of theoretical frameworks in both quantum and classical theory. The finding of gauge-invariant quantities has…
In this article we introduce cylindrical fractional Brownian motions in Banach spaces and develop the related stochastic integration theory. Here a cylindrical fractional Brownian motion is understood in the classical framework of…
The integral with respect to a multidimensional stochastic measure, for which we assume only $\sigma$-additivity in probability, is studied. The continuity and differentiability of its realizations are established.
We propose and study a novel collection of signed measures, which will be apply called Taylor measures. Stochastic versions of the new measures are also defined and studied. We illustrate, through examples, how the deterministic and…
We study the joint distribution of the input sum and the output sum of a deterministic transducer. Here, the input of this finite-state machine is a uniformly distributed random sequence. We give a simple combinatorial characterization of…
The seminal papers of Pickands [1,2] paved the way for a systematic study of high exceedance probabilities of both stationary and non-stationary Gaussian processes. Yet, in the vector-valued setting, due to the lack of key tools including…
We use the BV quantization method for a theory with coupled tensor and vector gauge fields through a topological term. We consider in details the reducibility of the tensorial sector as well as the appearance of a mass term in the effective…
This article studies the finite sample behaviour of a number of estimators for the integrated power volatility process of a Brownian semistationary process in the non semi-martingale setting. We establish three consistent feasible…
Contributions of the present paper consist of two parts. In the first one, we contribute to the theory of stochastic calculus for signed measures. For instance, we provide some results permitting to characterize martingales and Brownian…
Motivated by previous work on moment varieties for Gaussian distributions and their mixtures, we study moment varieties for two other statistically important two-parameter distributions: the inverse Gaussian and gamma distributions. In…