Related papers: Change of variable formulas for non-anticipative f…
The fundamental importance of functional differential equations has been recognized in many areas of mathematical physics, such as fluid dynamics (Hopf characteristic functional equation), quantum field theory (Schwinger-Dyson equations)…
This paper develops an It\^o-type fractional pathwise integration theory for fractional Brownian motion with Hurst parameters \( H \in (\frac{1}{3}, \frac{1}{2}] \), using the Lyons' rough path framework. This approach is designed to fill…
By introducing a color filtration to the multiplicity space, we extend the quantum Ito calculus on multiple symmetric Fock space to the framework of filtered adapted biprocesses. In this new notion of adaptedness,``classical'' time…
Using fractional calculus we define integrals of the form $% \int_{a}^{b}f(x_{t})dy_{t}$, where $x$ and $y$ are vector-valued H\"{o}lder continuous functions of order $\displaystyle \beta \in (\frac13, \frac12)$ and $f$ is a continuously…
In this paper, we use the Malliavin calculus techniques to obtain an anticipative version of the change of variable formula for L\'evy processes. Here the coefficients are in the domain of the anihilation (gradient) operator in the "future…
The theta process is a stochastic process of number theoretical origin arising as a scaling limit of quadratic Weyl sums. It can be described in terms of the geodesic flow and an automorphic function on a homogeneous space. This process has…
One introduces a new variational concept of solution for the stochastic differential equation $dX+A(t)X\,dt+\lambda X\,dt=X\,dW,$ $t\in(0,T)$; $X(0)=x$ in a real Hilbert space where $A(t)=\partial\varphi(t)$, $t\in(0,T)$, is a maximal…
This chapter is divided into two parts. The first is largely expository and builds on Karandikar's axiomatisation of It{\^o} calculus for matrix-valued semimartin-gales. Its aim is to unfold in detail the algebraic structures implied for…
Molecular simulations of many particles which move rather according to a brownian than a newtonian type of dynamics, nevertheless, can be performed by means of a "velocity-Verlet-like" algorithm. The derivation of this algorithm requires…
We develop a path integral framework for determining most probable paths in a class of systems of stochastic differential equations with piecewise-smooth drift and additive noise. This approach extends the Freidlin-Wentzell theory of large…
Because the stochastic calculus yields rarely random variables with laws defined by explicit closed formulas, probabilistic numerical computations are done most often by simulation. The simulation by the shift, whose field of application is…
The theory of fractional calculus has developed in a number of directions over the years, including: the formulation of multiple different definitions of fractional differintegration; the extension of various properties of standard calculus…
Paradoxically, while the assumptions of second-order stationarity and isotropy appear outdated in light of modern spatial data, they remain remarkably robust in practice, as nonstationary methods often provide marginal improvements in…
Mathematical models are sometime given as functions of independent input variables and equations or inequations connecting the input variables. A probabilistic characterization of such models results in treating them as functions with…
Determining functionals are tools to describe the finite dimensional long-term dynamics of infinite dimensional dynamical systems. There also exist several applications to infinite dimensional {\em random} dynamical systems. In these…
The application of the approximation-operational approach to solving linear differential equations of fractional order with variable coefficients is considered. It is shown that the method can also be applied to solving differential…
Let $L(s,\chi)$ be a fixed Dirichlet $L$-function. Given a vertical arithmetic progression of $T$ points on the line $\Re(s)=1/2$, we show that $\gg T \log T$ of them are not zeros of $L(s,\chi)$. This result provides some theoretical…
The center of interest in this work are variational problems with integral functionals depending on special nonlocal gradients. The latter correspond to truncated versions of the Riesz fractional gradient, as introduced in [Bellido, Cueto &…
In this work, we investigate a theory of stochastic integration for operator-valued processes with respect to semimartingales taking values in the dual of a nuclear space. Our construction of this particular stochastic integral relies on…
We study a notion of local time for a continuous path, defined as a limit of suitable discrete quantities along a general sequence of partitions of the time interval. Our approach subsumes other existing definitions and agrees with the…