Related papers: Change of variable formulas for non-anticipative f…
We consider a multidimensional Ito semimartingale regularly sampled on [0,t] at high frequency $1/\Delta_n$, with $\Delta_n$ going to zero. The goal of this paper is to provide an estimator for the integral over [0,t] of a given function of…
Fractional operators play an important role in modeling nonlocal phenomena and problems involving coarse-grained and fractal spaces. The fractional calculus of variations with functionals depending on derivatives and/or integrals of…
The functional Ito formula, firstly introduced by Bruno Dupire for continuous semimartingales, might be extended in two directions: different dynamics for the underlying process and/or weaker assumptions on the regularity of the functional.…
Path integrals constitute powerful representations for both quantum and stochastic dynamics. Yet despite many decades of intensive studies, there is no consensus on how to formulate them for dynamics in curved space, or how to make them…
The present paper continues the study of infinite dimensional calculus via regularization, started by C. Di Girolami and the second named author, introducing the notion of "weak Dirichlet process" in this context. Such a process $\X$,…
Let X^{1}, X^{2} be two independent (two-sided) fractional Brownian motions having the same Hurst parameter H in (0,1), and let Y be a standard (one-sided) Brownian motion independent of (X^{1},X^{2}). In dimension 2, fractional Brownian…
Clifford analysis has been the field of active research for several decades resulting in various methods to solve problems in pure and applied mathematics. However, the area of stochastic analysis has not been addressed in its full…
Suppose the observations of Lagrangian trajectories for fluid flow in some physical situation can be modelled sufficiently accurately by a spatially correlated It\^o stochastic process (with zero mean) obtained from data which is taken in…
The goal of this thesis is threefold: first, to provide a general semantic setting for reasoning about incremental computation. Second, to establish and clarify the connection between derivatives in the incremental sense and derivatives in…
Let $(B_t)_{t\in[0,\infty)}$ be a Brownian motion on a probability space $(\Omega,\mathcal{F},P)$. Our concern is whether and how a noncausal type stochastic differential $dX_t=a(t,\omega)\,dB_t+b(t,\omega)\,dt$ is identified from its…
We consider idealized financial markets in which price paths of the traded securities are cadlag functions, imposing mild restrictions on the allowed size of jumps. We prove the existence of quadratic variation for typical price paths,…
In the setting of stochastic Volterra equations, and in particular rough volatility models, we show that conditional expectations are the unique classical solutions to path-dependent PDEs. The latter arise from the functional It\^o formula…
The motivation of this paper is to prove verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion term, in the case that the value function is assumed to be continuous…
This paper begins by giving an historical context to fractional Brownian Motion and its development. Section 2 then introduces the fractional calculus, from the Riemann-Liouville perspective. In Section 3, we introduce Brownian motion and…
Quadratic fluctuations require an evaluation of ratios of functional determinants of second-order differential operators. We relate these ratios to the Green functions of the operators for Dirichlet, periodic and antiperiodic boundary…
An explicit martingale representation for random variables described as a functional of a Levy process will be given. The Clark-Ocone theorem shows that integrands appeared in a martingale representation are given by conditional…
We prove a rough It\^o formula for path-dependent functionals of $\alpha$-H\"older continuous paths for $\alpha\in(0,1)$. Our approach combines the sewing lemma and a Taylor approximation in terms of path-dependent derivatives.
We formulate quantum mechanics on SO(3) using a non-commutative dual space representation for the quantum states, inspired by recent work in quantum gravity. The new non-commutative variables have a clear connection to the corresponding…
This work develops change-point methods for statistics of high-frequency data. The main interest is in the volatility of an It\^{o} semi-martingale, the latter being discretely observed over a fixed time horizon. We construct a…
We study the fundamental problem of the calculus of variations with variable order fractional operators. Fractional integrals are considered in the sense of Riemann-Liouville while derivatives are of Caputo type.