Related papers: Time Dependent Tempered Generalized Functions and …
In this work we introduce a new algebra of tempered generalized functions. The tempered distributions are embedded in this algebra via their Hermite expansions. The Fourier transform is naturally extended to this algebra in such a way that…
Generalised Ito formulae are proved for time dependent functions of continuous real valued semi-martingales. The conditions involve left space and time first derivatives, with the left space derivative required to have locally bounded…
An Ito formula is developed in a context consistent with the development of abstract existence and unique- ness theorems for nonlinear stochastic partial differential equations, which are singular or degenerate. This is a generalization of…
In the present article, the author uses Fourier theory of tempered distributions (generalized functions) in deriving a formula for Dirichlet-like integrals. The applied method is remarkably efficient and allows a solution in a few…
A generalized It${\hat {\rm o}}$ formula for time dependent functions of two-dimensional continuous semi-martingales is proved. The formula uses the local time of each coordinate process of the semi-martingale, left space and time first…
Motivated by recent development of mean-field systems with common noise, this paper establishes Ito's formula for flows of conditional probability measures under a common filtration associated with general semimartingales. This generalizes…
We derive an It\^o's-type formula for the one dimensional stochastic heat equation driven by a space-time white noise. The proof is based on elementary properties of the $\mathcal{S}$-transform and on the explicit representation of the…
We consider the time-fractional Cattaneo equation involving the tempered Caputo space-fractional derivative. We find the characteristic function of the related process and we explain the main differences with previous stochastic treatments…
I study derivative expansions of effective actions at finite temperature, illustrating how the standard methods are badly defined at finite temperature. I then show that by setting up the initial conditions at a finite time, these problems…
Generalizations of classical theta functions are proposed that include any even number of analytic parameters for which conditions of quasi-periodicity are fulfilled and that are representations of extended Heisenberg group. Differential…
We derive an Ito-formula for the Dawson-Watanabe superprocess, a well-known class of measure-valued processes, extending the classical Ito-formula with respect to two aspects. Firstly, we extend the state-space of the underlying process…
We present a short overview of the recent results in the theory of diffusion and wave equations with generalised derivative operators. We give generic examples of such generalised diffusion and wave equations, which include time-fractional,…
The overarching goal of this paper is to establish a set-valued It\^{o}'s formula. As an application, we obtain the existence and uniqueness of solutions for the general set-valued backward stochastic differential equation which gives an…
In this paper we study a group theoretical generalization of the well-known Gauss's formula that uses the generalized Euler's totient function introduced in [11].
We consider two Ito equations that evolve on different time scales. The equations are fully coupled in the sense that all coefficients may depend on both the "slow" and the "fast" processes and the diffusion terms may be correlated. The…
Fractional relaxation equations, as well as relaxation functions time-changed by independent stochastic processes have been widely studied (see, for example, \cite{MAI}, \cite{STAW} and \cite{GAR}). We start here by proving that the…
We present a variational formulation of Time-Dependent Density Functional Theory similar to the constrained-search variational formulation of ground-state density-function theory. The formulation is applied to justify the time-dependent…
We investigate Bochner integrabilities of generalized Wiener functionals. We further formulate an It\^o formula for a diffusion in a distributional setting, and apply to investigate differentiability-index $s$ and integrability-index $p…
Since the turn of the century, there has been increased interest in the application of heavy-tailed distributions, particularly stable distributions, to problems in physics and finance. Although, the tails of stable distributions provide a…
We provide an It\^{o}'s formula for stochastic dynamical equation on general time scales. Based on this It\^{o}'s formula we give a closed form expression for stochastic exponential on general time scales. We then demonstrate a Girsanov's…