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We use Young integration (resp, bounded $p,q$-variation theory introduced in \cite{Feng-Zhao}) to establish integration of determinate functions with respect to local time of symmetric $\alpha$-stable L\'evy process, for $\alpha \in ]1,2]$,…
Let $W$ denote the Brownian motion. For any exponentially bounded Borel function $g$ the function $u$ defined by $u(t,x)= \mathbb{E}[g(x{+}\sigma W_{T-t})]$ is the stochastic solution of the backward heat equation with terminal condition…
This paper is complete proof of one method for obtaining the generalized Ito-Wentzell formula, its basic idea was announced earlier in a pre-print (arXiv:1309.3038v1). This proof sets the approach which uses the Ito formula and the…
If X is a d-dimensional uniformly elliptic diffusion, with initial law nu, we show that F(X) is a Dirichlet process, whenever F satisfies an integrability condition linking its weak derivative to the coefficients of the diffusion and the…
We consider some versions and generalizations of an approach to the expansion of iterated Ito stochastic integrals of arbitrary multiplicity $k$ $(k\in\mathbb{N})$ based on generalized multiple Fourier series. Expansions of iterated…
We consider the stochastic heat equation of the following form \frac{\partial}{\partial t}u_t(x) = (\sL u_t)(x) +b(u_t(x)) + \sigma(u_t(x))\dot{F}_t(x)\quad \text{for}t>0, x\in \R^d, where $\sL$ is the generator of a L\'evy process and…
The thermodynamic uncertainty relation expresses a universal trade-off between precision and entropy production, which applies in its original formulation to current observables in steady-state systems. We generalize this relation to…
We have shown that in some region where the Euler integral of the first kind diverges, the Euler formula defines a generalized function. The connected of this generalized function with the Dirac delta function is found.
The generalized Fermi-Dirac functions and their derivatives are important in evaluating the thermodynamic quantities of partially degenerate electrons in hot dense stellar plasmas. New recursion relations of the generalized Fermi-Dirac…
Time-reversal symmetry plays an essential role in the thermodynamic uncertainty relations, which bound the fluctuations of observables in terms of the associated dissipation. In fact, thermodynamic uncertainty relations are typically…
In the renewal processes, if the waiting time probability density function is a tempered power-law distribution, then the process displays a transition dynamics; and the transition time depends on the parameter $\lambda$ of the exponential…
We study the local (in time) expansion of a continuous-time process and its conditional moments, including the process' characteristic function. The expansions are conducted by using the properties of the (time-extended) Ito signature, a…
This is a survey note of the author's observations on the discrete-time analogues of It\^o formulas.
We establish It\^o's formula along flows of probability measures associated with general semimartingales; this generalizes existing results for flows of measures on It\^o processes. Our approach is to first establish It\^o's formula for…
The thermodynamic formalism, which was first developed for dynamical systems and then applied to discrete Markov processes, turns out to be well suited for continuous time Markov processes as well, provided the definitions are interpreted…
We describe in great generality features concerning constrained entropic, functional variational problems that allow for a broad range of applications. Our discussion encompasses not only entropies but, potentially, any functional of the…
Extending It\^o's formula to non-smooth functions is important both in theory and applications. One of the fairly general extensions of the formula, known as Meyer-It\^o, applies to one dimensional semimartingales and convex functions.…
In this paper we investigate the solution of generalized distributed order diffusion equations with composite time fractional derivative by using the Fourier-Laplace transform method. We represent solutions in terms of infinite series in…
We appeal to a complex q-Fourier transform as a generalization of the (real) one analyzed in [Milan J. Math. {\bf 76} (2008) 307]. By recourse to tempered ultra-distributions we are able to show that the q-Gaussian distribution can be…
We present an extension of Nelson's stochastic quantum mechanics to finite temperature. Utilizing the formulation of Thermo Field Dynamics (TFD), we can show that Ito's stochastic equations for tilde and non-tilde particle positions…