Related papers: A Note on Generalized Malliavin Calculus
Based on a version of Dudley's Wiener process on the mass shell in the momentum Minkowski space of a massive point particle, a model of a relativistic Ornstein--Uhlenbeck process is constructed by addition of a specific drift term. The…
This paper addresses the Bayesian calibration of dynamic models with parametric and structural uncertainties, in particular where the uncertain parameters are unknown/poorly known spatio-temporally varying subsystem models. Independent…
We establish global Schauder estimates for integro-partial differential equations (IPDE) driven by a possibly degenerate L\'evy Ornstein-Uhlenbeck operator, both in the elliptic and parabolic setting, using some suitable anisotropic…
We develop in this paper a new framework for discrete calculus of variations when the actions have densities involving an arbitrary discretization operator. We deduce the discrete Euler-Lagrange equations for piecewise continuous critical…
We study degenerate hypoelliptic Ornstein-Uhlenbeck operators in $L^2$ spaces with respect to invariant measures. The purpose of this article is to show how recent results on general quadratic operators apply to the study of degenerate…
In terms of the derivative operator, integral operator and Saalsch\"{u}tz's theorem, two families of summation formulae involving generalized harmonic numbers are established.
For a class of piecewise deterministic Markov processes we introduce a stochastic calculus which is a certain non-Gaussian counterpart to the classical Malliavin calculus. As an application we investigate the regularity of densities of…
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…
Malliavin calculus is a powerful and general framework for the analysis of square-integrable random variables, but it often suffers from a lack of tractability and explicit representations. To address this limitation, we focus on a subclass…
Veestraeten [1] recently derived inverse Laplace transforms for Laplace transforms that contain products of two parabolic cylinder functions by exploiting the link between the parabolic cylinder function and the transition density and…
By using the Malliavin calculus and solving a control problem, Bismut type derivative formulae are established for a class of degenerate diffusion semigroups with non-linear drifts. As applications, explicit gradient estimates and Harnack…
Using multiple stochastic integrals and the Malliavin calculus, we analyze the asymptotic behavior of quadratic variations for a specific non-Gaussian self-similar process, the Rosenblatt process. We apply our results to the design of…
Basic derivative formulas are presented for hypoelliptic heat semigroups and harmonic functions extending earlier work in the elliptic case. Emphasis is placed on developing integration by parts formulas at the level of local martingales.…
The question of existence and properties of stationary solutions to Langevin equations driven by noise processes with stationary increments is discussed, with particular focus on noise processes of pseudo-moving-average type. On account of…
We use techniques of Malliavin calculus to study the convergence in law of a family of generalized Rosenblatt processes $Z_\gamma$ with kernels defined by parameters $\gamma$ taking values in a tetrahedral region $\Delta$ of $\RR^q$. We…
The Malliavin integration-by-parts formula is a key ingredient to develop stochastic analysis on the Wiener space. In this article we show that a suitable integration-by-parts formula also characterizes a wide class of Gaussian processes,…
In this paper we aim to generalize results obtained in the framework of fractional calculus by the way of reformulating them in terms of operator theory. In its own turn, the achieved generalization allows us to spread the obtained…
In this paper, we aim to present new extensions of incomplete gamma, beta, Gauss hypergeometric, confluent hypergeometric function and Appell-Lauricella hypergeometric functions, by using the extended Bessel function due to Boudjelkha [4].…
We define a covariance-type operator on Wiener space: for F and G two random variables in the Gross-Sobolev space $D^{1,2}$ of random variables with a square-integrable Malliavin derivative, we let $Gamma_{F,G}=$ where $D$ is the Malliavin…
We study the orthogonality of the generalized eigenspaces of an Ornstein--Uhlenbeck operator $\mathcal L$ in $\mathbb{R}^N$, with drift given by a real matrix $B$ whose eigenvalues have negative real parts. If $B$ has only one eigenvalue,…