Related papers: A Note on Generalized Malliavin Calculus
We establish large deviation principles for the couple of the maximum likelihood estimators of dimensional and drift coefficients in the generalised squared radial Ornstein-Uhlenbeck process. We focus our attention to the most tractable…
The equations for the critical points of the action functional defined by a Lagrangian depending on higher-order derivatives of admissible curves on a Lie algebroid are found. The relation with Euler-Poincar\'e and Lagrange Poincar\'e type…
In this paper we study differential operators of the form \begin{align*} \left[\mathcal{L}_\infty v \right](x) = A\triangle v(x) + \left\langle Sx,\nabla v(x) \right\rangle - Bv(x), \,x \in \mathbb{R}^d, \,d \geqslant 2, \end{align*} for…
We propose a generalization of Heisenberg picture quantum mechanics in which a Lagrangian and Hamiltonian dynamics is formulated directly for dynamical systems on a manifold with non--commuting coordinates, which act as operators on an…
This paper introduces a generalization of the so-called space-fractional Poisson process by extending the difference operator acting on state space present in the associated difference-differential equations to a much more general form. It…
We prove an extension theorem for a small perturbation of the Ornstein-Uhlenbeck operator $(L,D(L))$ in the space of all uniformly continuous and bounded functions $f:H\to \Rset$, where $H$ is a separable Hilbert space. We consider a…
In this paper we introduce the well-balanced L\'{e}vy driven Ornstein-Uhlenbeck process as a moving average process of the form $X_t=\int \exp(-\lambda |t-u|)dL_u$. In contrast to L\'{e}vy driven Ornstein-Uhlenbeck processes the…
Using a derivative decomposition of the Hochschild differential complex we define a generalized inverse of the Hochschild coboundary operator. It can be applied for systematic computations of star products on Poisson manifolds.
In this paper we propose a new, simple and explicit mechanism allowing to derive Stein operators for random variables whose characteristic function satisfies a simple ODE. We apply this to study random variables which can be represented as…
We give a multivariate generalization of Borell's noise stability theorem for Gaussian vectors. As a consequence we recover two inequalities, also due to Borell, for exit times of the Ornstein-Uhlenbeck process.
We study large deviation principles for Gaussian processes lifted to the free nilpotent group of step N. We apply this to a large class of Gaussian processes lifted to geometric rough paths. A large deviation principle for enhanced…
In this paper we study rough differential equations driven by Gaussian rough paths from the viewpoint of Malliavin calculus. Under mild assumptions on coefficient vector fields and underlying Gaussian processes, we prove that solutions at a…
In this paper we investigate the representation of a class of non Gaussian processes, namely generalized grey Brownian motion, in terms of a weighted integral of a stochastic process which is a solution of a certain stochastic differential…
By means of a generalization of the Maurer-Cartan expansion method we construct a procedure to obtain expanded higher-order Lie algebras. The expanded higher order Maurer-Cartan equations for the case $\mathcal{G}=V_{0}\oplus V_{1}$ are…
We give several functional inequalities related to the Ornstein-Uhlenbeck semigroup in the Dunkl differential-difference operators setting. As an application of these inequalities, we derive out a Sobolev-logarithmic and an…
We study the least squares estimator for the drift parameter of the Langevin stochastic equation driven by the Rosenblatt process. Using the techniques of the Malliavin calculus and the stochastic integration with respect to the Rosenblatt…
In this paper, we consider an inference problem for an Ornstein-Uhlenbeck process driven by a general one-dimensional centered Gaussian process $(G_t)_{t\ge 0}$. The second order mixed partial derivative of the covariance function $ R(t,\,…
We consider versions of Malliavin calculus on path spaces of compact manifolds with diffusion measures, defining Gross-Sobolev spaces of differentiable functions and proving their intertwining with solution maps, I, of certain stochastic…
We prove the chain rule in the more general framework of the Wiener-Poisson space, allowing us to obtain the so-called Nourdin-Peccati bound. From this bound we obtain a second-order Poincare-type inequality that is useful in terms of…
This paper deals with U-statistics of Poisson processes and multiple Wiener-It\^o integrals on the Poisson space. Via sharp bounds on the cumulants for both classes of random variables, moderate deviation principles, concentration…