Related papers: A Note on Generalized Malliavin Calculus
These notes give a summary of techniques used in large deviation theory to study the fluctuations of time-additive quantities, called dynamical observables, defined in the context of Langevin-type equations, which model equilibrium and…
An Ornstein-Uhlenbeck (OU) process can be considered as a continuous time interpolation of the discrete time AR$(1)$ process. Departing from this fact, we analyse in this work the effect of iterating OU treated as a linear operator that…
The higher step Grushin operators $\Delta_{\alpha}$ are a family of sub-elliptic operators which degenerate on a sub-manifold of $\mathbb{R}^{n+m}$. This paper establishes Carleman-type inequalities for these operators. It is achieved by…
We investigate the smoothness of the densities of the finite-dimensional distributions of the Rosenblatt process. Within the Malliavin calculus framework, we prove that Rosenblatt random vectors are nondegenerate in the Malliavin sense. As…
With the use of tensor product of Hilbert space, and a diagonalization procedure from operator theory, we derive an approximation formula for a general class of stochastic integrals. Further we establish a generalized Fourier expansion for…
We find expressions for the Gateaux derivative of the matrix norms in operator spaces, and operator systems. Some applications of the results to quantum probability measures, states on C$^*$-algebras, and Birkhoff-James orthogonality are…
We show how to use the Malliavin calculus to obtain density estimates of the law of general centered random variables. In particular, under a non-degeneracy condition, we prove and use a new formula for the density of a random variable…
In this paper we study backward stochastic differential equations with general terminal value and general random generator. In particular, we do not require the terminal value be given by a forward diffusion equation. The randomness of the…
We consider generalised Dirac--Schr\"odinger operators, consisting of a self-adjoint elliptic first-order differential operator D with a skew-adjoint 'potential' given by a (suitable) family of unbounded operators. The index of such an…
In this paper, we study the Ornstein-Uhlenbeck bridge process (i.e. the Ornstein-Uhlenbeck process conditioned to start and end at fixed points) constraints to have a fixed area under its path. We present both anticipative (in this case, we…
We establish sufficient conditions for the existence, and derive explicit formulas for the $\kappa$'th moments, $\kappa \geq 1$, of Markov modulated generalized Ornstein-Uhlenbeck processes as well as their stationary distributions. In…
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As an enhanced version of existing results on Kac's propagation of chaos, which describes the convergence of mean-field particle systems to a system of independent McKean-Vlasov particles as the number of particles tends to infinity, we…
A representation for the Kantorovich--Rubinstein distance between probability measures on an abstract Wiener space in terms of the extended stochastic integral (or, divergence) operator is obtained.
The classical concept of $Q$-functions associated to symmetric and selfadjoint operators due to M.G. Krein and H. Langer is extended in such a way that the Dirichlet-to-Neumann map in the theory of elliptic differential equations can be…
In this paper we introduce a Hilbert space-valued Malliavin calculus for Poisson random measures. It is solely based on elementary principles from the theory of point processes and basic moment estimates, and thus allows for a simple…
In this paper, we consider a generalization of variational calculus which allows us to consider in the same framework different cases of mechanical systems, for instance, Lagrangian mechanics, Hamiltonian mechanics, systems subjected to…
We first propose a generalization of the image conjecture [Z3] for the commuting differential operators related with classical orthogonal polynomials. We then show that the non-trivial case of this generalized image conjecture is equivalent…
Supersymmetric quantum mechanics has many applications, and typically uses a raising and lowering operator formalism. For one dimensional problems, we show how such raising and lowering operators may be generalized to include an arbitrary…
We present gauge invariant, self adjoint Einstein operators for mixed symmetry higher spin theories. The result applies to multi-forms, multi-symmetric forms and mixed antisymmetric and symmetric multi-forms. It also yields explicit action…