Related papers: Representation of It\^o Integrals by Lebesgue/Boch…
Motivated by applications to SPDEs we extend the It\^o formula for the square of the norm of a semimartingale $y(t)$ from Gy\"ongy and Krylov (Stochastics 6(3):153-173, 1982) to the case \begin{equation*} \sum_{i=1}^m \int_{(0,t]}…
In this paper, we introduce the idea of stochastic integrals with respect to an increasing process in the $G$-framework and extend $G$-It\^o's formula. Moreover, we study the solvability of the scalar valued stochastic differential…
For an arbitrary infinite-dimensional Banach space $\X$, we construct examples of strongly-measurable $\X$-valued Pettis integrable functions whose indefinite Pettis integrals are nowhere weakly differentiable; thus, for these functions the…
We present two different approaches to stochastic integration in frictionless model free financial mathematics. The first one is in the spirit of It\^o's integral and based on a certain topology which is induced by the outer measure…
Strong Bochner type integrals with values in locally convex spaces are introduced. It is shown that the strong integral exists in the same cases as the weak (Gelfand-Pettis) integral is known to exist. The strong integral has better…
For any real-valued stochastic process $X$ with c\'rdl\'rg paths we define non-empty family of processes which have locally finite total variation, have jumps of the same order as the process $X$ and uniformly approximate its paths on…
In this work cylindrical Wiener processes on Banach spaces are defined by means of cylindrical stochastic processes, which are a well considered mathematical object. This approach allows a definition which is a simple straightforward…
We give a constructive approach for the study of integral representations of classical solutions to Poisson equations under some integrability conditions on data functions.
Blaschke factorization allows us to write any holomorphic function $F$ as a formal series $$ F = a_0 B_0 + a_1 B_0 B_1 + a_2 B_0 B_1 B_2 + \cdots$$ where $a_i \in \mathbb{C}$ and $B_i$ is a Blaschke product. We introduce a more general…
The integral representation of the two-parameter Mittag-Leffler function $E_{\rho,\mu}(z)$ is considered in the paper that expresses its value in terms of the contour integral. For this integral representation, the transition is made from…
These notes survey some aspects of discrete-time chaotic calculus and its applications, based on the chaos representation property for i.i.d. sequences of random variables. The topics covered include the Clark formula and predictable…
New results are added to the paper [4] about q-closed and solvable sesquilinear forms. The structure of the Banach space $\mathcal{D}[||\cdot||_\Omega]$ defined on the domain $\mathcal{D}$ of a q-closed sesquilinear form $\Omega$ is unique…
We establish existence and uniqueness for infinite dimensional Riccati equations taking values in the Banach space L 1 ($\mu$ $\otimes$ $\mu$) for certain signed matrix measures $\mu$ which are not necessarily finite. Such equations can be…
A well-known result going back to the 1930s states that all bounded linear operators mapping scalar-valued $L^1$-spaces into $L^\infty$-spaces are kernel operators and that in fact this relation induces an isometric isomorphism between the…
We study partial differential equations of second order (in time) that possess a hierarchy of infinitely many higher symmetries. The famous Boussinesq equation is a member of this class after the extension of the differential polynomial…
Functional It\^o calculus was introduced in order to expand a functional $F(t, X\_{\cdot+t}, X\_t)$ depending on time $t$, past and present values of the process $X$. Another possibility to expand $F(t, X\_{\cdot+t}, X\_t)$ consists in…
In this work, we present a comprehensive theory of stochastic integration with respect to arbitrary cylindrical L\'evy processes in Hilbert spaces. Since cylindrical L\'evy processes do not enjoy a semi-martingale decomposition, our…
Stochastic differential equations (SDE) are widely used in modeling stochastic dynamics in literature. However, SDE alone is not enough to determine a unique process. A specified interpretation for stochastic integration is needed.…
In this paper a class of oscillatory integrals is interpreted as a limit of Lebesgue integrals with Gaussian regularizers. The convergence of the regularized integrals is shown with an improved version of iterative integration by parts that…
In this work we first introduce quasi-infinitely divisible (QID) random measures and formulate spectral representations. Then, we introduce QID stochastic integrals and present integrability conditions and continuity properties. Further, we…