Related papers: Smooth approximations for fractional and multifrac…
We solve the Skorokhod embedding problem for a class of Gaussian processes including Brownian motion with non-linear drift. Our approach relies on solving an associated strongly coupled system of Forward Backward Stochastic Differential…
We give a stochastic model for the fragmentation phase of a snow avalanche. We construct a fragmentation-branching process related to the avalanches, on the set of all fragmentation sizes introduced by J. Bertoin. A fractal property of this…
For some discrete parameters $k\ge0$, multivariate (Dunkl-)Bessel processes on Weyl chambers $C$ associated with root systems appear as projections of Brownian motions without drift on Euclidean spaces $V$, and the associated transition…
Stochastic processes on totally disconnected topological groups are investigated. In particular they are considered for diffeomorphism groups and loop groups of manifolds on non-Archimedean Banach spaces. Theorems about a quasi-invariance…
In this paper, we establish the strong well-posedness of SDEs with merely integrable time-dependent drifts driven by fractional Brownian motions with Hurst parameter H<1/2. Our result holds over the entire subcritical regime and can be…
The semi-infinite Atlas process is a one-dimensional system of Brownian particles, where only the leftmost particle gets a unit drift to the right. Its particle spacing process has infinitely many stationary measures, with one distinguished…
The linear fractional stable motion generalizes two prominent classes of stochastic processes, namely stable L\'evy processes, and fractional Brownian motion. For this reason it may be regarded as a basic building block for continuous time…
Consider an n-fold integrated Brownian motion. We show that a simple change in time and scale transforms it into a stationary Gaussian process. The collection of stationary processes so constructed not only constitutes an interesting family…
By using Malliavin calculus and multiple Wiener-It\^o integrals, we study the existence and the regularity of stochastic currents defined as Skorohod (divergence) integrals with respect to the Brownian motion and to the fractional Brownian…
In this paper, we propose a doubly stochastic spatial point process model with both aggregation and repulsion. This model combines the ideas behind Strauss processes and log Gaussian Cox processes. The likelihood for this model is not…
We prove smoothing estimates for Schr\"odinger equations $i\partial_t \phi+\partial_x (a(x) \partial_x \phi) =0$ with $a(x)\in \mathrm{BV}$, the space of functions with bounded total variation, real, positive and bounded from below. We then…
We study integration and $L_2$-approximation on countable tensor products of function spaces of increasing smoothness. We obtain upper and lower bounds for the minimal errors, which are sharp in many cases including, e.g., Korobov, Walsh,…
We study harmonic and totally invariant measures in a foliated compact Riemannian manifold isometrically embedded in an Euclidean space. We introduce geometrical techniques for stochastic calculus in this space. In particular, using these…
The purpose of this work is to study an approximation to an abstract Bessel-type problem, which is a generalization of the extension problem associated with fractional powers of the Laplace operator. Motivated by the success of such…
In this paper the whole family of fractional Brownian motions is constructed as a single Gaussian field indexed by time and the Hurst index simultaneously. The field has a simple covariance structure and it is related to two generalizations…
The aim of this paper is to present the new results concerning some functionals of Brownian motion with drift and present their applications in financial mathematics. We find a probabilistic representation of the Laplace transform of…
We study the estimation of the invariant density of additive fractional stochastic differential equations with Hurst parameter $H \in (0,1)$. We first focus on continuous observations and develop a kernel-based estimator achieving faster…
We introduce a new sphericalization mapping for metric spaces that is applicable in very general situations, including totally disconnected fractal type sets. For an unbounded complete metric space which is uniformly perfect at a base point…
The large deviations analysis of solutions to stochastic differential equations and related processes is often based on approximation. The construction and justification of the approximations can be onerous, especially in the case where the…
In quasicrystals, there are not only conventional, but also phason displacement fields and associated Burgers vectors. We have calculated approximate solutions for the elastic fields induced by two-, three- and fivefold straight screw- and…