Related papers: Stochastic Calculus for Markov Processes Associate…
The coefficients of the stochastic differential equations with Markovian switching (SDEwMS) additionally depend on a Markov chain and there is no notion of differentiating such functions with respect to the Markov chain. In particular, this…
The method of potential solutions of Fokker-Planck equations is used to develop a transport equation for the joint probability of N coupled stochastic variables with the Dirichlet distribution as its asymptotic solution. To ensure a bounded…
The tau-function formalism for a class of generalized ``zero-curvature'' integrable hierarchies of partial differential equations, is constructed. The class includes the Drinfel'd-Sokolov hierarchies. A direct relation between the variables…
New algorithms for computing of asymptotic expansions for stationary distributions of nonlinearly perturbed semi-Markov processes are presented. The algorithms are based on special techniques of sequential phase space reduction, which can…
We present embedding procedures for the non-Markovian stochastic Schr\"{o}dinger equations, arising from studies of quantum systems coupled with bath environments. By introducing auxiliary wave functions, it is demonstrated that the…
Under the framework of G-expectation and G-Brownian motion, we introduce It\^o's integral for stochastic processes without assuming quasi-continuity. Then we can obtain It\^o's integral on stopping time interval. This new formulation…
We identify the linear space spanned by the real-valued excessive functions of a Markov process with the set of those functions which are quasimartingales when we compose them with the process. Applications to semi-Dirichlet forms are…
We present a detailed analysis of non-degenerate time-homogeneous It\^o-stochastic differential equations with low local regularity assumptions on the coefficients. In particular the drift coefficient may only satisfy a local integrability…
In this article, we consider additive functionals $\zeta_t = \int_0^t f(X_s)\mathrm{d} s$ of a c\`adl\`ag Markov process $(X_t)_{t\geq 0}$ on $\mathbb{R}$. Under some general conditions on the process $(X_t)_{t\geq 0}$ and on the function…
This article is focused on the asymptotic expansions, as time tends to infinity, of solutions of a system of ordinary differential equations with non-smooth nonlinear terms. The forcing function decays to zero in a very complicated but…
By introducing a color filtration to the multiplicity space, we extend the quantum Ito calculus on multiple symmetric Fock space to the framework of filtered adapted biprocesses. In this new notion of adaptedness,``classical'' time…
We consider inequalities where integrals are defined in the sense of Choquet with respect to Hausdorff content. We study cases where continuously differentiable functions are defined on open, connected sets with so much regularity that…
Markov branching systems form a fundamental class of stochastic models that are extensively applied in biology, physics, finance, and other domains. These systems are distinguished by their continuous-time evolution and inherent branching…
In the present article, the author uses Fourier theory of tempered distributions (generalized functions) in deriving a formula for Dirichlet-like integrals. The applied method is remarkably efficient and allows a solution in a few…
We give exact formulae for a wide family of complexity measures that capture the organization of hidden nonlinear processes. The spectral decomposition of operator-valued functions leads to closed-form expressions involving the full…
In this paper, we introduce an index which measures the strength of recurrence of symmetric Markov processes, and give some sufficient conditions for recurrence of direct products of symmetric diffusion processes. The index is given by the…
We propose new continuous-time formulations for first-order stochastic optimization algorithms such as mini-batch gradient descent and variance-reduced methods. We exploit these continuous-time models, together with simple Lyapunov analysis…
We extend the Dirichlet principle to non-reversible Markov processes on countable state spaces. We present two variational formulas for the solution of the Poisson equation or, equivalently, for the capacity between two disjoint sets. As an…
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…
In this paper we first establish an It\^o formula for a finite quadratic variation process $X$ expanding $f(t,X_t),$ when $f$ is of class $C^2$ in space and is absolutely continuous in time. Second, via a Fukushima-Dirichlet decomposition…