Related papers: A variational representation for G-Brownian functi…
This paper provides yet another look at the mixed fractional Brownian motion (fBm), this time, from the spectral perspective. We derive an approximation for the eigenvalues of its covariance operator, asymptotically accurate up to the…
We describe a general framework of functional and Fourier analysis on domains with a free action of an Abelian Lie group $G$. Namely, on a domain of the form $G\times Y$ we introduce the appropriate spaces of distributions and measurable…
In this paper we revisit the integral functional of geometric Brownian motion $I_t= \int_0^t e^{-(\mu s +\sigma W_s)}ds$, where $\mu\in\mathbb{R}$, $\sigma > 0$, and $(W_s )_s>0$ is a standard Brownian motion. Specifically, we calculate the…
In this paper, we prove the Girsanov formula for $G$-Brownian motion without the non-degenerate condition. The proof is based on the perturbation method in the nonlinear setting by constructing a product space of the $G$-expectation space…
A method of calculation for the variational derivatives for gravitational actions in the pseudo-Riemannian case is proposed as a practical variant of the first order formalism with constraints. The method is then used to derive the metric…
This paper is focused on $f$-divergences, consisting of three main contributions. The first one introduces integral representations of a general $f$-divergence by means of the relative information spectrum. The second part provides a new…
The signature of a sample path is a formal series of iterated integrals along the path. The expected signature of a stochastic process gives a summary of the process that is especially useful for studying stochastic differential equations…
This paper presents a new estimator of the global regularity index of a multifractional Brownian motion. Our estimation method is based upon a ratio statistic, which compares the realized global quadratic variation of a multifractional…
In this article we study the connection of fractional Brownian motion, representation theory and reflection positivity in quantum physics. We introduce and study reflection positivity for affine isometric actions of a Lie group on a Hilbert…
In this paper, we prove maximal inequalities and study the functional central limit theorem for the partial sums of linear processes generated by dependent innovations. Due to the general weights, these processes can exhibit long-range…
In this article we will present a new perspective on the variable order fractional calculus, which allows for differentiation and integration to a variable order, i.e. one differentiates (or integrates) a function along the path of a…
We consider the paths of a Gaussian random process $x(t)$, $x(0)=0$ not exceeding a fixed positive level over a large time interval $(0,T)$, $T\gg 1$. The probability $p(T)$ of such event is frequently a regularly varying function at…
In this paper, we revisit the diffusive representations of fractional integrals established in \cite{diethelm2023diffusive} to explore novel variants of such representations which provide highly efficient numerical algorithms for the…
Variational calculations using Gaussian wave functionals combined with an approximate projection on gauge invariant states are presented. We find that the energy exhibits a minimum for a wave functional centered around a non vanishing…
We give a very simple and elementary proof of the existence of a weakly compact family of probability measures $\{P_{\theta}:\theta \in \Theta \}$ to represent an important sublinear expectation--G-expectation $\mathbb{E}[\cdot]$. We also…
It is argued that the evolution of complex phenomena ought to be described by fractional, differential, stochastic equations whose solutions have scaling properties and are therefore random, fractal functions. To support this argument we…
The aim of this paper is to represent any polynomial in terms of the degenerate Frobenius-Euler polynomials and more generally of the higher-order degenerate Frobenius-Euler polynomials. We derive explicit formulas with the help of umbral…
Under general conditions, the equation $g(x^1, ..., x^q, y) = 0$ implicitly defines $y$ locally as a function of $x^1, ..., x^q$. In this article, we express divided differences of $y$ in terms of divided differences of $g$, generalizing a…
Brownian motions in the infinite-dimensional group of all unitary operators are studied under strong continuity assumption rather than norm continuity. Every such motion can be described in terms of a countable collection of independent…
A multidimensional Brownian motion with partial reflection on a hyperplane $S$ in the direction $qN+\alpha $, where $N$ is the conormal vector to the hyperplane and $q\in [-1,1], \alpha \in S$ are given parametres, is constructed and this…