Related papers: New classes of processes in stochastic calculus fo…

We introduce the concept of numerical Gaussian processes, which we define as Gaussian processes with covariance functions resulting from temporal discretization of time-dependent partial differential equations. Numerical Gaussian processes,…

We use the abstract method of (local) martingale problems in order to give criteria for convergence of stochastic processes. Extending previous notions, the formulation we use is neither restricted to Markov processes (or semimartingales),…

We argue that the complex numbers are an irreducible object of quantum probability. This can be seen in the measurements of geometric phases that have no classical probabilistic analogue. Having complex phases as primitive ingredient…

First, classes of Markov processes that scale exactly with a Hurst exponent H are derived in closed form. A special case of one class is the Tsallis density, advertised elsewhere as nonlinear diffusion or diffusion with nonlinear feedback.…

Let $X$ and $Y$ denote two independent squared Bessel processes of dimension $m$ and $n-m$, respectively, with $n\geq 2$ and $m \in [0, n)$, making $X+Y$ a squared Bessel process of dimension $n$. For appropriately chosen function $s$, the…

In this note, we shall consider the existence of invariant measures for a class of infinite dimensional stochastic functional differential equations with delay whose driving semigroup is eventually norm continuous. The results obtained are…

We introduce a class of operators associated with the signature of a smooth path $X$ with values in a $C^{\star}$ algebra $\mathcal{A}$. These operators serve as the basis of Taylor expansions of solutions to controlled differential…

We introduce a new concept of dissipative measure-valued martingale solutions to the stochastic compressible Euler equations. These solutions are weak in the probabilistic sense i.e., the probability space and the driving Wiener process are…

For a $d$-dimensional stochastic process $(S_n)_{n=0}^N$ we obtain criteria for the existence of an equivalent martingale measure, whose density $z$, up to a normalizing constant, is bounded from below by a given random variable $f$. We…

Let $\gamma$ be a Gaussian measure on a locally convex space and $H$ be the corresponding Cameron-Martin space. It has been recently shown by L. Ambrosio and A. Figalli that the linear first-order PDE $$ \dot{\rho} + \mbox{div}_{\gamma}…

A numeration system originally implies a digitization of real numbers, but in this paper it rather implies a compactification of real numbers as a result of the digitization. By definition, a numeration system with $G$, where $G$ is a…

Stochastic symmetries and related invariance properties of finite dimensional SDEs driven by general c\`adl\`ag semimartingales taking values in Lie groups are defined and investigated. In order to enlarge the class of possible symmetries…

In this manuscript we analyse the long-term probability density function of non-stationary dynamical processes which are enclosed inward the Feller class of processes with time varying exponents for multiplicative noise. The update in the…

In credit risk literature, the existence of an equivalent martingale measure is stipulated as one of the main assumptions in the hazard process model. Here we show by construction the existence of a measure that turns the discounted stock…

Multi-type Markov point processes offer a flexible framework for modelling complex multi-type point patterns where it is pertinent to capture both interactions between points as well as large scale trends depending on observed covariates.…

There are some positively divisible non-Markovian processes whose transition matrices satisfy the Chapman-Kolmogorov equation. These processes should also satisfy the Kolmogorov consistency conditions, an essential requirement for a process…

Let $P_n$ and $Q_n$ be two probability measures representing two different probabilistic models of some system (e.g., an $n$-particle equilibrium system, a set of random graphs with $n$ vertices, or a stochastic process evolving over a time…

We consider a semigroup of operators in the Banach space $C_b(H)$ of uniformly continuous and bounded functions on a separable Hilbert space $H$. In particular, we deal with semigroups that are related to solution of stochastic PDEs in $H$…

This paper deals with the problem of measurable lifting modification for stochastic processes in its most general form and with the 'product lifting problem'. Solutions to the positive are reduced to the existence of marginals with respect…

We consider measure-valued processes $X=(X_t)$ that solve the following martingale problem: for a given initial measure $X_0$, and for all smooth, compactly supported test functions $\varphi$, \begin{eqnarray*}X_t(\varphi…