Related papers: Integration formulas for Brownian motion on classi…
We propose some class of statistics suitable for estimation of the Hurst index of the fractional Brownian motion based on the second order increments of an observed discrete trajectory.
For degenerate stochastic differential equations driven by fractional Brownian motions with Hurst parameter $H>1/2$, the derivative formulas are established by using Malliavin calculus and coupling method, respectively. Furthermore, we find…
We compute the stable homology of the braid group with coefficients in any Schur functor applied to the integral reduced Burau representation. This may be considered as a hyperelliptic analogue of the Mumford conjecture (Madsen--Weiss…
This is a survey of recent results on classification of compact quantum groups of Lie type, by which we mean quantum groups with the same fusion rules and dimensions of representations as for a compact connected Lie group $G$. The…
We develop techniques of analyzing the unitarity of general Born-Infeld (BI) gravity actions in D-dimensional spacetimes. Determinantal form of the action allows us to find a compact expression quadratic in the metric fluctuations around…
The indefinite integral of the homogenized Ornstein-Uhlenbeck process is a well-known model for physical Brownian motion, modelling the behaviour of an object subject to random impulses [L. S. Ornstein, G. E. Uhlenbeck: On the theory of…
This paper studies the law of any power of the integral of geometric Brownian motion over any finite time interval. As its main results, two integral representations for this law are derived. This is by enhancing the Laplace transform…
In 2005, Nualart and Peccati showed the so-called Fourth Moment Theorem asserting that, for a sequence of normalized multiple Wiener-It\^o integrals to converge to the standard Gaussian law, it is necessary and sufficient that its fourth…
A covariant hamiltonian formalism for the dynamics of compact spinning bodies in curved space-time in the test-particle limit is described. The construction allows a large class of hamiltonians accounting for specific properties and…
In this paper, firstly, we generalize the definition of the bifractional Brownian motion $B^{H,K}:=\Big(B^{H,K}\;;\;t\geq 0\Big)$, with parameters $H\in(0,1)$ and $K\in(0,1]$, to the case where $H$ is no longer a constant, but a function…
In the first paper of this series, I investigated whether a wavefunction model of a heavy particle and a collection of light particles might generate "Brownian-Motion-Like" trajectories of the heavy particle. I concluded that it was…
We consider certain questions pertaining to noncommutative generalized Brownian motions with multiple processes. We establish a framework for generalized Brownian motion with multiple processes similar to that defined by Guta and prove…
A homological construction of integrals of motion of the classical and quantum Toda field theories is given. Using this construction, we identify the integrals of motion with cohomology classes of certain complexes, which are modeled on the…
Compact binaries consisting of neutron stars / black holes on eccentric orbit undergo a perturbed Keplerian motion. The perturbations are either of relativistic origin or are related to the spin, mass quadrupole and magnetic dipole moments…
The signature of Brownian motion in $\mathbb{R}^{d}$ over a running time interval $[0,T]$ is the collection of all iterated Stratonovich path integrals along the Brownian motion. We show that, in dimension $d\geq 2$, almost all Brownian…
The Hamiltonian approach to the theory of dual isomonodromic deformations is developed within the framework of rational classical R-matrix structures on loop algebras. Particular solutions to the isomonodromic deformation equations…
By considering a counting-type argument on Brownian sample paths, we prove a result similar to that of Orey and Taylor on the exact Hausdorff dimension of the rapid points of Brownian motion. Because of the nature of the proof we can then…
We provide a description of the Drinfeld-Sokolov Hamiltonian reduction for the construction of classical W-algebras within the framework of Poisson vertex algebras. In this context, the gauge group action on the phase space is translated in…
In this paper we prove exact forms of large deviations for local times and intersection local times of fractional Brownian motions and Riemann-Liouville processes. We also show that a fractional Brownian motion and the related…
In this paper, we study the existence and uniqueness of a class of stochastic differential equations driven by fractional Brownian motions with arbitrary Hurst parameter $H\in (0,1)$. In particular, the stochastic integrals appearing in the…