Related papers: A Generalized Ito Formula
New formulas for approximation of zeta-constants were derived on the basis of a number-theoretic approach constructed for the irrationality proof of certain classical constants. Using these formulas it's possible to approximate certain…
A multi-linear variable separation approach is developed to solve a differential-difference Toda equation. The semi-discrete form of the continuous universal formula is found for a suitable potential of the differential-difference Toda…
An existence and uniqueness theorem for a class of stochastic delay differential equations is presented, and the convergence of Euler approximations for these equations is proved under general conditions. Moreover, the rate of almost sure…
In this work, we introduce a new generalized integral transform involving many potentially known or new transforms as special cases. Basic properties of the new integral transform, that investigated in this work, include the existence…
An abstract mathematical framework is presented in this paper as a unification of several deformed or generalized algebra proposed recently in the context of generalized statistical theories intended to treat certain complex thermodynamic…
In this paper we generalize notions of iterated integral with regard to an unpredictable process. We establish a formula of integration by parts, the existence of a continuous modification and give an expression of the increasing process.
The article is devoted to the developement of the method of expansion and mean-square approximation of iterated Ito stochastic integrals based on generalized multiple Fourier series converging in the sense of norm in the space $L_2([t,…
We investigate existence, uniqueness and regularity for solutions of rough parabolic equations of the form $\partial _tu-A_tu-f=(\dot X_t(x) \cdot \nabla + \dot Y_t(x))u$ on $[0,T]\times\mathbb{R}^d.$ To do so, we introduce a concept of…
In this paper we study the existence and continuation of solution to general fractional differential equation with Hilfer fractional derivative. First we establish new local existence theorems. Then we derive the continuation theorems. With…
In this note we present some recent results for Kirchhoff equations in generalized Gevrey spaces. We show that these spaces are the natural framework where classical results can be unified and extended. In particular we focus on existence…
The article is devoted to the construction of expansions of iterated Stratonovich stochastic integrals of fifth, sixth, seventh and eighth multiplicities based on the method of generalized multiple Fourier series converging in the sense of…
Rough stochastic differential equations (RSDEs) are common generalisations of Ito SDEs and Lyons RDEs and have emerged as new tool in several areas of applied probability, including non-linear stochastic filtering, pathwise stochastic…
We consider the identification problem of a noncausal Ito process from its stochastic Fourier coefficients with respect to the complete system of trigonometric functions. Here, a noncausal Ito process is the extension of Ito process whose…
In this paper is described a general 2-nd order accurate (weak sense) procedure for stablizing Monte-Carlo simulations of Ito stochastic differential equations. The splitting procedure includes explicit Runge-Kutta methods, semi-implicit…
For stochastic systems driven by continuous semimartingales an explicit formula for the logarithm of the Ito flow map is given. A similar formula is also obtained for solutions of linear matrix-valued SDEs driven by arbitrary…
In this paper, we propose a semi-implicit Euler scheme to discretize the stochastic nonlinear Maxwell equations with multiplicative Ito noise, which is implicit in the drift term and explicit in the diffusion term of the equations, in order…
Optimization Modulo Theories (OMT) has emerged as an important extension of the highly successful Satisfiability Modulo Theories (SMT) paradigm. The OMT problem requires solving an SMT problem with the restriction that the solution must be…
A simple axiomatic characterization of the general (infinite dimensional, noncommutative) Ito algebra is given and a pseudo-Euclidean fundamental representation for such algebra is described. The notion of Ito B*-algebra, generalizing the…
This article is a guide to theorems on existence and global dynamics of solutions of the Einstein equations. It draws attention to open questions in the field. The local in time Cauchy problem, which is relatively well understood, is…
Nakao's stochastic integrals for continuous additive functionals of zero energy are extended from the symmetric Dirichlet forms setting to the non-symmetric Dirichlet forms setting. Ito's formula in terms of the extended stochastic…