Related papers: Conditional G-expectation in $\mathbb{L}^{p}$ and …
In this note we consider regularity theory for a fractional $p$-Laplace operator which arises in the complex interpolation of the Sobolev spaces, the $H^{s,p}$-Laplacian. We obtain the natural analogue to the classical $p$-Laplacian…
Dupire's functional It\^o calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices. In this paper, we introduce a measure of…
We extend the synthetic theories of discrete and Gaussian categorical probability by introducing a diagrammatic calculus for reasoning about hybrid probabilistic models in which continuous random variables, conditioned on discrete ones,…
In this note we consider weighted conditional type operators between different Orlicz spaces and generalized conditional type Holder inequality that we defined in [2]. Then we give some necessary and sufficient conditions for boundedness of…
For a series of Markov processes we prove stochastic duality relations with duality functions given by orthogonal polynomials. This means that expectations with respect to the original process (which evolves the variable of the orthogonal…
U-statistics constitute a large class of estimators, generalizing the empirical mean of a random variable $X$ to sums over every $k$-tuple of distinct observations of $X$. They may be used to estimate a regular functional $\theta(P_{X})$ of…
We derive the equations of celestial mechanics governing the variations of the orbital elements under a stochastic perturbation generalizing the classical Gauss equations. Explicit formulas are given for the semi-major axis, the…
The `local time on curves' formula of Peskir provides a stochastic change of variables formula for a function whose derivatives may be discontinuous over a time-dependent curve, a setting which occurs often in applications in optimal…
The objective of this paper is to deepen the understanding of the connection between the continuous and smooth dependence of solutions on initial conditions and the regularity of the history functionals for retarded functional differential…
We show that a substantial portion of stochastic calculus can be developed along similar lines to ordinary calculus, with derivative-based concepts driving the development. We define a notion of stopping derivative, which is a form of right…
In this paper we provide a physical interpretation of It\^o-process resulting in thermal equilibrium distribution of a Brownian particle experiencing coordinate dependent diffusion. Since the local quantities like diffusivity would go…
We show that the existence of a continuous conditional expectation from a Fell bundle to a Fell subbundle implies that the full cross-sectional C*-algebra of the subbundle is contained in the full cross-sectional C*-algebra of the bundle,…
Many key quantities in statistics and probability theory such as the expectation, quantiles, expectiles and many risk measures are law-determined maps from a space of random variables to the reals. We call such a law-determined map, which…
Many real-world systems exhibit ``noisy'' evolution in time; interpreting their finitely-sampled behavior as arising from continuous-time processes (in the It\^o or Stratonovich sense) has led to significant success in modeling and analysis…
The classical law of the iterated logarithm (LIL for short)as fundamental limit theorems in probability theory play an important role in the development of probability theory and its applications. Strassen (1964) extended LIL to large…
In this paper, we prove the unique existence and investigate the $L^{p}$-regularity of solutions to stochastic partial differential equations in Hilbert spaces associated with pseudo-differential operators, driven by Hilbert space-valued…
We consider general subordination and obtain the formula of the subordinated predictable compensator. An example of application is given.
The Segal conjecture describes stable maps between classifying spaces in terms of (virtual) bisets for the finite groups in question. Along these lines, we give an algebraic formula for the p-completion functor applied to stable maps…
We present an alternative derivation of the pair correlation function for simple classical fluids by using a variational approach. That approach involves the conditional probability p(3,..., N /1, 2) of an undefined system of N particles…
We give a natural definition of a Poisson Differential Algebra. Consistence conditions are formulated in geometrical terms. It is found that one can often locally put the Poisson structure on differential calculus in a simple canonical form…