Related papers: Conditional G-expectation in $\mathbb{L}^{p}$ and …

The aim of this paper is to bring together a new type of quantum calculus, namely $p $-calculus, and variational calculus. We develop $p $-variational calculus and obtain a necessary optimality condition of Euler-Lagrange type and a…

We provide a general approach to construct a stochastic process with a given consistent family of finite dimensional distributions under a nonlinear expectation space. We use this approach to construct a generalized Gaussian process under a…

This paper is concerned with the connection between G-Brownian Motion and analytic functions. We introduce the complex version of sublinear expectation, and then do the stochastic analysis in this framework. Furthermore, the conformal…

Motivated by the study of existence, uniqueness and regularity of solutions to stochastic partial differential equations driven by jump noise, we prove It\^{o} isomorphisms for $L^p$-valued stochastic integrals with respect to a compensated…

We present a symbolic machinery that admits both probabilistic and causal information about a given domain and produces probabilistic statements about the effect of actions and the impact of observations. The calculus admits two types of…

We extend some aspects of the Hamilton-Jacobi theory to the category of stochastic Hamiltonian dynamical systems. More specifically, we show that the stochastic action satisfies the Hamilton-Jacobi equation when, as in the classical…

In this paper, we establish Girsanov's formula for $G$-Brownian motion. Peng (2007, 2008) constructed $G$-Brownian motion on the space of continuous paths under a sublinear expectation called $G$-expectation; as obtained by Denis et al.…

In this book, we introduce a new approach of sublinear expectation to deal with the problem of probability and distribution model uncertainty. We a new type of (robust) normal distributions and the related central limit theorem under…

In statistical physics lately a specific kind of average, called the q-expectation value, has been extensively used in the context of q-generalized statistics dealing with distributions following power-laws. In this context q-expectation…

Gibbs-type random probability measures and the exchangeable random partitions they induce represent an important framework both from a theoretical and applied point of view. In the present paper, motivated by species sampling problems, we…

Let $\Omega$ be a Polish space with Borel $\sigma$-field $\mathcal{F}$ and countably generated sub $\sigma$-field $\mathcal{G}\subset\mathcal{F}$. Denote by $\mathcal{L}(\mathcal{F})$ the set of all bounded $\mathcal{F}$-upper semianalytic…

Stochastic parabolic integro-differential problem is considered in the whole space. By verifying H\"ormander condition, the existence and uniqueness is proved in Lp-spaces of functions whose regularity is defined by a scalable Levy measure.…

The definition of conditional probability in case of continuous distributions was an important step in the development of mathematical theory of probabilities. How can we define this notion in algorithmic probability theory? In this survey…

Let $L$ be a one-to-one operator of type $\omega$ in $L^2(\mathbb{R}^n)$, with $\omega\in[0,\,\pi/2)$, which has a bounded holomorphic functional calculus and satisfies the Davies-Gaffney estimates. Let $p(\cdot):\ \mathbb{R}^n\to(0,\,1]$…

It is shown that under a certain condition on a semimartingale and a time-change, any stochastic integral driven by the time-changed semimartingale is a time-changed stochastic integral driven by the original semimartingale. As a direct…

In this paper we consider an SPDE where the leading term is a second order operator with periodic boundary conditions, coefficients which are measurable in $(t,\omega)$, and H\"older continuous in space. Assuming stochastic parabolicity…

We develop the foundations of Algebraic Stochastic Calculus, with an aim to replacing what is typically referred to as Stochastic Calculus by a purely categorical version thereof. We first give a sheaf theoretic reinterpretation of…

We construct a pathwise calculus for functionals of integer-valued measures and use it to derive an martingale representation formula with respect to a large class of integer-valued random measures. Using these results, we extend the…

We introduce a variable exponent version of the Hardy space of analytic functions on the unit disk, we show some properties of the space, and give an example of a variable exponent $p(\cdot)$ that satisfies the $\log$-H\"older condition…

In this paper we prove the existence of conditional expectations in the noncommutative $L_p(M,\Phi)$ spaces associated with center-valued traces. Moreover, their description is also provided. As an application of the obtained results, we…