Related papers: Poisson stochastic integration in Banach spaces
We provide a general framework for the study of valuations on Banach lattices. This complements and expands several recent works about valuations on function spaces, including $L_p(\mu)$, Orlicz spaces and spaces $C(K)$ of continuous…
In this paper, we establish a probabilistic representation as well as some integration by parts formulae for the marginal law at a given time maturity of some stochastic volatility model with unbounded drift. Relying on a perturbation…
In recent years, infinite-dimensional methods have been introduced for the Gaussian channels estimation. The aim of this paper is to study the application of similar methods to Poisson channels. In particular we compute the Bayesian…
We consider the problem of estimating the asymptotic variance of a function defined on a Markov chain, an important step for statistical inference of the stationary mean. We design a novel recursive estimator that requires $O(1)$…
Using Malliavin operators together with an interpolation technique inspired by Arratia, Goldstein and Gordon (1989), we prove a new inequality on the Poisson space, allowing one to measure the distance between the laws of a general random…
Stochastic approximation is a powerful class of algorithms with celebrated success. However, a large body of previous analysis focuses on stochastic approximations driven by contractive operators, which is not applicable in some important…
In this paper we use a Malliavin-Stein type method to investigate Poisson and normal approximations for the measurable functions of infinitely many independent random variables. We combine Stein's method with the difference operators in…
In this paper we introduce a Hilbert space-valued Malliavin calculus for Poisson random measures. It is solely based on elementary principles from the theory of point processes and basic moment estimates, and thus allows for a simple…
We investigate the conditional distributions of two Banach space valued, jointly Gaussian random variables. In particular, we show that these conditional distributions are again Gaussian and that their means and covariances can be…
In this survey, we present several results related to characterizing the surjective isometries on Banach sequence spaces. Our survey includes full proofs of these characterizations for the classical spaces as well as more recent results for…
The covariant Poisson equation for Lie algebra-valued mappings defined in 3-dimensional Euclidean space is studied using functional analytic methods. Weighted covariant Sobolev spaces are defined and used to derive sufficient conditions for…
In this paper we examine various approaches to the notion of Poisson manifold in the context of Banach manifolds. Existing definitions are presented and differences between them are explored and illustrated with examples.
Stochastic antiderivational equations on Banach spaces over local non-Archimedean fields are investigated. Theorems about existence and uniqiuness of the solutions are proved under definite conditions. In particular Wiener processes are…
In this article, we primarily propose a novel Bayesian characterization of stationary and nonstationary stochastic processes. In practice, this theory aims to distinguish between global stationarity and nonstationarity for both parametric…
In this work we introduce a theory of stochastic integration with respect to general cylindrical semimartingales defined on a locally convex space $\Phi$. Our construction of the stochastic integral is based on the theory of tensor products…
In this paper, we establish an Alekseev--Gr\"obner formula for stochastic differential equations (SDEs) driven by a Poisson random measure, which express the global error between a functional of two processes solution of SDEs started at the…
A stochastic sewing lemma which is applicable for processes taking values in Banach spaces is introduced. Applications to additive functionals of fractional Brownian motion of distributional type are discussed.
We introduce non-linear versions of the classical cotype of Banach spaces. We show that spaces with l.u.st and cotype, and that spaces having Fourier cotype enjoy our non-linear cotype. We apply these concepts to get results on convergence…
The paper studies stochastic integration with respect to Gaussian processes and fields. It is more convenient to work with a field than a process: by definition, a field is a collection of stochastic integrals for a class of deterministic…
The intrinsic volumes induced by a stationary Poisson k-flat process inside a compact and convex sampling window are considered. Using techniques from stochastic analysis, more precisely calculus with multiple stochastic integrals and a…