Related papers: Poisson stochastic integration in Banach spaces
Bayesian methods have been widely used in the last two decades to infer statistical properties of spatially variable coefficients in partial differential equations from measurements of the solutions of these equations. Yet, in many cases…
We study stochastic evolution equations driven by Gaussian noise. The key features of the model are that the operators in the deterministic and stochastic parts can have the same order and the noise can be time-only, space-only, or…
Given a mean zero functional $F$ of a Poisson measure on a metric space, we apply the Malliavin-Stein method to establish sharpened second-order Poincar\'e inequalities for $F/\sqrt{\operatorname{Var} (F)}$ in terms of fourth moments of…
We prove sharp maximal inequalities for $L^q$-valued stochastic integrals with respect to any Hilbert space-valued local martingale. Our proof relies on new Burkholder-Rosenthal type inequalities for martingales taking values in an…
A representation of the sharp coefficient in a pointwise estimate for the gradient of the generalized Poisson integral of a function $f$ on ${\mathbb R}^n$ is obtained under the assumption that $f$ belongs to $L^p$. The explicit value of…
We construct planar semimartingales that include the Walsh Brownian motion as a special case, and derive Harrison-Shepp-type equations and a change-of-variable formula in the spirit of Freidlin-Sheu for these so-called "Walsh…
We are concerned with scaling limits of the solutions to stochastic differential equations with stationary coefficients driven by Poisson random measures and Brownian motions. We state an annealed convergence theorem, in which the limit…
This work contributes a systematic survey and complementary insights of reflecting Brownian motion and its properties. Extension of the Skorohod problem's solution to more general cases is investigated, based on which a discussion is…
We develop a Monte Carlo wave function algorithm for the quantum linear Boltzmann equation, a Markovian master equation describing the quantum motion of a test particle interacting with the particles of an environmental background gas. The…
The main result says that every surjective isometry between two ideal Banach function spaces satisfying certain conditions can be presented as a composition of a measurable transformation of a variable and multiplication by a function.
We apply general moment identities for Poisson stochastic integrals with random integrands to the computation of the moments of Markovian growth-collapse processes. This extends existing formulas for mean and variance available in the…
We propose a class of numerical integration methods for stochastic Poisson systems (SPSs) of arbitrary dimensions. Based on the Darboux-Lie theorem, we transform the SPSs to their canonical form, the generalized stochastic Hamiltonian…
We study Gaussian random fields on certain Banach spaces and investigate conditions for their existence. Our results apply inter alia to spaces of Radon measures and H\"older functions. In the former case, we are able to define Gaussian…
Recent experiments on Brownian colloidal particles have been studied theoretically in terms of overdamped Langevin equations with multiplicative white noise using an unconventional stochastic interpretation. Complementary numerical…
In this work we introduce a theory of stochastic integration for operator-valued integrands with respect to some classes of cylindrical martingale-valued measures in Hilbert spaces. The integral is constructed via the radonification of…
We establish a local function version of a classical result claiming that a bivector field on a manifold $M$ is Poisson if and only if cotangent paths form a coisotropic set of the infinite dimensional symplectic manifold of paths valued in…
We introduce the concept of partial Poisson structure on a manifold $M$ modelled on a convenient space. This is done by specifying a (weak) subbundle $T^{\prime}M$ of $T^{\ast}M$ and an antisymmetric morphism $P:T^{\prime}M\rightarrow TM$…
Let $G$ be a locally compact group and $\pi$ a representation of $G$ by weakly^* continuous isometries acting in a dual Banach space $E$. Given a probability measure $\mu$ on $G$ we study the Choquet-Deny equation $\pi(\mu)x=x$, $x\in E$.…
We study Wiener-type covering lemmas, Hardy-Littlewood-type maximal functions, and convergence theorems on metric spacs. Later we specialize down to a result for the Poisson integral. We show that, in a suitably general setting, these three…
By using Malliavin calculus and multiple Wiener-It\^o integrals, we study the existence and the regularity of stochastic currents defined as Skorohod (divergence) integrals with respect to the Brownian motion and to the fractional Brownian…