Related papers: Forward integration, convergence and nonadapted po…
This article deals with the limit distribution for a stochastic differential equation driven by a non-symmetric cylindrical $\alpha$-stable process. Under suitable conditions, it is proved that the solution of this equation converges weakly…
We derive scaling limits for integral functionals of It\^o processes with fast nonlinear mean-reversion speed. We show that in these limits, the fast mean-reverting process is "averaged out" by integrating against its invariant measure.…
In backward error analysis, an approximate solution to an equation is compared to the exact solution to a nearby modified equation. In numerical ordinary differential equations, the two agree up to any power of the step size. If the…
Using lattice approximations of Euclidean space, we develop a way to approximate stable processes that are represented by stochastic integrals over Euclidean space. Via a stable version of the Lindeberg-Feller Theorem we show that the…
We consider processes which have the distribution of standard Brownian motion (in the forward direction of time) starting from random points on the trajectory which accumulate at $-\infty$. We show that these processes do not have to have…
In this paper, we study the H\"older regularity of set-indexed stochastic processes defined in the framework of Ivanoff-Merzbach. The first key result is a Kolmogorov-like H\"older-continuity Theorem, whose novelty is illustrated on an…
It is well known that Brownian motion enjoys several distributional invariances such as the scaling property and the time reversal. In this paper, we prove another invariance of Brownian motion that is compatible with the time reversal. The…
In this paper we give necessary and sufficient conditions for a cylindrical continuous local martingale to be the stochastic integral with respect to a cylindrical Brownian motion. In particular we consider the class of cylindrical…
This paper investigates the numerical approximation of integrals for functions in fractional Gaussian Sobolev spaces $W^s_{p}(\mathbb{R}^d,\gamma)$ with dominating mixed smoothness defined via kernel related to the fractional…
Fractional Brownian motion is a Gaussian stochastic process with stationary, long-time correlated increments and is frequently used to model anomalous diffusion processes. We study numerically fractional Brownian motion confined to a finite…
The forward-backward splitting algorithm is a popular operator-splitting method for solving monotone inclusion of the sum of a maximal monotone operator and a cocoercive operator. In this paper, we present a new convergence analysis of a…
In the last decade the subordinated processes have become popular and found many practical applications. Therefore in this paper we examine two processes related to time-changed (subordinated) classical Brownian motion with drift (called…
We present a forward-backward-based algorithm to minimize a sum of a differentiable function and a nonsmooth function, both being possibly nonconvex. The main contribution of this work is to consider the challenging case where the nonsmooth…
A "Bochner-type" integral for vector lattice-valued functions with respect to (possibly infinite) vector lattice-valued measures is presented with respect to abstract convergences, satisfying suitable axioms, and some fundamental properties…
In this paper, we develop a Young integration theory in dimension 2 which will allow us to solve a non-linear one dimensional wave equation driven by an arbitrary signal whose rectangular increments satisfy some H\"{o}lder regularity…
We prove that a set-indexed process is a set-indexed fractional Brownian motion if and only if its projections on all the increasing paths are one-parameter time changed fractional Brownian motions. As an application, we present an integral…
This work is concerned with the classical problem of finding a zero of a sum of maximal monotone operators. For the projective splitting framework recently proposed by Combettes and Eckstein, we show how to replace the fundamental…
Proper splittings of operators are commonly used to study the convergence of iterative processes. In order to approximate solutions of operator equations, in this article we deal with proper splittings of closed range bounded linear…
The paper obtains the general form of the cross-covariance function of vector fractional Brownian motion with correlated components having different self-similarity indices.
Under continuity and recurrence assumptions, we prove that the iteration of successive partial symmetrizations that form a time-homogeneous Markov process, converges to a symmetrization. We cover several settings, including the…