Related papers: Stochastic manifolds
Consider stochastic functional differential equations, whose coefficients depend on past histories. The solution determines a non-Markov process. In the present paper, we shall obtain the existence of smooth densities for joint…
In this paper we study rough differential equations driven by Gaussian rough paths from the viewpoint of Malliavin calculus. Under mild assumptions on coefficient vector fields and underlying Gaussian processes, we prove that solutions at a…
By using Malliavin calculus, explicit derivative formulae are established for a class of semi-linear functional stochastic partial differential equations with additive or multiplicative noise. As applications, gradient estimates and Harnack…
A well-known problem in Malliavin calculus concerns the relation between the determinant of the Malliavin matrix of a random vector and the determinant of its covariance matrix. We give an explicit relation between these two determinants…
Random invariant manifolds often provide geometric structures for understanding stochastic dynamics. In this paper, a dynamical approximation estimate is derived for a class of stochastic partial differential equations, by showing that the…
We provide sufficient conditions for the existence and uniqueness of solutions to a stochastic differential equation which arises in a price impact model. These conditions are stated as smoothness and boundedness requirements on utility…
In this paper we derive a efficient Monte Carlo approximation for the price of path-dependent derivatives under the multiscale stochastic volatility models of Fouque \textit{et al}. Using the formulation of this pricing problem under the…
In this article we present an intrinsec construction of foliated Brownian motion via stochastic calculus adapted to foliation. The stochastic approach together with a proposed foliated vector calculus provide a natural method to work on…
We relate some basic constructions of stochastic analysis to differential geometry, via random walk approximations. We consider walks on both Riemannian and sub-Riemannian manifolds in which the steps consist of travel along either…
On a symplectic manifold, there is a natural elliptic complex replacing the de Rham complex. It can be coupled to a vector bundle with connection and, when the curvature of this connection is constrained to be a multiple of the symplectic…
In this paper we introduce a class of forward-backward stochastic differential equations on tensor fields of Riemannian manifolds, which are related to semi-linear parabolic partial differential equations on tensor fields. Moreover, we will…
This essay explores the meaning of stochastic differential equations and stochastic integrals. It sets these subjects in a context of Riemann-Stieltjes integration. It is intended as a comment or supplement to \cite{MTRV}.
We analyze a variational time discretization of geodesic calculus on finite- and certain classes of infinite-dimensional Riemannian manifolds. We investigate the fundamental properties of discrete geodesics, the associated discrete…
In this work cylindrical Wiener processes on Banach spaces are defined by means of cylindrical stochastic processes, which are a well considered mathematical object. This approach allows a definition which is a simple straightforward…
We establish the Malliavin differentiability of McKean-Vlasov stochastic differential equations (MV-SDEs) with common noise under the global Lipschitz assumption in the space variable and the measure variable. Our result gives also meaning…
The aim of this paper is to study the relationship between Hamiltonian dynamics and constrained variational calculus. We describe both using the notion of Lagrangian submanifolds of convenient symplectic manifolds and using the so-called…
A differential calculus on an associative algebra A is an algebraic analogue of the calculus of differential forms on a smooth manifold. It supplies A with a structure on which dynamics and field theory can be formulated to some extent in…
Invariant manifolds provide the geometric structures for describing and understanding dynamics of nonlinear systems. The theory of invariant manifolds for both finite and infinite dimensional autonomous deterministic systems, and for…
We develop a Malliavin calculus for nonlinear Hawkes processes in the sense of Carlen and Pardoux. This approach, based on perturbations of the jump times of the process, enables the construction of a local Dirichlet form. As an…
This paper presents a continuous and discrete Lagrangian theory for stochastic Hamiltonian systems on manifolds. The main result is to derive stochastic governing equations for such systems from a critical point of a stochastic action.…