Related papers: The Stochastic First Integrals, Kernel Functions f…
In this paper, we consider spectral approximation of fractional differential equations (FDEs). A main ingredient of our approach is to define a new class of generalized Jacobi functions (GJFs), which is intrinsically related to fractional…
We use generalized kernel functions to construct explicit solutions by integrals of the non-stationary Schr\"odinger equation for the Hamiltonian of the elliptic Calogero-Sutherland model (also known as elliptic…
We propose nonparametric estimators for the second-order central moments of possibly anisotropic spherical random fields, within a functional data analysis context. We consider a measurement framework where each random field among an…
This paper is devoted to the fractional generalization of the Fokker-Planck equation associated with a stochastic differential equation in a bounded domain. The driving process of the stochastic differential equation is a L\'evy process…
We consider the problem of inferring the interaction kernel of stochastic interacting particle systems from observations of a single particle. We adopt a semi-parametric approach and represent the interaction kernel in terms of a…
Several versions of It\^{o}'s formula have been obtained in the context of the functional stochastic calculus. Here, we revisit this topic in two ways. First, by defining a notion of derivative along a functional, we extend the setting of…
This paper is devoted to a construction of the stochastic It\^o integral with respect to infinite dimensional cylindrical Wiener process. The construction given is an alternative one to that introduced by DaPrato and Zabczyk [3]. The…
We propose a numerical solution for the solution of the Fokker-Planck-Kolmogorov (FPK) equations associated with stochastic partial differential equations in Hilbert spaces. The method is based on the spectral decomposition of the…
We present the Walsh theory of stochastic integrals with respect to martingale measures, alongside of the Da Prato and Zabczyk theory of stochastic integrals with respect to Hilbert-space-valued Wiener processes and some other approaches to…
Usually such area of mathematics as differential equations acts as a consumer of results given by functional analysis. This article will give an example of the reverse interaction of these two fields of knowledge. Namely, the derivation and…
Previous results pertaining to algebraic state and parameter estimation of linear systems based on a special construction of a forward-backward kernel representation of linear differential invariants are extended to handle large noise in…
Generalised Ito formulae are proved for time dependent functions of continuous real valued semi-martingales. The conditions involve left space and time first derivatives, with the left space derivative required to have locally bounded…
This paper studies fractional integral operator for vector fields in weighted $L^1$. Using the estimates on fractional integral operator and Stein-Weiss inequalities, we can give a new proof for a class of Caffarelli-Kohn-Nirenberg…
In this paper we calculate some Generalized Selberg integrals. The answer is expressed in terms of $\Gamma$-functions. Integrals of this type serve as normalization constants or directly via undoing 2-D integrals for determination of…
We prove the Ito-Tanaka formula and the existence of pathwise stochastic integrals for a wide class of Gaussian processes. Motivated by financial applications, we define the stochastic integrals as forward-type pathwise integrals introduced…
We obtain the Plancherel decomposition for a reductive symmetric space in the sense of representation theory. Our starting point is the Plancherel formula for spherical Schwartz functions, obtained in part I (math.RT/0107063). The formula…
We establish heat kernel and gradient estimates for the density of kinetic degenerate Kolmogorov stochastic differentia equations. Our results are established under somehow minimal assumptions that guarantee the SDE is weakly well posed.
Given a Gaussian stationary increment processes with spectral density, we show that a Wick-Ito integral with respect to this process can be naturally obtained using Hida's white noise space theory. We use the Bochner-Minlos theorem to…
The objects under investigation are the stochastic integrals with respect to free Levy processes. We define such integrals for square-integrable integrands, as well as for a certain general class of bounded integrands. Using the product…
We consider a method for the approximation of iterated stochastic integrals of arbitrary multiplicity $k$ $(k\in \mathbb{N})$ with respect to the infinite-dimensional $Q$-Wiener process using the mean-square approximation method of iterated…