Related papers: Stochastic First Integrals, Kernel Functions for I…
In this article we present the stochastic first integrals (SFI), the generalized It\^o-Wentzell formula and its application for obtaining the equations for SFI, for kernel functions for integral invariants and the Kolmogorov equations,…
Generalization of the It\^{o}-Wentzell formula for the generalized It\^{o}'s SDE (It\^{o}'s GSDE) system with a non-centered measure is constructed on the basis of the stochastic kernel of integral transformation. The It\^{o}'s GSDE system…
Generalization of the It\^{o}-Wentzel formula for the generalized It\^{o}'s SDEs (It\^{o}'s GSDEs) system with not centered measure is constructed. This construction is based on the basis of the stochastic kernel of integral transformation.…
Motivated by applications to stochastic programming, we introduce and study the expected-integral functionals, which are mappings given in an integral form depending on two variables, the first a finite dimensional decision vector and the…
We derive a generalised It\=o formula for stochastic processes which are constructed by a convolution of a deterministic kernel with a centred L\'evy process. This formula has a unifying character in the sense that it contains the classical…
We want to compute the cumulative distribution function of a one-dimensional Poisson stochastic integral $I(\krnl) = \displaystyle \int_0^T \krnl(s) N(ds)$, where $N$ is a Poisson random measure with control measure $n$ and $\krnl$ is a…
This article presents a construction of the concept of stochastic integration in Riemannian manifolds from a purely functional-analytic point of view. We show that there are infinitely many such integrals, and that any two of them are…
We consider two approaches for obtain of the generalized Ito-Wentzell formula: the first way uses the generalized Ito's formula; the second one is based on a concept of kernel functions for integral invariants.
A stochastic solution is constructed for a fractional generalization of the KPP (Kolmogorov, Petrovskii, Piskunov) equation. The solution uses a fractional generalization of the branching exponential process and propagation processes which…
In this paper, we provide variation of constants formulae for linear (forward) stochastic Volterra integral equations (SVIEs, for short) and linear Type-II backward stochastic Volterra integral equations (BSVIEs, for short) in the usual…
In this note we define and study a Hilbert space-valued stochastic integral of operator-valued functions with respect to Hilbert space-valued measures. We show that this integral generalizes the classical Ito stochastic integral of adapted…
This article gives a new insight of kernel-based (approximation) methods to solve the high-dimensional stochastic partial differential equations. We will combine the techniques of meshfree approximation and kriging interpolation to extend…
In this paper, we discuss the generalized integral formula involving Bessel-Struve kernel function $S_{\alpha }\left( \lambda z\right) $, which expressed in terms of generalized Wright functions. Many interesting special cases also obtained…
There have been many proposed forms of fractional calculus, which can be grouped into a few broad classes of operators. By replacing the kernel of the power function with another kernel function, the traditional Riemann-Liouville formula…
We study stochastic convolutions providing by fundamental solutions of a class of integrodifferential equations which interpolate the heat and the wave equations. We give sufficient condition for the existence of function--valued…
We construct the basis of a stochastic calculus for so-called Volterra processes, i.e., processes which are defined as the stochastic integral of a time-dependent kernel with respect to a standard Brownian motion. For these processes which…
We prove change of variables formulas [It\^o formulas] for functions of both arithmetic and geometric averages of geometric fractional Brownian motion. They are valid for all convex functions, not only for smooth ones. These change of…
This paper presents a new type of Gronwall-Bellman inequality, which arises from a class of integral equations with a mixture of nonsingular and singular integrals. The new idea is to use a binomial function to combine the known…
The generalized operators of fractional integration involving Appell's function $F_{3}(.) $ due to Marichev-Saigo-Maeda, is applied to the Bessel Struve kernel function $S_{\alpha }\left( \lambda z\right),\lambda ,z\in \mathbb{C}$ to obtain…
We develop a Fourier approach to rough path integration, based on the series decomposition of continuous functions in terms of Schauder functions. Our approach is rather elementary, the main ingredient being a simple commutator estimate,…