Related papers: Stochastic First Integrals, Kernel Functions for I…

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…

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 formulate and derive a generalization of an orthogonal rational-function basis for spectral expansions over the infinite or semi-infinite interval. The original functions, first presented by Wiener are a mapping and weighting of the…

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…

In this work we introduce a theory of stochastic integration with respect to general cylindrical semimartingales defined on a locally convex space $\Phi$. Our construction of the stochastic integral is based on the theory of tensor products…

We prove the It\^o-Wentzell formula for processes with values in the space of generalized functions by using the stochastic Fubini theorem and the It\^o-Wentzell formula for real-valued processes, appropriate versions of which are also…

Recently, functional It\=o calculus has been introduced and developed in finite dimension for functionals of continuous semimartingales. With different techniques, we develop a functional It\=o calculus for functionals of Hilbert…

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.

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 consider fractional higher-order stochastic differential equations of the form \begin{align*} \left( \mu + c_\alpha \frac{d^\alpha}{d(-t)^\alpha} \right)^\beta X(t) = \mathcal{E}(t) , \quad t\geq 0,\; \mu>0,\; \beta>0,\;…

We discuss how to define a kernel for Signal Temporal Logic (STL) formulae. Such a kernel allows us to embed the space of formulae into a Hilbert space, and opens up the use of kernel-based machine learning algorithms in the context of STL.…

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…

An autonomous dynamical system is described by a system of second order differential equations whose solution gives the trajectories of the system. The solution is facilitated by the use of first integrals (FIs) that are used to reduce the…

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…

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 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…

This paper is devoted to the study of the expected-integral multifunctions given in the form \begin{equation*} \operatorname{E}_\Phi(x):=\int_T\Phi_t(x)d\mu, \end{equation*} where $\Phi\colon T\times\mathbb{R}^n \rightrightarrows…

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 investigate the stochastic processes obtained as the fractional Riemann-Liouville integral of order $\alpha \in (0,1)$ of Gauss-Markov processes. The general expressions of the mean, variance and covariance functions are given. Due to…

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…