Related papers: Stochastic First Integrals, Kernel Functions for I…
Functional integrals are central to modern theories ranging from quantum mechanics and statistical thermodynamics to biology, chemistry, and finance. In this work we present a new method for calculating functional integrals based on a…
Singular stochastic partial differential equations informally refer to the partial differential equations with rough random force that leads to the products in the nonlinear terms becoming ill-defined. Besides the theories of regularity…
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…
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…
We use the theory of regularity structures to develop an It\^o formula for $u$, the solution of the one dimensional stochastic heat equation driven by space-time white noise with periodic boundary conditions. In particular for any smooth…
In a work of van Gaans (2005a) stochastic integrals are regarded as $L^2$-curves. In Filipovi\'{c} and Tappe (2008) we have shown the connection to the usual It\^o-integral for c\`adl\`ag-integrands. The goal of this note is to complete…
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 prove the Plancherel formula for spherical Schwartz functions on a reductive symmetric space. Our starting point is an inversion formula for spherical smooth compactly supported functions. The latter formula was earlier obtained from the…
In this paper, we address the general fractional integrals and derivatives with the Sonine kernels on the spaces of functions with an integrable singularity at the point zero. First, the Sonine kernels and their important special classes…
We introduce a similarity function on formulae of signal temporal logic (STL). It comes in the form of a kernel function, well known in machine learning as a conceptually and computationally efficient tool. The corresponding kernel trick…
The paper is devoted to the existence of integral functionals $\int_0^\infty f(X(t))\,{\mathrm{d}t}$ for several classes of processes in $\mathbb{R}$ with $d\ge 3$. Some examples such as Brownian motion, fractional Brownian motion, compound…
We find an explicit integral formula for the eigenfunctions of a fourth order differential operator against the kernel involving two Bessel functions. Our formula establishes the relation between K-types in two different realizations of the…
Following the ideas of F. Russo and P. Vallois we use the notion of forward integral to introduce a new stochastic integral respect to the cylindrical Winer process. This integral is an extension of the classical integral. As an…
We derive quantitative estimates for large stochastic systems of interacting particles perturbed by both idiosyncratic and environmental noises, as well as singular kernels. We prove that the (mollified) empirical process converges to the…
A new generalization of the modified Bessel function of the second kind $K_{z}(x)$ is studied. Elegant series and integral representations, a differential-difference equation and asymptotic expansions are obtained for it thereby…
Generalized Fourier integral operators (FIOs) acting on Colombeau algebras are defined. This is based on a theory of generalized oscillatory integrals (OIs) whose phase functions as well as amplitudes may be generalized functions of…
With the use of tensor product of Hilbert space, and a diagonalization procedure from operator theory, we derive an approximation formula for a general class of stochastic integrals. Further we establish a generalized Fourier expansion for…
We consider a broad class of nonlinear integro-differential equations with a kernel whose differentiability order is described by a general function $\phi$. This class includes not only the fractional $p$-Laplace equations, but also…
Often in applications such as rare events estimation or optimal control it is required that one calculates the principal eigen-function and eigen-value of a non-negative integral kernel. Except in the finite-dimensional case, usually…
In this paper, we introduce a new method for calculating fractional integrals and differentials. The method involves an equation that we have obtained from infinite applied integration by parts. The equation works for special class of…