Related papers: A Representation Theorem for Smooth Brownian Marti…
We derive the explicit form of the martingale representation for square-integrable processes that are martingales with respect to the natural filtration of the super-Brownian motion. This is done by using a weak extension of the Dupire…
We present a representation theorem for a filtering model with first-passage-type stopping time. The model is constructed from two unobservable processes and one observable process that is under the influence of two unobservable processes.A…
We present a new approach to noncommutative stochastic calculus that is, like the classical theory, based primarily on the martingale property. Using this approach, we introduce a general theory of stochastic integration and quadratic…
With the aim of improving the reconstruction of stochastic evolution equations from empirical time-series data, we derive a full representation of the generator of the Kramers-Moyal operator via a power-series expansion of the exponential…
We discuss the numerical solution of the Schr\"odinger equation with a time-dependent Hamilton operator using commutator-free time-propagators. These propagators are constructed as products of exponentials of simple weighted sums of the…
We deal with complex spatial diffusion equations with time-fractional derivative and study their stochastic solutions. In particular, we complexify the integral operator solution to the heat-type equation where the time derivative is…
In this paper we introduce the concept of conic martingales}. This class refers to stochastic processes having the martingale property, but that evolve within given (possibly time-dependent) boundaries. We first review some results about…
We show that solutions of free stochastic differential equations with regular drifts and diffusion coefficients, when considered backwards in time, still satisfy free SDEs for an explicit free Brownian motion and drift. We also study the…
In this paper we establish a complete representation theorem for $G$-martingales. Unlike the existing results in the literature, we provide the existence and uniqueness of the second order term, which corresponds to the second order…
We consider the problem of maximising expected utility from terminal wealth in a semimartingale setting, where the semimartingale is written as a sum of a time-changed Brownian motion and a finite variation process. To solve this problem,…
The transfer matrix ${\mathbf{M}}$ of a short-range potential may be expressed in terms of the time-evolution operator for an effective two-level quantum system with a time-dependent non-Hermitian Hamiltonian. This leads to a dynamical…
The cumulant generating function of time-averaged current is studied from an operational viewpoint. Specifically, for interacting Brownian particles under non-equilibrium conditions, we show that the first derivative of the cumulant…
We establish the existence and uniqueness of solutions to stochastic 2D Navier-Stokes equations in a time-dependent domain driven by Brownian motion. A martingale solution is constructed through domain transformation and appropriate…
In this paper we derive novel change of variable formulas for stochastic integrals w.r.t. a time-changed Brownian motion where we assume that the time-change is a general increasing stochastic process with finitely many jumps in a bounded…
In this paper we consider a new mathematical extension of the Black-Scholes model in which the stochastic time and stock share price evolution is described by two independent random processes. The parent process is Brownian, and the…
We demonstrate that a Langevin equation that describes the motion of a Brownian particle under non-equilibrium conditions can be exactly transformed to a special equation that explicitly exhibits the response of the velocity to a time…
A popular version of the finite strain Maxwell fluid is considered, which is based on the multiplicative decomposition of the deformation gradient tensor. The model combines Newtonian viscosity with hyperelasticity of Mooney-Rivlin type; it…
Circular Dyson Brownian motion describes the Brownian dynamics of particles on a circle (periodic boundary conditions), interacting through a logarithmic, long-range two-body potential. Within the log-gas picture of random matrix theory, it…
In this paper, we will establish a discrete-time version of Clark(-Ocone-Haussmann) formula, which can be seen as an asymptotic expansion in a weak sense. The formula is applied to the estimation of the error caused by the martingale…
We show that the theory of self-adjoint differential equations can be used to provide a satisfactory solution of the inverse variational problem in classical mechanics. A Newtonian equation when transformed to the self-adjoint form allows…