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We introduce a variational theory for processes adapted to the multi-dimensional Brownian motion filtration. The theory provides a differential structure which describes the infinitesimal evolution of Wiener functionals at very small…
From the perspective of expectations of randomly stopped sums, Wald's equation and the Optional Sampling Theorem identify situations in which the stopping time can be decoupled from the stopping place, acting as if the two were independent.…
Although driven Brownian particles are ubiquitous in stochastic dynamics and often serve as paradigmatic model systems for many aspects of stochastic thermodynamics, fully analytically solvable models are few and far between. In this paper,…
Trotter product formulas constitute a cornerstone quantum Hamiltonian simulation technique. However, the efficient implementation of Hamiltonian evolution of nested commutators remains an under explored area. In this work, we construct…
The time-convolutionless quantum master equation is an exact description of the nonequilibrium dynamics of open quantum systems, with the advantage of being local in time. We derive a perturbative expansion to arbitrary order in the…
In this paper we study rough differential equations driven by Gaussian rough paths from the viewpoint of Malliavin calculus. Under mild assumptions on coefficient vector fields and underlying Gaussian processes, we prove that solutions at a…
The unitary operators U(t), describing the quantum time evolution of systems with a time-dependent Hamiltonian, can be constructed in an explicit manner using the method of time-dependent invariants. We clarify the role of Lie-algebraic…
The rate of strong convergence is investigated for an approximation scheme for a class of stochastic differential equations driven by a time-changed Brownian motion, where the random time changes $(E_t)_{t\ge 0}$ considered include the…
The smoothing spline is one of the most popular curve-fitting methods, partly because of empirical evidence supporting its effectiveness and partly because of its elegant mathematical formulation. However, there are two obstacles that…
In this paper we consider the controllability of certain class of non-autonomous neutral evolution stochastic functional differential equations, with time varying delays, driven by a fractional Brownian motion in a separable real Hilbert…
Exponential functionals of Brownian motion have been extensively studied in financial and insurance mathematics due to their broad applications, for example, in the pricing of Asian options. The Black-Scholes model is appealing because of…
Dyson's Brownian motion model with the parameter $\beta=2$, which we simply call the Dyson model in the present paper, is realized as an $h$-transform of the absorbing Brownian motion in a Weyl chamber of type A. Depending on initial…
We introduce a variational theory for processes adapted to the multi-dimensional Brownian motion filtration that provides a differential structure allowing to describe infinitesimal evolution of Wiener functionals at very small scales. The…
Problems of finite-temperature quantum statistical mechanics can be formulated in terms of imaginary (Euclidean) -time Green's functions and self-energies. In the context of realistic Hamiltonians, the large energy scale of the Hamiltonian…
Brownian motion near soft surfaces is a situation widely encountered in nanoscale and biological physics. However, a complete theoretical description is lacking to date. Here, we theoretically investigate the dynamics of a two-dimensional…
We study a time-inhomogeneous nonlinear SDE with drift and diffusion governed by state-dependent variable exponents. This framework generalizes models like the geometric Brownian motion (GBM) and the constant elasticity of variance (CEV),…
This paper presents a novel formula for the transition density of the Brownian motion on a sphere of any dimension and discusses an algorithm for the simulation of the increments of the spherical Brownian motion based on this formula. The…
It is shown that under a certain condition on a semimartingale and a time-change, any stochastic integral driven by the time-changed semimartingale is a time-changed stochastic integral driven by the original semimartingale. As a direct…
We study the third order in time linear dissipative wave equation known as the Standard Linear Viscoelastic Model, that appears also as the linearization of the so-called Moore-Gibson-Thompson equation in Nonlinear Acoustics. We complete…
In this paper we study the class of backward doubly stochastic differential equations (BDSDEs, for short) whose terminal value depends on the history of forward diffusion. We first establish a probabilistic representation for the spatial…