Related papers: Algebraic Stochastic Calculus
Algorithmicists are well-aware that fast dynamic programming algorithms are very often the correct choice when computing on compositional (or even recursive) graphs. Here we initiate the study of how to generalize this folklore intuition to…
We define a monoidal semantics for algebraic theories. The basis for the definition is provided by the analysis of the structural rules in the term calculus of algebraic languages. Models are described both explicitly, in a form that…
Through the subsequent discussion we consider a certain particular sort of (topological) algebras, which may substitute the `` structure sheaf algebras'' in many--in point of fact, in all--the situations of a geometrical character that…
We begin our journey by recalling the fundamentals of Probability Theory that underlie one of its most significant applications to real-world problems: Parametric Estimation. Throughout the text, we systematically develop this theme by…
We study a connection between the algebraic probability and classical stochastic processes described by master equations. Introducing a definition of a state which has not been used for quantum cases, the classical stochastic processes can…
A new notion of stochastic transformation is proposed and applied to the study of both weak and strong symmetries of stochastic differential equations (SDEs). The correspondence between an algebra of weak symmetries for a given SDE and an…
A stochastic calculus is given for processes described by stochastic integrals with respect to fractional Brownian motions and Rosenblatt processes somewhat analogous to the stochastic calculus for It\^{o} processes. These processes for…
The main aim of the present work is to arrive at a mathematical theory close to the historically original conception of generalized functions, i.e. set theoretical functions defined on, and with values in, a suitable ring of scalars and…
Statistical thermodynamics delivers the probability distribution of the equilibrium state of matter through the constrained maximization of a special functional, entropy. Its elegance and enormous success have led to numerous attempts to…
We demonstrate that backward stochastic differential equations (BSDE) may be reformulated as ordinary functional differential equations on certain path spaces. In this framework, neither It\^{o}'s integrals nor martingale representation…
Fractional calculus provides a rigorous mathematical framework to describe anomalous stochastic processes by generalizing the notion of classical differential equations to their fractional-order counterparts. By introducing the fractional…
These notes rigorously construct the stochastic integral of a Hilbert Space valued process driven by a Cylindrical Brownian Motion. We expand upon this stochastic calculus to present an introduction to stochastic differential equations in…
Uncertainties are abundant in complex systems. Mathematical models for these systems thus contain random effects or noises. The models are often in the form of stochastic differential equations, with some parameters to be determined by…
The well-posedness is investigated for distribution dependent stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H\in (\ff {\sq 5-1} 2,1)$ and distribution dependent multiplicative noise. To this…
We introduce a stochastic fractional calculus. As an application, we present a stochastic fractional calculus of variations, which generalizes the fractional calculus of variations to stochastic processes. A stochastic fractional…
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…
In a variety of problems originating in supervised, unsupervised, and reinforcement learning, the loss function is defined by an expectation over a collection of random variables, which might be part of a probabilistic model or the external…
Let $B=(B_1(t),..,B_d(t))$ be a $d$-dimensional fractional Brownian motion with Hurst index $\alpha\le 1/4$, or more generally a Gaussian process whose paths have the same local regularity. Defining properly iterated integrals of $B$ is a…
From the Bayesian perspective, the category of conditional probabilities (a variant of the Kleisli category of the Giry monad, whose objects are measurable spaces and arrows are Markov kernels) gives a nice framework for conceptualization…
We identify an issue in recent approaches to learning-based control that reformulate systems with uncertain dynamics using a stochastic differential equation. Specifically, we discuss the approximation that replaces a model with fixed but…