Related papers: Weak Functional It\^o Calculus and Applications
A framework is presented for fitting inverse problem models via variational Bayes approximations. This methodology guarantees flexibility to statistical model specification for a broad range of applications, good accuracy and reduced model…
We investigate a system of Brownian particles weakly bound by attractive parity-symmetric potentials that grow at large distances as $V(x) \sim |x|^\alpha$, with $0 < \alpha < 1$. The probability density function $P(x,t)$ at long times…
A functional limit theorem for the empirical measure-valued process of eigenvalues of a matrix fractional Brownian motion is obtained. It is shown that the limiting measure-valued process is the non-commutative fractional Brownian motion…
We derive a generalization of the Wiener-Khinchin theorem for nonstationary processes by introducing a time-dependent spectral density that is related to the time-averaged power. We use the nonstationary theorem to investigate aging…
We introduce a framework for approximate dynamic programming that we apply to discrete time chains on $\mathbb{Z}_+^d$ with countable action sets. Our approach is grounded in the approximation of the (controlled) chain's generator by that…
This paper establishes a comprehensive well-posedness and regularity theory for time-fractional stochastic partial differential equations on $\mathbb{R}^d$ driven by mixed Wiener--L\'evy noises. The equations feature a Caputo time…
The so-called Hadamard fractional Brownian motion, as defined in Beghin et al. (2025) by means of Hadamard fractional operators, is a Gaussian process which shares some properties with standard Brownian motion (such as the one-dimensional…
We prove the convergence of the extremal processes for variable speed branching Brownian motions where the "speed functions", that describe the time-inhomogeneous variance, lie strictly below their concave hull and satisfy a certain weak…
The approach to the theory of a relativistic random process is considered by the path integral method as Brownian motion taking into account the boundedness of speed. An attempt was made to build a relativistic analogue of the Wiener…
Invariant conditions for conformable fractional problems of the calculus of variations under the presence of external forces in the dynamics are studied. Depending on the type of transformations considered, different necessary conditions of…
The rich and diverse dynamics of particle-based systems ultimately originates from the coupling of their degrees of freedom via internal interactions. To arrive at a tractable approximation of such many-body problems, coarse-graining is…
We develop a new paradigm for finding bifurcations of solutions of nonlinear problems, which is based on the detection of extreme values of new type of variational functional associated with the considering problem. The variational…
In this article, we will first introduce a class of Gaussian processes, and prove the quasi-invariant theorem with respect to the Gaussian Wiener measure, which is the law of the associated Gaussian process. In particular, it includes the…
This paper considers the effect of least squares procedures for nearly unstable linear time series with strongly dependent innovations. Under a general framework and appropriate scaling, it is shown that ordinary least squares procedures…
We study the performance of a stochastic algorithm based on the power method that adaptively learns the large deviation functions characterizing the fluctuations of additive functionals of Markov processes, used in physics to model…
A particle moves randomly over the integer points of the real line. Jumps of the particle outside the membrane (a fixed "locally perturbating set") are i.i.d., have zero mean and finite variance, whereas jumps of the particle from the…
In a 2006 article (\cite{A1}), Allouba gave his quadratic covariation differentiation theory for It\^o's integral calculus. He defined the derivative of a semimartingale with respect to a Brownian motion as the time derivative of their…
This paper develops an It\^o-type fractional pathwise integration theory for fractional Brownian motion with Hurst parameters \( H \in (\frac{1}{3}, \frac{1}{2}] \), using the Lyons' rough path framework. This approach is designed to fill…
We develop a general mathematical framework for variational problems where the unknown function assumes values in the space of probability measures on some metric space. We study weak and strong topologies and define a total variation…
Analytical work probability distributions for open classical systems are scarce; they can only be calculated in a few examples. In this work, I present a new method to derive such quantities for weakly driven processes in the overdamped…