Related papers: Functional Meyer-Tanaka Formula

We introduce a Markov-functional approach to construct local volatility models that are calibrated to a discrete set of marginal distributions. The method is inspired by and extends the volatility interpolation of Bass (1983) and Conze and…

A fractional generalization of the Floquet theorem is suggested for fractional Schr\"odinger equations (FTSE)s with the time-dependent periodic Hamiltonians. The obtained result, called the fractional Floquet theorem (fFT), is formulated in…

In this paper we prove several weighted estimates for bilinear fractional integral operators and their commutators with BMO functions. We also prove maximal function control theorem for these operators, that is, we prove the weighted $L^p$…

We show a pointwise estimate for the Fourier transform on the line involving the number of times the function changes monotonicity. The contrapositive of the theorem may be used to find a lower bound to the number of local maxima of a…

We generalize the Omori-Yau almost maximum principle of the Laplace-Beltrami operator on a complete Riemannian manifold $M$ to a second-order linear semi-elliptic operator $L$ with bounded coefficients and no zeroth order term. Using this…

We consider three classes of linear differential equations on distribution functions, with a fractional order $\alpha\in [0,1].$ The integer case $\alpha =1$ corresponds to the three classical extreme families. In general, we show that…

We refine stochastic calculus for symmetric Markov processes without using time reverse operators. Under some conditions on the jump functions of locally square integrable martingale additive functionals, we extend Nakao's divergence-like…

This paper is devoted to the study of the $M$-Wright function ($M_{\alpha}(t)$) which is the inverse Laplace transform of the single-parameter Mittag-Leffler (ML) function ($E_{\alpha}(-s)$). Because $E_{\alpha}(-s)$ can be viewed as the…

This paper blends two techniques recently developed in [2] and [3] to prove the presence of absolutely continuous spectrum for the multidimensional Schrodinger operator provided that the potential is summable over trajectory with positive…

In the Wigner-Moyal approach to quantum mechanics, we show that Moyal's starting point, the characteristic function $M(\tau,\theta)=\int \psi^{*}(x)e^{i(\tau {\hat p}+\theta{\hat x})}\psi(x)dx$, is essentially the primitive idempotent used…

The introduction of a fractional differential operator defined in terms of the Riemann-Liouville derivative makes it possible to generalize the kinetic equations used to model relaxation in dielectrics. In this context such fractional…

We prove the analogue of the classical Burkholder-Gundy inequalites for non-commutative martingales. As applications we give a characterization for an Ito-Clifford integral to be an $L^p$-martingale via its integrand, and then extend the…

A conventional linear model for functional data involves expressing a response variable $Y$ in terms of the explanatory function $X(t)$, via the model: $Y=a+\int_I b(t)X(t)dt+\hbox{error}$, where $a$ is a scalar, $b$ is an unknown function…

We consider plain vanilla European options written on an underlying asset that follows a continuous time semi-Markov multiplicative process. We derive a formula and a renewal type equation for the martingale option price. In the case in…

When analyzing probabilistic computations, a powerful approach is to first find a martingale---an expression on the program variables whose expectation remains invariant---and then apply the optional stopping theorem in order to infer…

Let $(X,d,\mu)$ be a doubling metric measure space. We consider the behaviour of the fractional maximal function $M^\alpha$ for $0\leq \alpha<Q$, where $Q$ is the doubling dimension, acting on functions of bounded mean oscillation (BMO) and…

Multiple zeta functions of Arakawa-Kaneko and Euler-Zagier types are known as generalizations of the Riemann zeta function. In 2018, Kaneko and Tsumura proved that the multiple zeta functions of Arakawa-Kaneko type can be expressed as a…

Determining functionals are tools to describe the finite dimensional long-term dynamics of infinite dimensional dynamical systems. There also exist several applications to infinite dimensional {\em random} dynamical systems. In these…

We show that every operator in $L^{2}$ has an associated measure on a space of functions and prove that it can be used to find solutions to abstract Cauchy problems, including partial differential equations. We find explicit formulas to…

Properties of a maximal function for vector-valued martingales were studied by the author in an earlier paper. Restricting here to the dyadic setting, we prove the equivalence between (weighted) L^p inequalities and weak type estimates, and…