Related papers: Functional Meyer-Tanaka Formula

In this note we prove that the local martingale part of a convex function f of a d-dimensional semimartingale X = M + A can be written in terms of an It^o stochastic integral \int H(X)dM, where H(x) is some particular measurable choice of…

Path dependence is omnipresent in many disciplines such as engineering, system theory and finance. It reflects the influence of the past on the future, often expressed through functionals. However, non-Markovian problems are often…

We consider the Itzykson-Zuber-Eynard-Mehta two-matrix model and prove that the partition function is an isomonodromic tau function in a sense that generalizes Jimbo-Miwa-Ueno's. In order to achieve the generalization we need to define a…

For symmetric L\'evy processes, if the local times exist, the Tanaka formula has already constructed via the techniques in the potential theory by Salminen and Yor (2007). In this paper, we study the Tanaka formula for arbitrary strictly…

A peculiar feature of It\^o's calculus is that it is an integral calculus that gives no explicit derivative with a systematic differentiation theory counterpart, as in elementary calculus. So, can we define a pathwise stochastic derivative…

We use techniques of proof mining to extract computable and uniform rates of metastability (in the sense of Tao) for iterations of continuous functions on the unit interval, firstly (following earlier work of Gaspar) out of convergence…

Floquet formulation of time-dependent density-functional theory is revisited in light of its recent criticism [Maitra and Burke, Chem. Phys. Lett. 359 (2002), 237]. It is shown that Floquet theory is well founded and its criticism has…

In this tutorial survey we recall the basic properties of the special function of the Mittag-Leffler and Wright type that are known to be relevant in processes dealt with the fractional calculus. We outline the major applications of these…

In this paper we explore the fundamentals of the Martingale Representation Theorem (MRT) and a closely related result, the Clark-Ocone formula. We also investigate how far these theorems can be taken, notably beyond the regular Sobolev…

The aim of this paper is to exhibit a necessary and sufficient condition of optimality for functionals depending on fractional integrals and derivatives, on indefinite integrals and on presence of time delay. We exemplify with one example,…

We prove the max-martingale conjecture given in recent article with Marc Yor. We show that for a continuous local martingale $(N\_t:t\ge 0)$ and a function $H:R x R\_+\to R$, $H(N\_t,\sup\_{s\leq t}N\_s)$ is a local martingale if and only…

Using the theory of stochastic integration for processes with values in a UMD Banach space developed recently by the authors, an Ito formula is proved which is applied to prove the existence of strong solutions for a class of stochastic…

We generalize A. Borb\'ely's condition for the conclusion of the Omori-Yau maximum principle for the Laplace operator on a complete Riemannian manifold to a second-order linear semi-elliptic operator $L$ with bounded coefficients and no…

The present paper is an extension of Fadle-Touzi (2024). Following the same methodology, merely based on Taylor expansions, we establish the It\^o and It\^o-Wentzell formulae for flows of conditional distributions of general…

The Markov-Dyck shifts arise from finite directed graphs. An expression for the zeta function of a Markov-Dyck shift is given. The derivation of this expression is based on a formula in Keller (G. Keller, {\it Circular codes, loop counting,…

Minkowski's question mark function is the distribution function of a singular continuous measure: we study this measure from the point of view of logarithmic potential theory and orthogonal polynomials. We conjecture that it is regular, in…

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…

Congruences of Fourier coefficients of modular forms have long been an object of central study. By comparison, the arithmetic of other expansions of modular forms, in particular Taylor expansions around points in the upper-half plane, has…

This paper is concerned with asymptotic behavior of a variety of functionals of increments of continuous semimartingales. Sampling times are assumed to follow a rather general discretization scheme. If an underlying semimartingale is…

An explicit martingale representation for random variables described as a functional of a Levy process will be given. The Clark-Ocone theorem shows that integrands appeared in a martingale representation are given by conditional…