Related papers: Characterization Theorems for Generalized Function…
The Fock transform recently introduced by the authors in a previous paper is applied to investigate convergence of generalized functional sequences of a discrete-time normal martingale $M$. A necessary and sufficient condition in terms of…
The Clark-Ocone formula in the theory of discrete-time chaotic calculus holds only for square integrable functionals of discrete-time normal noises. In this paper, we aim at extending this formula to generalized functionals of discrete-time…
We describe the classes of functions $f=(f(x), x\in R)$, for which processes $f(W_t)-Ef(W_t)$ and $f(W_t)/Ef(W_t)$ are martingales. We apply these results to give a martingale characterization of general solutions of the quadratic and the…
Novel hidden thermodynamic structures have recently been uncovered during the investigation of nonequilibrium thermodynamics for multiscale stochastic processes. Here we reveal the martingale structure for a general thermodynamic functional…
We obtain functional central limit theorems for both discrete time expressions of the form $1/\sqrt{N}\sum_{n=1}^{[Nt]}(F(X(q_1(n)),\ldots, X(q_{\ell}(n)))-\bar{F})$ and similar expressions in the continuous time where the sum is replaced…
We present an exact functional formalism to deal with linear Langevin equations with arbitrary memory kernels and driven by any noise structure characterized through its characteristic functional. No others hypothesis are assumed over the…
Our purpose is to investigate properties for processes with stationary and independent increments under $G$-expectation. As applications, we prove the martingale characterization to $G$-Brownian motion and present a decomposition for…
The main result of the article reads: the distribution of a continuous starting from zero local martingale whose quadratic characteristic is almost surely absolutely continuous with respect to some non-random increasing continuous function…
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…
We analyze matrix convex functions of a fixed order defined on a real interval by differential methods as opposed to the characterization in terms of divided differences given by Kraus. We obtain for each order conditions for matrix…
The density hypothesis on random times becomes now a standard in modeling of risks. One of the basic reasons to introduce the density hypothesis is the desire to have a computable credit risk model. However, recent work shows that merely an…
We describe the class of functions $f: R^n\to R^m$ which transform a vector Brownian Motion into a martingale and use this description to give martingale characterization of the general measurable solution of the multidimensional Cauchy…
We characterise probability distributions via a martingale property associated with a natural generalisation of record values, known as $\delta$-records. For an independent and identically distributed sequence $(X_n)$ with running maximum…
In this paper we introduce the concept of conic martingales}. This class refers to stochastic processes having the martingale property, but that evolve within given (possibly time-dependent) boundaries. We first review some results about…
We derive a higher-order asymptotic expansion of the conditional characteristic function of the increment of an It\^o semimartingale over a shrinking time interval. The spot characteristics of the It\^o semimartingale are allowed to have…
This paper is devoted to the study of generalized differentiation properties of the infimal convolution. This class of functions covers a large spectrum of nonsmooth functions well known in the literature. The subdifferential formulas…
In this paper we introduce the notion of fractional martingale as the fractional derivative of order $\alpha$ of a continuous local martingale, where $\alpha\in(-{1/2},{1/2})$, and we show that it has a nonzero finite variation of order…
We characterize normal families in the unit ball as those families of analytic functions whose restrictions to each complex line through the origin are normal. We then generalize this result to a characterization of normal functions…
The main purpose of this work is to prove characterization theorems for generalized moment functions on groups. According one of the main results these are exponential polynomials that can be described with the aid of complete (exponential)…
We study the properties of different type of transforms by means of operational methods and discuss the relevant interplay with many families of special functions. We consider in particular the binomial transform and its generalizations. A…