Related papers: Characterization Theorems for Generalized Function…

The characteristic functional is the infinite-dimensional generalization of the Fourier transform for measures on function spaces. It characterizes the statistical law of the associated stochastic process in the same way as a characteristic…

We introduce a new Gaussian process, a generalization of both fractional and subfractional Brownian motions, which could serve as a good model for a larger class of natural phenomena. We study its main stochastic properties and some…

Let $M$ be a discrete-time normal martingale that has the chaotic representation property. Then, from the space of square integrable functionals of $M$, one can construct generalized functionals of $M$. In this paper, by using a type of…

The class of functions from the integers to the integers computable in polynomial time has been characterized recently using discrete ordinary differential equations (ODE), also known as finite differences. In the framework of ordinary…

Suppose that a real valued process X is given as a solution to a stochastic differential equation. Then, for any twice continuously differentiable function f, the backward Kolmogorov equation gives a condition for f(t,X) to be a local…

Consider $\mathbb{G}$ the progressive enlargement of a filtration $\mathbb{F}$ with a random time $\tau$. Assuming that, in $\mathbb{F}$, the martingale representation property holds, we examine conditions under which the martingale…

In this paper we extend the notion of ``filtration-consistent nonlinear expectation" (or "${\cal F}$-consistent nonlinear expectation") to the case when it is allowed to be dominated by a $g$-expectation that may have a quadratic growth. We…

Assume that $X$ is a continuous square integrable process with zero mean, defined on some probability space $(\Omega,\mathrm {F},\mathrm {P})$. The classical characterization due to P. L\'{e}vy says that $X$ is a Brownian motion if and only…

We obtain a general characterization of discrete-time all-pass rational matrix functions from state-space representations. It can be employed to address model reduction problems in the same vein of the theory developed by Glover in the…

We consider functional equations (Cauchy's, Abel's and some other functional equations) and show that to find general solution of these equations is equivalent to establish that a space-transformation of a Brownian Motion by suitable…

In this paper we develop non-stationary martingale techniques for dependent data. We shall stress the non-stationary version of the projective Maxwell-Woodroofe condition, which will be essential for obtaining maximal inequalities and…

In some inferential statistical methods, such as tests and confidence intervals, it is important to describe the stochastic behavior of statistical functionals, aside from their large sample properties. We study such behavior in terms of…

The literature on concurrency theory offers a wealth of examples of characteristic-formula constructions for various behavioural relations over finite labelled transition systems and Kripke structures that are defined in terms of fixed…

In this paper, we establish a universal variational characterization of the non-martingale components associated with weakly differentiable Wiener functionals in the sense of Le\~ao, Ohashi and Simas. It is shown that any Dirichlet process…

We investigate a collection of orthonormal functions that encodes information about the continued fraction expansion of real numbers. When suitably ordered these functions form a complete system of martingale differences and are a special…

We construct families of rational functions $f \colon \bP^1_k \to \bP^1_k$ of degree $d \geq 2$ over a perfect field $k$ whose associated fixed-point processes fail to be martingales. Conversely, for any normal variety $X \subset…

We show that many important convex matrix functions can be represented as the partial infimal projection of the generalized matrix fractional (GMF) and a relatively simple convex function. This representation provides conditions under which…

We present new types of regularity for nonlinear generalized functions, based on the notion of regular growth with respect to the regularizing parameter of Colombeau's simplified model. This generalizes the notion of G^{\infty }-regularity…

We establish a martingale-type characterisations for the continuum Gaussian free field (GFF) and for fractional Gaussian free fields (FGFs), using their connection to the stochastic heat equation and to fractional stochastic heat equations.…

For a real Borel measurable function b, which satisfies certain integrability conditions, it is possible to define a stochastic integral of the process b(Y) with respect to a Brownian motion W, where Y is a diffusion driven by W. It is well…