Related papers: Flows and stochastic Taylor series in Ito calculus
The approximative theorems of incomplete Riemann-Stieltjes sums of Ito stochastic integral, mean square integral and Stratonovich stochastic integral with respect to Brownian motion are investigated. Some sufficient conditions of incomplete…
We present a novel backward It{\^o}-Ventzell formula and an extension of the Aleeksev-Gr\"obner interpolating formula to stochastic flows. We also present some natural spectral conditions that yield direct and simple proofs of time uniform…
The Toda hierarchy refers to a family of integrable flows on Jacobi operators that have many applications in mathematics and physics. We demonstrate carefully that an alternative characterization of the Toda hierarchy using cocycle maps is…
The article is devoted to the expansion of iterated Stratonovich stochastic integrals of multiplicity 2 on the base of the combined approach of generalized multiple and iterated Fourier series. We consider two different parts of the…
The relation between the Toda lattices and similar nonlinear chains and orthogonal polynomials on the real line has been elaborated immensely for the last decades. We examine another system of the differential-difference equations known as…
We present an analysis based on word combinatorics of splitting integrators for Ito or Stratonovich systems of stochastic differential equations. In particular we present a technique to write down systematically the expansion of the local…
Stochastic differential equations (SDEs) on compact foliated spaces were introduced a few years ago. As a corollary, a leafwise Brownian motion on a compact foliated space was obtained as a solution to an SDE. In this paper we construct…
We study a class of semi-implicit Taylor-type numerical methods that are easy to implement and designed to solve multidimensional stochastic differential equations driven by a general rough noise, e.g. a fractional Brownian motion. In the…
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…
Based on a variational principle with a stochastic forcing, we indicate that the stochastic Schr\"odinger equation in Stratonovich sense is an infinite-dimensional stochastic Hamiltonian system, whose phase flow preserves symplecticity. We…
We consider entire matrix functions $A(z)$ taking values in $\operatorname{SL}(2,\mathbb C)$. These map pairs of Herglotz functions by acting pointwise as linear fractional transformations. The main examples of such Toda maps are provided…
The differential systems satisfied by orthogonal polynomials with arbitrary semiclassical measures supported on contours in the complex plane are derived, as well as the compatible systems of deformation equations obtained from varying such…
We give a review of the systematic construction of hierarchies of soliton flows and integrable elliptic equations associated to a complex semi-simple Lie algebra and finite order automorphisms. For example, the non-linear Schr\"odinger…
Construction of splitting-step methods and properties of related non-negativity and boundary preserving numerical algorithms for solving stochastic differential equations (SDEs) of Ito-type are discussed. We present convergence proofs for a…
We consider a Markov process $X$ associated to a nonnecessarily symmetric Dirichlet form $\mathcal{E}$. We define a stochastic integral with respect to a class of additive functionals of zero quadratic variation and then we obtain an…
It was recently established that the formalism of the generalized transfer operator (GTO) of dynamical systems (DS) theory, applied to stochastic differential equations (SDEs) of arbitrary form, belongs to the family of cohomological…
The It\^{o} and Stratonovich approaches are two ways to integrate stochastic differential equations. Detailed knowledge of the origin of the stochastic noise is needed to determine which approach suits a particular problem. I discuss this…
We develop a pure Monte Carlo method to compute $E(g(X_T))$ where $g$ is a bounded and Lipschitz function and $X_t$ an Ito process. This approach extends a previously proposed method to the general multidimensional case with a SDE with…
We develop a stochastic calculus for processes which are built by convoluting a pure jump, zero expectation L\'{e}vy process with a Volterra-type kernel. This class of processes contains, for example, fractional L\'{e}vy processes as…
In this article we study existence of pathwise stochastic integrals with respect to a general class of $n$-dimensional Gaussian processes and a wide class of adapted integrands. More precisely, we study integrands which are functions that…