Related papers: Flows and stochastic Taylor series in Ito calculus
Matrix orthogonal Laurent polynomials in the unit circle and the theory of Toda-like integrable systems are connected using the Gauss--Borel factorization of two, left and a right, Cantero-Morales-Velazquez block moment matrices, which are…
We introduce nonlocal flows that commute with those of the classical Toda hierarchy. We define a logarithm of the difference Lax operator and use it to obtain a Lax representation of the new flows.
The paper concerns itself with establishing large deviation principles for a sequence of stochastic integrals and stochastic differential equations driven by general semimartingales in infinite-dimensional settings. The class of…
The integration-by-parts formula discovered by Malliavin for the Ito map on Wiener space is proved using the two-parameter stochastic calculus. It is also shown that the solution of a one-parameter stochastic differential equation driven by…
We show in this note that the Ito-Lyons solution map associated to a rough differential equation is Frechet differentiable when understood as a map between some Banach spaces of controlled paths. This regularity result provides an…
In this paper, we consider a stochastic balance law with a Lipschitz flux and gain the uniqueness for stochastic entropy solutions. The argument is supported by the stochastic kinetic formulation, the It\^{o} formula and the regularization…
We extend the It\=o formula \cite{MR1837298}*{Theorem 2.3} for semimartingales with rcll paths. We also comment on Local time process of such semimartingales. We apply the It\=o formula to L\'evy processes to obtain existence of solutions…
The objects under investigation are the stochastic integrals with respect to free Levy processes. We define such integrals for square-integrable integrands, as well as for a certain general class of bounded integrands. Using the product…
From the path integral formalism for price fluctuations with non-Gaussian distributions I derive the appropriate stochastic calculus replacing Ito's calculus for stochastic fluctuations.
In this paper, we propose a semi-implicit Euler scheme to discretize the stochastic nonlinear Maxwell equations with multiplicative Ito noise, which is implicit in the drift term and explicit in the diffusion term of the equations, in order…
Computing properties of molecular systems rely on estimating expectations of the (unnormalized) Boltzmann distribution. Molecular dynamics (MD) is a broadly adopted technique to approximate such quantities. However, stable simulations rely…
We introduce a theory of stochastic integration with respect to a family of semimartingales depending on a continuous parameter, as a mathematical background to the theory of bond markets. We apply our results to the problem of…
Suppose that $X_1, \ldots , X_n$ are continuous semimartingales that are reversible and have nondegenerate crossings. Then the corresponding rank processes can be represented by generalized Stratonovich integrals, and this representation…
The multicomponent 2D Toda hierarchy is analyzed through a factorization problem associated to an infinite-dimensional group. A new set of discrete flows is considered and the corresponding Lax and Zakharov--Shabat equations are…
In this paper, by extending the classic stochastic integrals, we investigate three kinds of more general stochastic integrals: Lebesgue-Stieltjes integrals on predictable sets of interval type (in short: PSITs), stochastic integrals on…
By using limit theorems of uniform mixing Markov processes and martingale difference sequences, the strong law of large numbers, central limit theorem, and the law of iterated logarithm are established for additive functionals of…
We exhibit conditions under which the flow of marginal distributions of a discontinuous semimartingale $\xi$ can be matched by a Markov process, whose infinitesimal generator is expressed in terms of the local characteristics of $\xi$. Our…
This paper considers the problem of constructing finite-dimensional state space realizations for stochastic processes that can be represented as the outputs of a certain type of a causal system driven by a continuous semimartingale input…
The intermediate long wave (ILW) hierarchy and its generalization, labelled by a positive integer $N$, can be formulated as reductions of the lattice KP hierarchy. The integrability of the lattice KP hierarchy is inherited by these reduced…
We construct a pathwise calculus for functionals of integer-valued measures and use it to derive an martingale representation formula with respect to a large class of integer-valued random measures. Using these results, we extend the…