Related papers: Path-dependent It\^o formulas under finite $(p,q)$…

In this expository paper we describe the pathwise behaviour of the integral functional $\int_0^t f(Y_u)\,\dd u$ for any $t\in[0,\zeta]$, where $\zeta$ is (a possibly infinite) exit time of a one-dimensional diffusion process $Y$ from its…

We show that for a wide class of functions $F$ that: $$ {\lim_{\epsilon \downarrow 0} {\frac{1}{\epsilon}} \int_0^t \Big\{F(s, X_s) - F(s, X_s - \epsilon)\Big\} d\big<X,X\big>_s} = - \int_0^t\int_{\R} F(s, x) d L_s^x $$ where $X_t$ is a…

Recently, a new approach in the fine analysis of stochastic processes sample paths has been developed to predict the evolution of the local regularity under (pseudo-)differential operators. In this paper, we study the sample paths of…

In this paper we study the exponential functionals of the processes $X$ with independent increments , namely $$I_t= \int _0^t\exp(-X_s)ds, _,\,\, t\geq 0,$$ and also $$I_{\infty}= \int _0^{\infty}\exp(-X_s)ds.$$ When $X$ is a…

We present a non-probabilistic, pathwise approach to continuous-time finance based on causal functional calculus. We introduce a definition of self-financing, free from any integration concept and show that the value of a self-financing…

In our last work, we formulate a Fourier transformation on the infinite-dimensional space of functionals. Here we first calculate the Fourier transformation of infinite-dimensional Gaussian distribution $\exp(-\pi…

A discrete formulation of the real-time path integral as the expectation value of a functional of paths with respect to a complex probability on a sample space of discrete valued paths is explored. The formulation in terms of complex…

The It\^o formula, also known as the change-of-variables formula, is a cornerstone of It\^o stochastic calculus. Over time, this formula has been extended to apply to random processes for which classical calculus is insufficient. Since…

The pathway model for the real scalar variable case is re-explored and its connections to fractional integrals, solutions of fractional differential equations, Tsallis statistics and superstatistics in statistical mechanics, reaction-rate…

We investigate existence, uniqueness and regularity for solutions of rough parabolic equations of the form $\partial _tu-A_tu-f=(\dot X_t(x) \cdot \nabla + \dot Y_t(x))u$ on $[0,T]\times\mathbb{R}^d.$ To do so, we introduce a concept of…

The paper is devoted to the existence of integral functionals $\int_0^\infty f(X(t))\,{\mathrm{d}t}$ for several classes of processes in $\mathbb{R}$ with $d\ge 3$. Some examples such as Brownian motion, fractional Brownian motion, compound…

For a real c\`adl\`ag path $x$ we define sequence of semi-explicit quantities, which do not depend on any partitions and such that whenever $x$ is a path of a c\`adl\`ag semimartingale then these quantities tend a.s. to the continuous part…

In this article, we study differential equations driven by continuous paths with with bounded $p$-variation for $1 \leq p< 2$ (Young systems). The most important class of examples of theses equations is given by stochastic differential…

A new integral identity for functions with continuous second partial derivatives is derived. It is shown that the value of any function f(r,t) at position r and time t is completely determined by its previous values at all other locations…

Let $M$ be a compact manifold equipped with a pair of complementary foliations, say horizontal and vertical. In Catuogno, Silva and Ruffino ($Stoch$. $Dyn$., 2013) it is shown that, up to a stopping time $\tau$, a stochastic flow of local…

We consider a multidimensional Ito semimartingale regularly sampled on [0,t] at high frequency $1/\Delta_n$, with $\Delta_n$ going to zero. The goal of this paper is to provide an estimator for the integral over [0,t] of a given function of…

We introduce a framework for studying pathwise time regularity and numerical approximation of $L^0$-valued stochastic evolution equations. At the core of our framework are two Burkholder--Davis--Gundy type inequalities accommodating It\^o…

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…

Let $X$ be the unique normal martingale such that $X_0=0$ and \[\mathrm{d}[X]_t=(1-t-X_{t-}) \mathrm{d}X_t+\mathrm{d}t\] and let $Y_t:=X_t+t$ for all $t\geq 0$; the semimartingale $Y$ arises in quantum probability, where it is the…

In this paper we show that a path-wise solution to the following integral equation $$ Y_t = \int_0^t f(Y_t) dX_t \qquad Y_0=a \in \R^d $$ exists under the assumption that X_t is a L\'evy process of finite p-variation for some $p \geq1$ and…