Related papers: Second order Riesz transforms on multiply-connecte…

We study high-dimensional drift estimation for L\'evy-driven Ornstein--Uhlenbeck processes based on discrete observations. Assuming sparsity of the drift matrix, we analyze Lasso and Slope estimators constructed from approximate likelihoods…

Complex Lie point transformations are used to linearize a class of systems of second order ordinary differential equations (ODEs) which have Lie algebras of maximum dimension $d$, with $d\leq 4$. We identify such a class by employing…

Analogous of Riesz potentials and Riesz transforms are defined and studied for the Dunkl transform associated with a family of weighted functions that are invariant under a reflection group. The $L^p$ boundedness of these operators is…

The rates of strong convergence for various approximation schemes are investigated for a class of stochastic differential equations (SDEs) which involve a random time change given by an inverse subordinator. SDEs to be considered are unique…

This article is the third in a series the aim of which is to use Lie group theory to obtain exact analytic solutions of Delay Ordinary Differential Systems (DODSs). Such a system consists of two equations involving one independent variable…

A practical and new Runge--Kutta numerical scheme for stochastic differential equations is explored. Numerical examples demonstrate the strong convergence of the method. The first order strong convergence is then proved using Ito integrals…

The multiplicative Newton-like method developed by the author et al. is extended to the situation where the dynamics is restricted to the orthogonal group. A general framework is constructed without specifying the cost function. Though the…

In many stochastic models, the observables of interest are naturally encoded in double transforms (e.g., Laplace transforms) that couple spatial and temporal variables. Notably, the double transform often provides the only analytically…

We prove a discrete approximation of functionals with jumps and creases.

In this paper a drift-randomized Milstein method is introduced for the numerical solution of non-autonomous stochastic differential equations with non-differentiable drift coefficient functions. Compared to standard Milstein-type methods we…

This work focuses on a class of regime-switching jump diffusion processes, which is a two component Markov processes $(X(t),\Lambda(t))$, where $\Lambda(t)$ is a component representing discrete events taking values in a countably infinite…

In this paper we represent the $k$-th Riesz transform in the ultraspherical setting as a principal value integral operator for every $k\in \mathbb{N}$. We also measure the speed of convergence of the limit by proving $L^p$-boundedness…

Given a Hopf algebra $A$ graded by a discrete group together with an action of the same group preserving the grading, we define a new Hopf algebra, which we call the graded twisting of $A$. If the action is adjoint, this new Hopf algebra is…

We derive a functional change of variable formula for {\it non-anticipative} functionals defined on the space of right continuous paths with left limits. The functional is only required to possess certain directional derivatives, which may…

This paper provides an existence-and-uniqueness theorem characterizing the stochastic integral with respect to a Wiener process. The integral is represented as a mapping from the space of measurable and adapted pathwise locally integrable…

We prove smoothing properties of nonlocal transition semigroups associated to a class of stochastic differential equations (SDE) driven by additive pure-jump L\'evy noise. In particular, we assume that the L\'evy process driving the SDE is…

For any real-valued stochastic process $X$ with c\'rdl\'rg paths we define non-empty family of processes which have locally finite total variation, have jumps of the same order as the process $X$ and uniformly approximate its paths on…

We present strongly convergent explicit and semi-implicit adaptive numerical schemes for systems of stiff stochastic differential equations (SDEs) where both the drift and diffusion are non-globally Lipschitz continuous. This stiffness may…

We prove that the Heisenberg Riesz transform is $L_2$--unbounded on a family of intrinsic Lipschitz graphs in the first Heisenberg group $\mathbb{H}$. We construct this family by combining a method from \cite{NY2} with a stopping time…

In this work, we aim to study a strong version of Ito's lemma for convex function. By considering the corresponding sub-martingale on a Brownian motion, we gain more insights about the convex function through a probabilistic viewpoint. The…