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

We present an adaptive approximation scheme for jump-diffusion SDEs with discontinuous drift and (possibly) degenerate diffusion. This transformation-based doubly-adaptive quasi-Milstein scheme is the first scheme that has strong…

In this paper, we, for the first time, establish two comparison theorems for multi-dimensional backward stochastic differential equations with jumps. Our approach is novel and completely different from the existing results for…

This paper presents a general approach to linear stochastic processes driven by various random noises. Mathematically, such processes are described by linear stochastic differential equations of arbitrary order (the simplest non-trivial…

We prove It{\^o}'s formula for the flow of measures associated with a jump process defined by a drift, an integral with respect to a Poisson random measure and with respect to the associated compensated Poisson random measure. We work in…

Fractional order derivatives and integrals (differintegrals) are viewed from a frequency-domain perspective using the formalism of Riesz, providing a computational tool as well as a way to interpret the operations in the frequency domain.…

In this paper we consider Bayesian parameter inference associated to a class of partially observed stochastic differential equations (SDE) driven by jump processes. Such type of models can be routinely found in applications, of which we…

Let $\Gamma$ be a doubling graph satisfying some pointwise subgaussian estimates of the Markov kernel. We introduce a space $H^1(\Gamma)$ of functions and a space $H^1(T_\Gamma)$ of 1-forms and give various characterizations of them. We…

We are interested in existence results for second order differential inclusions, involving finite number of unilateral constraints in an abstract framework. These constraints are described by a set-valued operator, more precisely a proximal…

We develop and analyze a new algorithm to find the connected components of a compact set $I$ from a Lie group $G$ endowed with a left-invariant Riemannian distance. For a given $\delta>0$, the algorithm finds the largest cover of $I$ such…

Let $L_k=-\Delta_k+V$ be the Dunk- Schr\"{o}dinger operators, where $\Delta_k=\sum_{j=1}^dT_j^2$ is the Dunkl Laplace operator associated to the dunkl operators $T_j$ on $\mathbb{R}^d$ and $V$ is a nonnegative potential function. In the…

This paper studies proximal gradient iterations for solving simple bilevel optimization problems where both the upper and the lower level cost functions are split as the sum of differentiable and (possibly nonsmooth) proximable functions.…

Consider generalized adapted stochastic integrals with respect to independently scattered random measures with second moments. We use a decoupling technique, known as the "principle of conditioning", to study their stable convergence…

A framework for higher gauge theory based on a 2-group is presented, by constructing a groupoid of connections on a manifold acted on by a 2-group of gauge transformations, following previous work by the authors where the general notion of…

We generalize the fixed-point property for discrete groups acting on convex cones given by Monod in \cite{monod} to topological groups. At first, we focus on describing this fixed-point property from a functional point of view, and then we…

In this paper, we introduce a discrete Riesz transforms associated with the non-symmetric trigonometric Heckman-Opdam polynomials of type $A_1$. We prove that they can be extended to a bounded operators on $\ell^p(\mathbb{Z})$,…

In this paper we relate the study of actions of discrete groups over connected manifolds to that of their orbit spaces seen as differentiable stacks. We show that the orbit stack of a discrete dynamical system on a simply connected manifold…

We show that the jumps correlation matrix of a multivariate Hawkes process is related to the Hawkes kernel matrix through a system of Wiener-Hopf integral equations. A Wiener-Hopf argument allows one to prove that this system (in which the…

A new integral with respect to an integer-valued random measure is introduced. In contrast to the finite variation integral ubiquitous in semimartingale theory (Jacod and Shiryaev, 2003, II.1.5), the new integral is closed under stochastic…

This paper investigates the ergodicity of stochastic functional differential equations with jumps under the Wasserstein distance by the generalized coupling method. Two key conditions are verified. The first is verified by establishing an…

The famous results of Koml\'os, Major and Tusn\'ady (see [15] and [17]) state that it is possible to approximate almost surely the partial sums of size n of i.i.d. centered random variables in L p (p > 2) by a Wiener process with an error…