Related papers: Second order Riesz transforms on multiply-connecte…
This paper first summarizes the foundations of stochastic calculus via regularization and constructs through this procedure It\^o and Stratonovich integrals. In the second part, a survey and new results are presented in relation with finite…
Model-based control for robots has increasingly been dependent on optimization-based methods like Differential Dynamic Programming and iterative LQR (iLQR). These methods can form the basis of Model-Predictive Control (MPC), which is…
Long memory processes driven by L\'evy noise with finite second-order moments have been well studied in the literature. They form a very rich class of processes presenting an autocovariance function which decays like a power function. Here,…
In this paper we will discuss some new developments in the design of numerical methods for optimal control problems of Lagrangian systems on Lie groups. We will construct these geometric integrators using discrete variational calculus on…
We characterize the small-time asymptotic behavior of the exit probability of a L\'evy process out of a two-sided interval and of the law of its overshoot, conditionally on the terminal value of the process. The asymptotic expansions are…
We propose a new test to determine whether jumps are present in asset returns or other discretely sampled processes. As the sampling interval tends to 0, our test statistic converges to 1 if there are jumps, and to another deterministic and…
A large deviation principle is established for a two-scale stochastic system in which the slow component is a continuous process given by a small noise finite dimensional It\^{o} stochastic differential equation, and the fast component is a…
Motivated by applications to stochastic programming, we introduce and study the expected-integral functionals, which are mappings given in an integral form depending on two variables, the first a finite dimensional decision vector and the…
This manuscript explores a new class of non-autonomous second-order stochastic inclusions of Clarke's subdifferential form with non-instantaneous impulses (NIIs), unbounded delay and the Rosenblatt process in Hilbert spaces. The existence…
Generalised Ito formulae are proved for time dependent functions of continuous real valued semi-martingales. The conditions involve left space and time first derivatives, with the left space derivative required to have locally bounded…
We examine the reduction process of a system of second-order ordinary differential equations which is invariant under a Lie group action. With the aid of connection theory, we explain why the associated vector field decomposes in three…
This paper concerns the numerical procedure for solving hybrid optimal control problems with sliding modes. The proposed procedure has several features which distinguishes it from the other procedures for the problem. First of all a sliding…
We introduce a novel real-valued endogenous logic for expressing properties of probabilistic transition systems called Riesz modal logic. The design of the syntax and semantics of this logic is directly inspired by the theory of Riesz…
We study a class of Piecewise Deterministic Markov Processes with state space Rd x E where E is a finite set. The continuous component evolves according to a smooth vector field that is switched at the jump times of the discrete coordinate.…
This article presents a construction of the concept of stochastic integration in Riemannian manifolds from a purely functional-analytic point of view. We show that there are infinitely many such integrals, and that any two of them are…
In the first part of this work we have established an efficient method to obtain a topological classification of locally discrete, finitely generated, virtually free subgroups of real-analytic circle diffeomorphisms. In this second part we…
In this paper we obtain as our main result new class of formulae expressing correlation integrals of the third-order in $Z$ on disconnected sets $\mathring{G}_1(x),\mathring{G}_2(y)$ by means of an autocorrelative sum of the second order in…
In this work, an adaptive time-stepping Milstein method is constructed for stochastic differential equations with piecewise continuous arguments (SDEPCAs), where the drift is one-sided Lipschitz continuous and the diffusion does not impose…
Foundational material on complex Lie supergroups and their radial operators is presented. In particular, Berezin's recursion formula for describing the radial parts of fundamental operators in general linear and ortho-symplectic cases is…
We define and study Riesz transforms and conjugate Poisson integrals associated with multi-dimensional Jacobi expansions.