Related papers: Constructing functions with prescribed pathwise qu…
Path dependence is omnipresent in many disciplines such as engineering, system theory and finance. It reflects the influence of the past on the future, often expressed through functionals. However, non-Markovian problems are often…
We provide a version of the stochastic Fubini's theorem which does not depend on the particular stochastic integrator chosen as far as the stochastic integration is built as a continuous linear operator from an $L^p$ space of Banach…
We develop simple rules for performing integrals over products of distributions in coordinate space. Such products occur in perturbation expansions of path integrals in curvilinear coordinates, where the interactions contain terms of the…
The subdifferential of a function is a generalization for nonsmooth functions of the concept of gradient. It is frequently used in variational analysis, particularly in the context of nonsmooth optimization. The present work proposes…
We study multivariate integration of functions that are invariant under the permutation (of a subset) of their arguments. Recently, in Nuyens, Suryanarayana, and Weimar (Adv. Comput. Math. (2016), 42(1):55--84), the authors derived an upper…
We give two results concerning the construction of modular invariant partition functions for conformal field theories constructed by tensoring together other conformal field theories. First we show how the possible modular invariants for…
The main purpose of this work is the derivation of a functional partial differential equation (FPDE) for the calculations of equity-linked insurance policies, where the payment stream may depend on the whole past history of the financial…
An approach to infinite dimensional integration which unifies the case of oscillatory integrals and the case of probabilistic type integrals is presented. It provides a truly infinite dimensional construction of integrals as linear…
An extension of the method and results of A. Schwarz for evaluating the partition function of a quadratic functional is presented. This enables the partition functions to be evaluated for a wide class of quadratic functionals of interest in…
Higher order derivatives of functions are structured high dimensional objects which lend themselves to many alternative representations, with the most popular being multi-index, matrix and tensor representations. The choice between them…
We consider decompositions of processes of the form $Y=f(t,X_t)$ where $X$ is a semimartingale. The function $f$ is not required to be differentiable, so It\^{o}'s lemma does not apply. In the case where $f(t,x)$ is independent of $t$, it…
Motivated by constraints on the dark energy equation of state from supernova-data, we propose a formalism for the Bayesian inference of functions: Starting at a functional variant of the Kullback-Leibler divergence we construct a functional…
We prove a theorem which provides a method for constructing points on varieties defined by certain smooth functions. We require that the functions are definable in a definably complete expansion of a real closed field and are locally…
We propose a new class of generative diffusion models, called functional diffusion. In contrast to previous work, functional diffusion works on samples that are represented by functions with a continuous domain. Functional diffusion can be…
We obtain a first order differential equation for the driving function of the chordal Loewner differential equation in the case where the domain is slit by a curve which is a trajectory arc of certain quadratic differentials. In particular…
The theory of fractional calculus in the complex plane was not built with a specific application in mind. The main obstacle to application was the difficulty with obtaining analytic continuations of fractional derivatives and integrals. It…
We show that various functionals related to the supremum of a real function defined on an arbitrary set or a measure space are Hadamard directionally differentiable. We specifically consider the supremum norm, the supremum, the infimum, and…
We introduce a general class of generating functionals for the calculation of quantum-mechanical expectation values of arbitrary functionals of fluctuating paths with fixed end points in configuration or momentum space. The generating…
The constructive martingale representation theorem of functional It\^o calculus is extended, from the space of square integrable martingales, to the space of local martingales. The setting is that of an augmented filtration generated by a…
We construct a pathwise integration theory, associated with a change of variable formula, for smooth functionals of continuous paths with arbitrary regularity defined in terms of the notion of $p$-th variation along a sequence of time…