Related papers: Discrete Hilbert Transform a la Gundy-Varopoulos
We show that a class of dynamical systems induces an associated operator system in Hilbert space. The dynamical systems are defined from a fixed finite-to-one mapping in a compact metric space, and the induced operators form a covariant…
We study kernel functions, and associated reproducing kernel Hilbert spaces $\mathscr{H}$ over infinite, discrete and countable sets $V$. Numerical analysis builds discrete models (e.g., finite element) for the purpose of finding…
In this paper we show that Hilbert space-valued stochastic models are robust with respect to perturbation, due to measurement or approximation errors, in the underlying volatility process. Within the class of stochastic volatility modulated…
Discrete analogs of the Lebedev transforms with the product of the modified Bessel functions are introduced and investigated. Several expansions of suitable functions and sequences in terms of the series and integrals, involving the…
The Airy$_\beta$ point process, originally introduced by Ram\'irez, Rider, and Vir\'ag, is defined as the spectrum of the stochastic Airy operator $\mathcal{H}_\beta$ acting on a subspace of $L^2[0,\infty)$ with Dirichlet boundary…
We present a novel approach of discretizing variable coefficient diffusion operators in the context of meshfree generalized finite difference methods. Our ansatz uses properties of derived operators and combines the discrete Laplace…
In this paper, we study the asymptotics and fast computation of the one-sided oscillatory Hilbert transforms of the form $$H^{+}(f(t)e^{i\omega t})(x)=-int_{0}^{\infty}e^{i\omega t}\frac{f(t)}{t-x}dt,\qquad \omega>0,\qquad x\geq 0,$$ where…
We show that a substantial portion of stochastic calculus can be developed along similar lines to ordinary calculus, with derivative-based concepts driving the development. We define a notion of stopping derivative, which is a form of right…
In this paper, we prove the unique existence and investigate the $L^{p}$-regularity of solutions to stochastic partial differential equations in Hilbert spaces associated with pseudo-differential operators, driven by Hilbert space-valued…
Based on the well-established theory of discrete conjugate nets in discrete differential geometry, we propose and examine discrete analogues of important objects and notions in the theory of semi-Hamiltonian systems of hydrodynamic type. In…
In this paper, we present an overview of the recent developments of functional quantization of stochastic processes, with an emphasis on the quadratic case. Functional quantization is a way to approximate a process, viewed as a…
The purpose of this paper is to establish the theory of stochastic pseudo-differential operators and give its applications in stochastic partial differential equations. First, we introduce some concepts on stochastic pseudo-differential…
The spectral density function describes the second-order properties of a stationary stochastic process on $\mathbb{R}^d$. This paper considers the nonparametric estimation of the spectral density of a continuous-time stochastic process…
Theorems and explicit examples are used to show how transformations between self-similar sets (general sense) may be continuous almost everywhere with respect to stationary measures on the sets and may be used to carry well known flows and…
We consider a particular discretization of the harmonic oscillator which admits an orthogonal basis of eigenfunctions called Kravchuk functions possessing appealing properties from the numerical point of view. We analytically prove the…
Transfer operators such as the Perron--Frobenius or Koopman operator play an important role in the global analysis of complex dynamical systems. The eigenfunctions of these operators can be used to detect metastable sets, to project the…
In this work we investigate the long-time behavior, that is the existence and characterization of invariant measures as well as convergence of transition probabilities, for Markov processes obtained as the unique mild solution to stochastic…
We study Cauchy problems of fractional differential equations in both space and time variables by expressing the solution in terms of ``stochastic composition" of the solutions to two simpler problems. These Cauchy sub-problems respectively…
In computational physics it is standard to approximate continuum systems with discretised representations. Here we consider a specific discretisation of the continuum complex Hilbert space of quantum mechanics - a discretisation where…
Discrete analogs of the classical Fourier-Jacobi transform are introduced and investigated. It involves series and integrals with respect to parameters of the Gauss hypergeometric function ${}_2F_1(a+in/2,a-in/2;\ c; -x^2 ), \ x >0, n \in…