Related papers: Discrete Hilbert Transform a la Gundy-Varopoulos
We consider a class of infinite-dimensional singular stochastic control problems. These can be thought of as spatial monotone follower problems and find applications in spatial models of production and climate transition. Let…
Finite Cartesian products of operators play a central role in monotone operator theory and its applications. Extending such products to arbitrary families of operators acting on different Hilbert spaces is an open problem, which we address…
We study a reproducing kernel Hilbert space of functions defined on the positive integers and associated to the binomial coefficients. We introduce two transforms, which allow us to develop a related harmonic analysis in this Hilbert space.…
In this paper we derive stochastic representations for the finite dimensional distributions of a multidimensional diffusion on a fixed time interval, conditioned on the terminal state. The conditioning can be with respect to a fixed point…
Using the theory of stochastic integration developed recently by the authors, in this paper we prove an It\^{o} formula for Hilbert space-valued It\^{o} processes defined with respect to a cylindrical-martingale valued measure. As part of…
In the present paper, a discrete differential calculus is introduced and used to describe dynamical systems over arbitrary graphs. The discretization of space and time allows the derivation of Heisenberg-like uncertainty inequalities and of…
Under mild conditions, it is possible to obtain, from almost purely measure-theoretic considerations and without any specific reference to stochastic processes, a change-of-measures result, resembling the usual Radon-Nikod\'ym change of…
Recent advances have made it feasible to apply the stochastic variational paradigm to a collapsed representation of latent Dirichlet allocation (LDA). While the stochastic variational paradigm has successfully been applied to an uncollapsed…
Using standard calculus, explicit formulas for the one-dimensional continuous and discrete homotopy operators are derived. It is shown that these formulas are equivalent to those in terms of Euler operators obtained from the variational…
We introduce a family of pairwise stochastic gradient estimators for gradients of expectations, which are related to the log-derivative trick, but involve pairwise interactions between samples. The simplest example of our new estimator,…
We lift ambit fields as introduced by Barndorff-Nielsen and Schmiegel to a class of Hilbert space-valued volatility modulated Volterra processes. We name this class Hambit fields, and show that they can be expressed as a countable sum of…
We study fractional differential equations of Riemann-Liouville and Caputo type in Hilbert spaces. Using exponentially weighted spaces of functions defined on $\mathbb{R}$, we define fractional operators by means of a functional calculus…
W-transforms are introduced as uniformity-preserving univariate transformations on the unit interval induced by distribution functions and piecewise strictly monotone functions, and their properties are investigated. When applied…
We show that if a random variable is the final value of an adapted log-H\"{o}lder continuous process, then it can be represented as a stochastic integral with respect to a fractional Brownian motion with adapted integrand. In order to…
This paper is devoted to discrete mechanical systems subject to external forces. We introduce a discrete version of systems with Rayleigh-type forces, obtain the equations of motion and characterize the equivalence for these systems.…
This article describes Hilbert spaces contractively contained in certain reproducing kernel Hilbert spaces of analytic functions on the open unit disc which are nearly invariant under division by an inner function. We extend Hitt's theorem…
The paper demonstrates the basic properties of the local fractional variation operators (termed fractal variation operators). The action of the operators is demonstrated for local characterization of Holderian functions. In particular, it…
We consider the discrete analogue of a fractional integral operator on the Heisenberg group, for which we are able to prove nearly sharp results by means of a simple argument of a combinatorial nature.
We show that if a random variable is a final value of an adapted Holder continuous process, then it can be represented as a stochastic integral with respect to fractional Brownian motion, and the integrand is an adapted process, continuous…
Dilative stability generalizes the property of selfsimilarity for infinitely divisible stochastic processes by introducing an additional scaling in the convolution exponent. Inspired by results of Igl\'oi, we will show how dilatively stable…