Related papers: A stochastic integral of operator-valued functions
In this work, we present a comprehensive theory of stochastic integration with respect to arbitrary cylindrical L\'evy processes in Hilbert spaces. Since cylindrical L\'evy processes do not enjoy a semi-martingale decomposition, our…
The purpose of this paper is to study certain set-valued integrals in UMD Banach spaces and provide a compatible form of the martingale representation theorem for set-valued martingales. Under specific conditions, these martingales can be…
A recent characterisation of Fock-adapted contraction operator stochastic cocycles on a Hilbert space, in terms of their associated semigroups, yields a general principle for the construction of such cocycles by approximation of their…
In this work we introduce a theory of stochastic integration with respect to general cylindrical semimartingales defined on a locally convex space $\Phi$. Our construction of the stochastic integral is based on the theory of tensor products…
We show that every operator in $L^{2}$ has an associated measure on a space of functions and prove that it can be used to find solutions to abstract Cauchy problems, including partial differential equations. We find explicit formulas to…
In this paper we survey and bring together several approaches to obtaining inner functions for Toeplitz operators. These approaches include the classical definition, the Wold decomposition, the operator-valued Poisson Integral, and Clark…
We introduce a stochastic fractional calculus. As an application, we present a stochastic fractional calculus of variations, which generalizes the fractional calculus of variations to stochastic processes. A stochastic fractional…
This paper considers the problem of constructing finite-dimensional state space realizations for stochastic processes that can be represented as the outputs of a certain type of a causal system driven by a continuous semimartingale input…
It is shown that under a certain condition on a semimartingale and a time-change, any stochastic integral driven by the time-changed semimartingale is a time-changed stochastic integral driven by the original semimartingale. As a direct…
We develop an operator-theoretic formulation of stochastic calculus for fractional Brownian motion with Hurst parameter H in (0, 1/2). The approach is based on adjointness between stochastic integration and differentiation in the…
We consider a multidimensional Ito semimartingale regularly sampled on [0,t] at high frequency $1/\Delta_n$, with $\Delta_n$ going to zero. The goal of this paper is to provide an estimator for the integral over [0,t] of a given function of…
Chen, Fitzsimmons, Kuwae and Zhang (Ann. Probab. 36 (2008) 931-970) have established an Ito formula consisting in the development of F(u(X)) for a symmetric Markov process X, a function u in the Dirichlet space of X and any…
In this article the authors present stochastic first integrals (SFI), the generalized It\^o-Wentzell formula and its application for obtaining the equations for SFI, for kernel functions for integral invariants and the Kolmogorov equations,…
We discuss in a stochastic framework the interplay between Riemann-Liouville type operators applied to stochastic processes, real interpolation, bounded mean oscillation, and an approximation problem for stochastic integrals. We provide…
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…
We establish It\^o's formula along flows of probability measures associated with general semimartingales; this generalizes existing results for flows of measures on It\^o processes. Our approach is to first establish It\^o's formula for…
We develop a theory of Hilbert-space valued stochastic integration with respect to cylindrical martingale-valued measures. As part of our construction, we expand the concept of quadratic variation, introduced by Veraar and Yaroslavtsev…
In this paper, we will introduce a new notion, that of $K$-Integral operator frames in the set of all bounded linear operators noted $\mathcal{B}(H)$, where $H$ is a separable Hilbert space. Also, we prove some results of integral…
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…
Proper splittings of operators are commonly used to study the convergence of iterative processes. In order to approximate solutions of operator equations, in this article we deal with proper splittings of closed range bounded linear…