Related papers: Stratonovich-type integral with respect to a gener…

For stochastic parabolic equation driven by a general stochastic measure, the weak solution is obtained. The integral of a random function in the equation is considered as a limit in probability of Riemann integral sums. Basic properties of…

We consider a class of functions for which the multiple Stratonovich stochastic integral or equivalent iterated Stratonovich stochastic integral with square integrable weights is defined by the orthogonal expansion. The equality of the…

We derive explicit integrability conditions for stochastic integrals taken over time and space driven by a random measure. Our main tool is a canonical decomposition of a random measure which extends the results from the purely temporal…

In the framework of vector measures and the combinatorial approach to stochastic multiple integral introduced by Rota and Wallstrom [Ann. Probab. 25 (1997) 1257--1283], we present an It\^{o} multiple integral and a Stratonovich multiple…

Given two continuous functions $f,g:I\to\mathbb{R}$ such that $g$ is positive and $f/g$ is strictly monotone, a measurable space $(T,A)$, a measurable family of $d$-variable means $m: I^d\times T\to I$, and a probability measure $\mu$ on…

The approximative theorems of incomplete Riemann-Stieltjes sums of Ito stochastic integral, mean square integral and Stratonovich stochastic integral with respect to Brownian motion are investigated. Some sufficient conditions of incomplete…

We prove the Ito-Tanaka formula and the existence of pathwise stochastic integrals for a wide class of Gaussian processes. Motivated by financial applications, we define the stochastic integrals as forward-type pathwise integrals introduced…

We perform the stochastic quantization of Yang-Mills theory in configuration space and derive the Faddeev-Popov path integral density. Based on a generalization of the stochastic gauge fixing scheme and its geometrical interpretation this…

We consider a stochastic conservation law on the line with solution-dependent diffusivity, a super-linear, sub-quadratic Hamiltonian, and smooth, spatially-homogeneous kick-type random forcing. We show that this Markov process admits a…

We propose a method to construct the stochastic integral simultaneously under a non-dominated family of probability measures. Path-by-path, and without referring to a probability measure, we construct a sequence of Lebesgue-Stieltjes…

Let $B$ be a fractional Brownian motion with Hurst parameter $H=1/6$. It is known that the symmetric Stratonovich-style Riemann sums for $\int g(B(s))\,dB(s)$ do not, in general, converge in probability. We show, however, that they do…

In this small note we explicit the relation between Ito and Stratonovich integrals when conditional measure flow components are present in the integrands. The `correction' term involves Lions-type measure derivatives and clarifies which…

For any real-valued stochastic process $X$ with c\'rdl\'rg paths we define non-empty family of processes which have locally finite total variation, have jumps of the same order as the process $X$ and uniformly approximate its paths on…

It is known that Iterated Function Systems generated by orientation preserving homeomorphisms of the unit interval admit a unique invariant measure on $(0,1)$. The setup for this result is the positivity of Lyapunov exponents at both fixed…

We present a condition for a stochastic differential equation dX_{t}={\mu}(t,X_{t})dt+{\sigma}(t,X_{t})dB_{t} to have a unique functional solution of the form Z(t,B_{t}). The condition expresses a relation between {\mu} and {\sigma}. A…

We find sufficient conditions for a probability measure $\mu$ to satisfy an inequality of the type $$ \int_{\R^d} f^2 F\Bigl(\frac{f^2}{\int_{\R^d} f^2 d \mu} \Bigr) d \mu \le C \int_{\R^d} f^2 c^{*}\Bigl(\frac{|\nabla f|}{|f|} \Bigr) d \mu…

In this work, we prove the existence of integrable solutions for the following generalized mixed-type nonlinear functional integral equation $$x(t)=g\left(t,(Tx)(t)\right)+f\left(t,\int_0^t…

The article is devoted to the expansion of iterated Stratonovich stochastic integrals of arbitrary multiplicity $k$ $(k\in\mathbb{N})$ based on the generalized iterated Fourier series converging pointwise. The case of Fourier-Legendre…

For any continuous probability measure $\mu$ on ${\mathbb R}$ we construct an IFS with probabilities having $\mu$ as its unique measure-attractor.

We show that geometric integrals of the type $\int_\Omega f\, d g^1\wedge \, d g^2$ can be defined over a two-dimensional domain $\Omega$ when the functions $f$, $g^1$, $g^2\colon \mathbb{R}^2\to \mathbb{R}$ are just H\"{o}lder continuous…