Related papers: Functional It\=o calculus in Hilbert spaces and ap…
In the present note a functional calculus $\phi \mapsto \phi(A)$ for self-adjoint definitizable linear relation on Krein spaces is developed. This functional calculus is the proper analogue of $\phi \mapsto \int \phi \, dE$ in the Hilbert…
We provide an It\^o's formula for $C^1$-functionals of flows of conditional marginal distributions of continuous semimartingales. This is based on the notion of weak Dirichlet process, and extends the $C^1$-It\^o's formula in Gozzi and…
The aim of this work is to define a continuous functional calculus in quaternionic Hilbert spaces, starting from basic issues regarding the notion of spherical spectrum of a normal operator. As properties of the spherical spectrum suggest,…
In this note we define and study a Hilbert space-valued stochastic integral of operator-valued functions with respect to Hilbert space-valued measures. We show that this integral generalizes the classical Ito stochastic integral of adapted…
Motivated by extending the functional stochastic calculus, to important functionals to which it does not apply, a notion of functional derivative along a curve is introduced. This new setting is developed by incorporating path-dependent…
This paper presents a systematic study of the calculus of interval-valued functions and its application to interval differential equations. To this end, first, we introduce new interval arithmetic operations. Under new operations, the space…
In an abstract Hilbert space setting, we discuss many linear phenomena of mathematical physics. The functional analytic framework presented is used to address continuous dependence of the solution operators $\mathcal{S}(\mathcal{M})$ of…
A certain class of matrix-valued Borel matrix functions is introduced and it is shown that all functions of that class naturally operate on any operator T in a finite type I von Neumann algebra M in a way such that uniformly bounded…
In this paper we propose a notion of viscosity solutions for path dependent semi-linear parabolic PDEs. This can also be viewed as viscosity solutions of non-Markovian backward SDEs, and thus extends the well-known nonlinear Feynman-Kac…
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…
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…
The functional Ito formula, firstly introduced by Bruno Dupire for continuous semimartingales, might be extended in two directions: different dynamics for the underlying process and/or weaker assumptions on the regularity of the functional.…
We derive an It\^o-type formula for a measure-valued process that has a decomposition analogous to a classical semimartingale. The derivation begins with a time partitioning approach similar to the classical proof of It\^o's formula. To…
We construct a diffeomorphism invariant (Colombeau-type) differential algebra canonically containing the space of distributions in the sense of L. Schwartz. Employing differential calculus in infinite dimensional (convenient) vector spaces,…
In a 2006 article (\cite{A1}), Allouba gave his quadratic covariation differentiation theory for It\^o's integral calculus. He defined the derivative of a semimartingale with respect to a Brownian motion as the time derivative of their…
We show for a certain class of operators $A$ and holomorphic functions $f$ that the functional calculus $A\mapsto f(A)$ is holomorphic. Using this result we are able to prove that fractional Laplacians $(1+\Delta^g)^p$ depend real…
For non-anticipative functionals, differentiable in Chitashvili's sense, the It\^o formula for cadlag semimartingales is proved. Relations between different notions of functional derivatives are established.
This dissertation focuses on developing a new construction of a functional calculus using Henstock-Kurzweil integration methods. The assignment of a functional calculus will be applied to self-adjoint operators. We will address both the…
The concept of the derivative-dependent functional separable solution, as a generalization to the functional separable solution, is proposed. As an application, it is used to discuss the generalized nonlinear diffusion equations based on…
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…