Related papers: Distributional It\^o's Formula and Regularization …
A fractional generalization of the second author's higher-order diffusion theory is given and fundamental solutions are obtained. The extension from the integer to the fractional case involves a proper treatment of the fractional Laplacian…
We study generalized diffusion-wave equation in which the second order time derivative is replaced by integro-differential operator. It yields time fractional and distributed order time fractional diffusion-wave equations as particular…
We define the notion of "diffusion algebras". They are quadratic Poincare-Birkhoff-Witt (PBW) algebras which are useful in order to find exact expressions for the probability distributions of stationary states appearing in one-dimensional…
We show that an interesting class of functionals of stochastic differential equations can be approximated by a Chen-Fliess series of iterated stochastic integrals and give a L^{2} error estimate, thus generalizing the standard stochastic…
In this paper we study a group theoretical generalization of the well-known Gauss's formula that uses the generalized Euler's totient function introduced in [11].
If X is a d-dimensional uniformly elliptic diffusion, with initial law nu, we show that F(X) is a Dirichlet process, whenever F satisfies an integrability condition linking its weak derivative to the coefficients of the diffusion and the…
Within the functional calculi of Bochner-Phillips and Hirsch, we describe the operators of distributed order differentiation and integration as functions of the classical differentiation and integration operators respectively.
In these lecture notes, we explore the mathematical preliminaries and foundational concepts that connect stochastic processes with partial differential equations. We begin by investigating Brownian motion, which serves as a model for random…
A peculiar feature of It\^o's calculus is that it is an integral calculus that gives no explicit derivative with a systematic differentiation theory counterpart, as in elementary calculus. So, can we define a pathwise stochastic derivative…
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 this paper, we combine Hida distribution theory and Sobolev-Watanabe-Kree spaces in order to study finely the link between forward integrals obtained by regularization and Wick-It\^o integrals with respect to fractional Brownian motion…
After different variables and functions changes, the generalized dispersal problem, recalled in (1) below and considered in part I, see [14], leads us to invert a sum of linear operators in a suitable Banach space, see (2) below. The…
A generalization of the quotient integral formula is presented and some of its properties are investigated. Also the relations between two function spaces related to the spacial homogeneous spaces are derived by using general quotient…
In a previous article \cite{kn:anirban1} a method has been introduced to derive the all order Bose-Einstein distribution of the non interacting Bosons as the solution of the Wigner equation. The process was a perturbative one where the…
In this paper we generalize the partial spread class and completely describe it for generalized Boolean functions from $\F_2^n$ to $\mathbb{Z}_{2^t}$. Explicitly, we describe gbent functions from $\F_2^n$ to $\mathbb{Z}_{2^t}$, which can be…
A general way of representing Stochastic Differential Equations (SDEs) on smooth manifold is based on Schwartz morphism. In this manuscript we are interested in SDEs on a smooth manifold $M$ that are driven by p-dimensional Wiener process…
We implement an efficient method of computation of two dimensional Fourier-type integrals based on approximation of the integrand by Gaussian radial basis functions, which constitute a standard tool in approximation theory. As a result, we…
In this paper we review the extent to which one can use classical distribution theory in describing solutions of Einstein's equations. We show that there are a number of physically interesting cases which cannot be treated using…
We study the boundary behavior of solutions to the Dirichlet problems for integro-differential operators with order of differentiability $s \in (0, 1)$ and summability $p>1$. We establish a nonlocal counterpart of the Wiener criterion,…
This is a review of statistical inference methodology for stochastic differential equations driven by fractional Brownian motion, otherwise called fractional diffusions. The first section reviews the theory needed to rigorously define them.…