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For local martingales with nonnegative jumps, we prove a sufficient criterion for the corresponding exponential martingale to be a true martingale. The criterion is in terms of exponential moments of a convex combination of the optional and…
We study convexity and monotonicity properties of option prices in a model with jumps using the fact that these prices satisfy certain parabolic integro-differential equations. Conditions are provided under which preservation of convexity…
We present a Cameron--Martin type quasi-invariance theorem for subordinate Brownian motion. As applications, we establish an integration by parts formula and construct a gradient operator on the path space of subordinate Brownian motion,…
We develop Cresson's nondifferentiable calculus of variations on the space of H\"{o}lder functions. Several quantum variational problems are considered: with and without constraints, with one and more than one independent variable, of first…
This paper targets to study the effect of the Riemann-Liouville fractional integral operator on unbounded variation points of a continuous function. In particular, we show that the fractional integral preserves the bounded variation points…
We study a functional that derives from the classical Yang-Mills functional and Born-Infeld theory. We establish its first variation formula and prove the existence of critical points. We also obtain the second variation formula.
In this paper, we establish UMD lattice-valued variational inequalities for differential operators, ergodic averages and analytic semigroups. These results generalize, on the one hand some scalar-valued variational inequalities in ergodic…
The study of stochastic variational principles involves the problem of constructing fixed-endpoint and adapted variations of semimartingales. We provide a detailed construction of variations of semimartingales that are not only fixed at…
In this paper we study the Fourier estimator of Malliavin and Mancino for the spot volatility. We establish the convergence of the trigonometric polynomial to the volatility's path in a setting that includes the following aspects. First,…
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…
Starting from Rodrigues formula we present a general construction of raising and lowering operators for orthogonal polynomials of continuous and discrete variable on uniform lattice. In order to have these operators mutually adjoint we…
In this paper, we study the problem of pointwise estimation of a multivariate function. We develop a general pointwise estimation procedure that is based on selection of estimators from a large parameterized collection. An upper bound on…
We investigate operator-valued monotone independence, a noncommutative version of independence for conditional expectation. First we introduce operator-valued monotone cumulants to clarify the whole theory and show the moment-cumulant…
In this paper, we consider a generalization of variational calculus which allows us to consider in the same framework different cases of mechanical systems, for instance, Lagrangian mechanics, Hamiltonian mechanics, systems subjected to…
In this paper, we verify the $L^2$-boundedness for the jump functions and variations of Calder\'on-Zygmund singular integral operators with the underlying kernels satisfying \begin{align*}\int_{\varepsilon\leq |x-y|\leq N}…
Operators play a substantial role in mathematical formalism of quantum mechanics. However, explicit forms of the operators are usually postulated, based on the intuitive assumptions. In this study, variational principle was applied to the…
The paper develops a calculus for a class of real-valued functions having a quadratic variation. The main result is a solution of the representation problem for a class of evolutions having a quadratic variation. The result is applied to…
Uniform large deviation principles for positive functionals of all equivalent types of infinite dimensional Brownian motions acting together with a Poisson random measure are established. The core of our approach is a variational…
In this paper a new variational approach concerning functions (continuous) over Hilbert spaces is presented.
We use the Schwinger action principle to obtain the equations of motion in the Koopman-von Neumann operational version of classical mechanics. We restrict our analysis to non-dissipative systems. We show that the Schwinger action principle…