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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 propose to use Tarski's least fixpoint theorem as a basis to define recursive functions in the calculus of inductive constructions. This widens the class of functions that can be modeled in type-theory based theorem proving tool to…
Representation theorems relate seemingly complex objects to concrete, more tractable ones. In this paper, we take advantage of the abstraction power of category theory and provide a general representation theorem for a wide class of…
We work in the setting of the progressive enlargement $\mathbb G$ of a reference filtration $\mathbb F$ through the observation of a random time $\tau$. We study an integral representation property for some classes of $\mathbb…
We use categorical method and birational geometry to study moduli spaces of quiver representations. From certain "representable" functor, we construct a birational transformation from the moduli space of representations of one quiver to…
We introduce a certain type of representations for the quantum Teichmuller space of a punctured surface, which we call local representations. We show that, up to finitely many choices, these purely algebraic representations are classified…
Several versions of It\^{o}'s formula have been obtained in the setting of the functional stochastic calculus. In this regard, we present a local time-space version that works for arbitrary bounded and continuous functionals of L\'{e}vy…
In the present paper, a stochastic Taylor expansion of some functional applied to the solution process of an It\^o or Stratonovich stochastic differential equation with a multi-dimensional driving Wiener process is given. Therefore, the…
We investigate Bochner integrabilities of generalized Wiener functionals. We further formulate an It\^o formula for a diffusion in a distributional setting, and apply to investigate differentiability-index $s$ and integrability-index $p…
A simple nonlinear integral equation for Ito's map is obtained. Although, it does not include stochastic integrals, it does give causal construction of diffusion processes which can be easily implemented by iteration systems. Applications…
We introduce spaces of exponential constructible functions in the motivic setting for which we construct direct image functors in the absolute and relative cases. This allows us to define a motivic Fourier transformation for which we get…
We extend the It\^o-Wentzell formula for the evolution along a continuous semimartingale of a time-dependent stochastic field driven by a continuous semimartingale to tensor field-valued stochastic processes on manifolds. More concretely,…
Hermite processes are a class of self-similar processes with stationary increments. They often arise in limit theorems under long-range dependence. We derive new representations of Hermite processes with multiple Wiener-It\^o integrals,…
We provide sufficient conditions for the existence of a strong derivable map and calculate its derivative by employing a result in our previous work on strong derivability of maps arising by functional calculus of an unbounded scalar type…
The martingale expansion provides a refined approximation to the marginal distributions of martingales beyond the normal approximation implied by the martingale central limit theorem. We develop a martingale expansion framework specifically…
We introduce spaces of exponential constructible functions in the motivic setting for which we construct direct image functors in the absolute and relative cases. This allows us to define a motivic Fourier transformation for which we get…
New proofs are given of the existence of the compensator (or dual predictable projection) of a locally integrable c\'adl\'ag adapted process of finite variation and of the existence of the quadratic variation process for a c\'adl\'ag local…
Ito's Lemma implies that if $W$ is a Wiener process and $f$ is a twice continuously differentiable function, then the process $f(W)$ is the sum of a time integral and an Ito integral. The Ito integrand is not necessarily locally square…
In a recent paper, the author introduced a rich class $NC^k(\mathbb{R})$ of "noncommutative $C^k$" functions $\mathbb{R} \to \mathbb{C}$ whose operator functional calculus is $k$-times differentiable and has derivatives expressible in terms…
We study the strong predictable representation property in filtrations initially enlarged with a random variable L. We prove that the strong predictable representation property can always be transferred to the enlarged filtration as long as…