Related papers: Constructive martingale representation in function…
Using the quadrature bases that incorporate the spatiotemporal degrees of freedom, we develop a Wigner functional theory for quantum optics, as an extension of the Moyal formalism. Since the spatiotemporal quadrature bases span the complete…
We develop the mathematics of a filtration shrinkage model that has recently been considered in the credit risk modeling literature. Given a finite collection of points $x_1<...<x_N$ in $\mathbb{R}$, the region indicator function $R(x)$…
Given a general It\^o semimartingale, its Markovian projection is an It\^o process, with Markovian differential characteristics, that matches the one-dimensional marginal laws of the original process. We construct Markovian projections for…
The main result of the article reads: the distribution of a continuous starting from zero local martingale whose quadratic characteristic is almost surely absolutely continuous with respect to some non-random increasing continuous function…
The article is devoted to a new proof of the expansion for iterated Ito stochastic integrals with respect to the components of a multidimensional Wiener process. The above expansion is based on Hermite polynomials and generalized multiple…
In this paper, we aim at characterizing generalized functionals of discrete-time normal martingales. Let $M=(M_n)_{n\in \mathbb{N}}$ be a discrete-time normal martingale that has the chaotic representation property. We first construct…
We construct a Wach module for the absolutely semi-stable representations the filtered $(\varphi, N)$-module of which satisfies the Griffiths transversality, which happens in particular for ordinary representations. This construction…
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 consider functional equations (Cauchy's, Abel's and some other functional equations) and show that to find general solution of these equations is equivalent to establish that a space-transformation of a Brownian Motion by suitable…
In this work, we establish pathwise functional It\^o formulas for non-smooth functionals of real-valued continuous semimartingales. Under finite $(p,q)$-variation regularity assumptions in the sense of two-dimensional Young integration…
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…
We prove that Tietze Extension does not always exist in constructive mathematics if closed sets on which the function we are extending are defined as sequentially closed sets. Firstly, we take a discrete metric space as our topological…
We prove change of variables formulas [It\^o formulas] for functions of both arithmetic and geometric averages of geometric fractional Brownian motion. They are valid for all convex functions, not only for smooth ones. These change of…
The addition relation for the Riemann theta functions and for its limits, which lead to the appearance of exponential functions in soliton type equations is discussed. The presented form of addition property resolves itself to the…
On a reflexive Banach space $X$, if an operator $T$ admits a functional calculus for the absolutely continuous functions on its spectrum $\sigma(T) \subseteq \mathbb{R}$, then this functional calculus can always be extended to include all…
This paper focuses on the equivalent expression of fractional integrals/derivatives with an infinite series. A universal framework for fractional Taylor series is developed by expanding an analytic function at the initial instant or the…
This paper provides an extension of the constructive loop vertex expansion to stable matrix models with interactions of arbitrarily high order. We introduce a new representation for such models, then perform a forest expansion on this…
We present generating functions for extensions of multiplicative invariants of wreath symmetric products of orbifolds presented as the quotient by the locally free action of a compact, connected Lie group in terms of orbifold sector…
A general diffusion semimartingale is a one-dimensional path-continuous semimartingale that is also a regular strong Markov process. We say that a continuous semimartingale has the representation property if all local martingales w.r.t. its…
Cantor's ordinal numbers, a powerful extension of the natural numbers, are a cornerstone of set theory. They can be used to reason about the termination of processes, prove the consistency of logical systems, and justify some of the core…