Related papers: Constructive martingale representation in function…
We give an infinitesimal meaning to the symbol $dX_t$ for a continuous semimartingale $X$ at an instant in time $t$. We define a vector space structure on the space of differentials at time $t$ and deduce key properties consistent with the…
We show convexity of solutions to a class of convex variational problems in the Gauss and in the Wiener space. An important tool in the proof is a representation formula for integral functionals in this infinite dimensional setting, that…
We use pathwise It\^o calculus to prove two strictly pathwise versions of the master formula in Fernholz' stochastic portfolio theory. Our first version is set within the framework of F\"ollmer's pathwise It\^o calculus and works for…
We study representations of a random variable $\xi$ as an integral of an adapted process with respect to the Lebesgue measure. The existence of such representations in two different regularity classes is characterized in terms of the…
The article is devoted to the expansion of iterated Ito stochastic integrals of second multiplicity based on expansion of the Brownian motion (standard Wiener process) using complete orthonormal systems of functions in the space $L_2([t,…
The aim of this article is to explore in all remaining aspects the spectral theory of locally normal operators. In a previous article we proved the spectral theorem in terms of locally spectral measures. Here we prove the spectral theorem…
Quadratic Wiener functionals are investigated systematically through transformations of order one on the Wiener space with the help of Malliavin calculus. The bi-directional relationship between quadratic Wiener functionals and…
In 1998, Bou\'e and Dupuis proved a variational representation for exponentials of bounded Wiener functionals. Since their proof involves arguments related to the weak convergence of probability measures, the boundedness of functionals…
Some classes of increment martingales, and the corresponding localized classes, are studied. An increment martingale is indexed by the real line and its increment processes are martingales. We focus primarily on the behavior as time goes to…
The article is devoted to one infinite parametric class of continuous functions with complicated local structure. In the article differential, integral, self-affine and other properties of functions, that their argument is represented by…
We introduce Riemannian-like structures associated with strong local Dirichlet forms on general state spaces. Such structures justify the principle that the pointwise index of the Dirichlet form represents the effective dimension of the…
The eigenfunction expansion by Gegenbauer polynomials for the diffusion on a hypersphere is transformed into the diffusion for the Wright-Fisher model with a particular mutation rate. We use the Ito calculus considering stochastic…
In this paper, we give a construction of the moduli space of filtered representations of a given quiver of fixed dimension vector with the appropriate notion of stability. The construction of the moduli of filtered representations uses the…
The logarithmic corotational derivative is a key concept in rate-type constitutive relations in continuum mechanics. The derivative is defined in terms of the logarithmic spin tensor, which is a skew-symmetric tensor/matrix given by a…
In this article we study existence of pathwise stochastic integrals with respect to a general class of $n$-dimensional Gaussian processes and a wide class of adapted integrands. More precisely, we study integrands which are functions that…
We develop a version of Herbrand's theorem for continuous logic and use it to prove that definable functions in infinite-dimensional Hilbert spaces are piecewise approximable by affine functions. We obtain similar results for definable…
We introduce a functor calculus for functors $\mathsf{FI}\to\mathcal{V}$, which we call $\mathsf{FI}$-objects, for $\mathsf{FI}$ the category of finite sets and injections and $\mathcal{V}$ a stable presentable $\infty$-category. We show…
We prove a theorem which provides a method for constructing points on varieties defined by certain smooth functions. We require that the functions are definable in a definably complete expansion of a real closed field and are locally…
We present $\sigma$-strongly functionally discrete mappings which expand the class of $\sigma$-discrete mappings and generalize Banach's theorem on analytically representable functions
Dupire's functional It\^o calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices. In this paper, we introduce a measure of…