Related papers: Constructive martingale representation in function…

For any strictly positive martingale $S = \exp(X)$ for which $X$ has a characteristic function, we provide an expansion for the implied volatility. This expansion is explicit in the sense that it involves no integrals, but only polynomials…

Let the process Y(t) be a Skorohod integral process with respect to Brownian motion. We use a recent result by Tudor (2004), to prove that Y(t) can be represented as the limit of linear combinations of processes that are products of forward…

A relationship between the functional Schr\"odinger representation and the precanonical quantization of a scalar field theory is extended to an arbitrary curved space-time. The canonical functional derivative Schr\"odinger equation is…

This note studies the martingale property of a nonnegative, continuous local martingale Z, given as a nonanticipative functional of a solution to a stochastic differential equation. The condition states that Z is a (uniformly integrable)…

The Wright function, which arises in the theory of the space-time fractional diffusion equation, is an interesting mathematical object which has diverse connections with other special and elementary functions. The Wright function provides a…

We define an extension of operator-valued positive definite functions from the real or complex setting to topological algebras, and describe their associated reproducing kernel spaces. The case of entire functions is of special interest,…

This note aims to highlight the link between representable functionals and derivations on a Banach quasi *-algebra, i.e. a mathematical structure that can be seen as the completion of a normed *-algebra in the case the multiplication is…

In this paper we present a systematic study of continuous local iterated function systems. We prove local iterated function systems admit compact attractors and, under a contractivity assumption, construct their code space and present an…

The Functional Machine Calculus (Heijltjes 2022) is an extension of the lambda-calculus that preserves confluent reduction and typed termination, while enabling both call-by-name and call-by-value reduction behaviour and encoding the…

We provide an It\^o's formula for $C^1$-functionals of flows of conditional marginal distributions of continuous semimartingales. This is based on the notion of weak Dirichlet process, and extends the $C^1$-It\^o's formula in Gozzi and…

Local fractional calculus deals with everywhere continuous but nowhere differentiable functions in fractal space. The Yang-Fourier transform based on the local fractional calculus is a generalization of Fourier transform in fractal space.…

The integral representation on the orthogonal groups for zonal spherical functions on the symmetric space $SU(N)/SO(N,\R)$ is used to obtain a generating function for such functions. For the case N=3 the three-dimensional integral…

With the use of tensor product of Hilbert space, and a diagonalization procedure from operator theory, we derive an approximation formula for a general class of stochastic integrals. Further we establish a generalized Fourier expansion for…

For a family of weight functions invariant under a finite reflection group, the boundedness of a maximal function on the unit sphere is established and used to prove a multiplier theorem for the orthogonal expansions with respect to the…

For a vertex operator algebra $V$, one may naturally define spaces of conformal blocks following a construction of Frenkel-Ben-Zvi generalized by Damiolini-Gibney-Tarasca. If $V$ is strongly rational, these spaces of conformal blocks form…

Let $(\mathcal{E},D(\mathcal{E}))$ be a quasi-regular semi-Dirichlet form and $(X_t)_{t\geq0}$ be the associated Markov process. For $u\in D(\mathcal{E})_{loc}$, denote $A_t^{[u]}:=\tilde{u}(X_{t})-\tilde{u}(X_{0})$ and…

A space of local martingales of SLE type growth processes forms a representation of Virasoro algebra, but apart from a few simplest cases not much is known about this representation. The purpose of this article is to exhibit examples of…

We introduce a modified version of the Whitney extension operators for collections of functions from a closed subset of $\mathbb{R}^n$ into scales of Banach spaces with smoothing operators. We prove an extension theorem for collections…

We present two examples of loss of the predictable representation property for semi-martingales by enlargement of the reference filtration. First of all we show that the predictable representation property for a square-integrable…

We consider additive functionals of stationary Markov processes and show that under Kipnis-Varadhan type conditions they converge in rough path topology to a Stratonovich Brownian motion, with a correction to the Levy area that can be…