Related papers: Constructive martingale representation in function…

Let $\mathcal{R}$ be an $\mathrm{NIP}$ expansion of $(\mathbb{R},<,+)$ by closed subsets of $\mathbb{R}^n$ and continuous functions $f : \mathbb{R}^m \to \mathbb{R}^n$. Then $\mathcal{R}$ is generically locally o-minimal. It follows that if…

For a commutative quantale $\mathcal{V}$, the category $\mathcal{V}-cat$ can be perceived as a category of generalised metric spaces and non-expanding maps. We show that any type constructor $T$ (formalised as an endofunctor on sets) can be…

We consider decompositions of processes of the form $Y=f(t,X_t)$ where $X$ is a semimartingale. The function $f$ is not required to be differentiable, so It\^{o}'s lemma does not apply. In the case where $f(t,x)$ is independent of $t$, it…

We show how one may establish proof-theoretic results for constructive Zermelo-Fraenkel set theory, such as the compactness rule for Cantor space and the Bar Induction rule for Baire space, by constructing sheaf models and using their…

This work is concerned with the theory of initial and progressive enlargements of a reference filtration F with a random time {\tau}. We provide, under an equivalence assumption, slightly stronger than the absolute continuity assumption of…

An analytic proof is proposed of Wiener's theorem on factorization of positive definite matrix-functions.

In this paper we study the structure of square integrable functionals measurable with respect to coalescing stochastic flows. The case of $L^2$ space generated by the process $\eta(\cdot)=w(\min(\tau,\cdot)),$ where $w$ is a Brownian motion…

For a rational function of several variables with nonnegative imaginary part on the upper poly-half-plane, the matrix representations are obtained.

Circuit representations are becoming the lingua franca to express and reason about tractable generative and discriminative models. In this paper, we show how complex inference scenarios for these models that commonly arise in machine…

We establish a universal approximation theorem for signatures of rough paths that are not necessarily weakly geometric. By extending the path with time and its rough path bracket terms, we prove that linear functionals of the signature of…

The theory of fractional calculus has developed in a number of directions over the years, including: the formulation of multiple different definitions of fractional differintegration; the extension of various properties of standard calculus…

We discuss algebraic and geometric properties of the It{\^o} calculus

The enlargement of filtration theory is a study of semimartingales when the basic filtration changes. This theory provides particular techniques on stochastic calculus. We present here a technique, that we call the local solution method. We…

In this short note we use ideas from systems theory to define a functional calculus for infinitesimal generators of strongly continuous semigroups on a Hilbert space. Among others, we show how this leads to new proofs of (known) results in…

In this paper we extend the notion of ``filtration-consistent nonlinear expectation" (or "${\cal F}$-consistent nonlinear expectation") to the case when it is allowed to be dominated by a $g$-expectation that may have a quadratic growth. We…

We prove the max-martingale conjecture given in recent article with Marc Yor. We show that for a continuous local martingale $(N\_t:t\ge 0)$ and a function $H:R x R\_+\to R$, $H(N\_t,\sup\_{s\leq t}N\_s)$ is a local martingale if and only…

In [22], it was proved that as long as the integrand has certain properties, the corresponding It\^o integral can be written as a (parameterized) Lebesgue integral (or a Bochner integral). In this paper, we show that such a question can be…

From a transfer formula in multivariate finite operator calculus, comes an expansion for the determinant similar to Ryser's formula for the permanent. Although this one contains many more terms than the usual determinant formula. To prove…

A conformal map from a Riemann surface to the Euclidean four-space is explained in terms of its twistor lift. A local factorization of a differential of a conformal map is obtained. As an application, the factorization of a differential…

The ability to persist in the spacial environment is, not only in the robotic context, an essential feature. Positional knowledge is one of the most important aspects of space and a number of methods to represent these information have been…