Related papers: Pathwise Stieltjes integrals of discontinuously ev…
Motivated by the limitations of the traditional definitions of the Riemann-Stieltjes and Darboux-Stieltjes integrals, we introduce a generalized Darboux-Stieltjes integral that is equivalent to an earlier generalization by Ross \cite{Ross}.…
We prove new results on the existence of positive solutions for some impulsive differential equation subject to nonlocal boundary conditions. Our boundary conditions involve an affine functional given by a Stieltjes integral. These cover…
We consider general formulations of the change of variable formula for the Riemann-Stieltjes integral, including the case when the substitution is not invertible.
In this paper, we consider the composition of two independent processes : one process corresponds to position and the other one to time. Such processes will be called iterated processes. We first propose an algorithm based on the Euler…
We construct a new topology on the space of stopped paths and introduce a calculus for causal functionals on generic domains of this space. We propose a generic approach to pathwise integration without any assumption on the variation index…
This paper gives several simple constructions of the pathwise Ito integral $\int_0^t\phi d\omega$ for an integrand $\phi$ and a price path $\omega$ as integrator, with $\phi$ and $\omega$ satisfying various topological and analytical…
Stochastic computational models in the form of pure jump processes occur frequently in the description of chemical reactive processes, of ion channel dynamics, and of the spread of infections in populations. For spatially extended models,…
In this article, we propose a way to consider processes indexed by a collection $\mathcal{A}$ of subsets of a general set $\mathcal{T}$. A large class of vector spaces, manifolds and continuous $\mathbb{R}$-trees are particular cases.…
We develop a stochastic integration theory for predictable integrands with respect to a L\'evy basis. Our approach is based on decoupling inequalities for tangent sequences and reduces the construction of the stochastic integral essentially…
This paper introduces a comprehensive extension of the path integral formalism to model stochastic processes with arbitrary multiplicative noise. To do so, It\^o diffusive process is generalized by incorporating a multiplicative noise term…
We consider a stochastic differential equation of the form \[dX_t=\theta a(t,X_t)\,dt+\sigma_1(t,X_t)\sigma_2(t,Y_t)\,dW_t\] with multiplicative stochastic volatility, where $Y$ is some adapted stochastic process. We prove…
Studying sample path behaviour of stochastic fields/processes is a classical research topic in probability theory and related areas such as fractal geometry. To this end, many methods have been developed since a long time in Gaussian…
We provide an efficient method to evaluate the generalized Stieltjes constants $\gamma_n(a)$ numerically to arbitrary accuracy for large $n$ and $n \gg |a|$ values. The method uses an integral representation for the constants and evaluates…
The aim of the presented research is to give a rigorous mathematical approach to Feynman path integrals based on strong (pathwise) approximations based on simple random walks.
Stochastic integrals are defined with respect to a collection $P = (P_i; \, i \in I)$ of continuous semimartingales, imposing no assumptions on the index set $I$ and the subspace of $\mathbb{R}^I$ where $P$ takes values. The integrals are…
We study stochastic volatility models in which the volatility process is a positive continuous function of a continuous Volterra stochastic process. We state some pathwise large deviation principles for the scaled log-price.
In this paper we prove pointwise and distributional Fourier transform inversion theorems for functions on the real line that are locally of bounded variation, while in a neighbourhood of infinity are Lebesgue integrable or have polynomial…
In this master thesis, a new approximation scheme to non-relativistic potential scattering is developed and discussed. The starting points are two exact path integral representations of the T-matrix, which permit the application of the…
In this note we prove an existence and uniqueness result for the solution of multidimensional stochastic delay differential equations with normal reflection. The equations are driven by a fractional Brownian motion with Hurst parameter…
We consider inequalities where integrals are defined in the sense of Choquet with respect to Hausdorff content. We study cases where continuously differentiable functions are defined on open, connected sets with so much regularity that…