Related papers: Bismut-Elworthy-Li formulae for Bessel processes
A representation for the kernel of the transmutation operator relating the perturbed Bessel equation with the unperturbed one is obtained in the form of a functional series with coefficients calculated by a recurrent integration procedure.…
This paper develops a novel analytically tractable Neumann series of Bessel functions representation for pricing (and hedging) European-style double barrier knock-out options, which can be applied to the whole class of one-dimensional…
In this paper we derive a Bismut-Elworthy-Li type formula with respect to strong solutions to singular stochastic differential equations (SDE's) with additive noise given by a multi-dimensional fractional Brownian motion with Hurst…
We study the Bernoulli property for a class of partially hyperbolic systems arising from skew products. More precisely, we consider a hyperbolic map $(T,M,\mu)$, where $\mu$ is a Gibbs measure, an aperiodic H\"older continuous cocycle…
We study a natural measurable selection problem for which the standard uniformisation theorems do not seem to apply directly, yet a Borel selector exists. More precisely, we consider families of finite dimensional functions that admit…
Mellin convolution equations acting in Bessel potential spaces are considered. The study is based upon two results. The first one concerns the interaction of Mellin convolutions and Bessel potential operators (BPOs). In contrast to the…
For suitable families of locally infinitely divisible Markov processes $\{\xi^{{\epsilon}}_t\}_{0\leq t\leq T}$ with frequent small jumps depending on a small parameter $\epsilon>0,$ precise asymptotics for large deviations of integral…
An explicit sufficient condition on the hypercontractivity is derived for the Markov semigroup associated to a class of functional stochastic differential equations. Consequently, the semigroup $P_t$ converges exponentially to its unique…
In the paper, by virtue of the famous formula of Fa\`a di Bruno, with the aid of several identities of partial Bell polynomials, by means of a formula for derivatives of the ratio of two differentiable functions, and with availability of…
In this paper we consider square functions (also called Littlewood-Paley g-functions) associated to Hankel convolutions acting on functions in the Bochner-Lebesgue space $L^p((0,\infty),B)$, where $B$ is a UMD Banach space. As special cases…
Every exchangeable Feller process taking values in a suitably nice combinatorial state space can be constructed by a system of iterated random Lipschitz functions. In discrete time, the construction proceeds by iterated application of…
A multivariate fractional Poisson process was recently defined in Beghin and Macci (2016) by considering a common independent random time change for a finite dimensional vector of independent (non-fractional) Poisson processes; moreover it…
In this paper, we use a biorthogonal approach (Appell system) to construct and characterize the spaces of test and generalized functions associated to the fractional Poisson measure $\pi_{\lambda,\beta}$, that is, a probability measure in…
We have solved a number of holonomic PDEs derived from the Bessel modules which are related to the generating functions of classical Bessel functions and the difference Bessel functions recently discovered by Bohner and Cuchta. This…
We present a systematic analytic study of the $p$-Bessel functions $\mathcal{J}_{\omega,\varphi}^{[p]}$, a novel class of generalized Bessel functions arising from Fourier analysis on planar domains bounded by $p$-circles, including…
Motivated by constraints on the dark energy equation of state from supernova-data, we propose a formalism for the Bayesian inference of functions: Starting at a functional variant of the Kullback-Leibler divergence we construct a functional…
This paper introduces a matrix analog of the Bessel processes, taking values in the closed set $E$ of real square matrices with nonnegative determinant. They are related to the well-known Wishart processes in a simple way: the latter are…
In this paper, we show that the Bergman functions on the Siegel upper half-space enjoy the following uniqueness property: if $f\in A_t^p(\calU)$ and $\bfL^{\alpha} f\equiv 0$ for some nonnegative multi-index $\alpha$, then $f\equiv 0$,…
We derive a moment formula for generalized fractional polynomial processes, i.e., for polynomial-preserving Markov processes time-changed by an inverse L\'evy-subordinator. If the time change is inverse $\alpha$-stable, the time-derivative…
In this paper, by virtue of a determinantal formula for derivatives of the ratio between two differentiable functions, in view of the Fa\`a di Bruno formula, and with the help of several identities and closed-form formulas for the partial…