Related papers: Bismut-Elworthy-Li formulae for Bessel processes

We discuss Hilbert space-valued stochastic differential equations associated with the heat semi-groups of the standard model of non-relativistic quantum electrodynamics and of corresponding fiber Hamiltonians for translation invariant…

This paper provides a probabilistic approach to solve linear equations involving Caputo and Riemann-Liouville type derivatives. Using the probabilistic interpretation of these operators as the generators of interrupted Feller processes, we…

In this work we show that it is possible to calculate the fractional integrals and derivatives of order $\alpha$ (using the Riemann-Liouville formulation) of power functions $\left( t-\ast\right) ^{\beta}$ with $\beta$ being any real value,…

Let $X$ be a $d$-dimensional Gaussian process in $[0,1]$, where the component are independent copies of a scalar Gaussian process $X_0$ on $[0,1]$ with a given general variance function $\gamma^2(r)=\operatorname{Var}\left(X_0(r)\right)$…

In this paper we discuss a closed-form approximation of the likelihood functions of an arbitrary diffusion process. The approximation is based on an exponential ansatz of the transition probability for a finite time step $\Delta t$, and a…

This work is devoted to the study of Bessel and Riesz systems of the type $\big\{L_{\gamma}\mathsf{f}\big\}_{\gamma\in \Gamma}$ obtained from the action of the left regular representation $L_{\gamma}$ of a discrete non abelian group…

This paper is about lower and upper bounds for the Hausdorff dimension of the level and collision sets of a class of Feller processes. Our approach is motivated by analogous results for L\'evy processes by Hawkes (for level sets), Taylor…

It is known that the Bessel--Fourier coefficients $f_m$ of a function $f$ such that $\sqrt{x}f(x)$ is integrable over $[0,1]$ satisfy $f_m/\sqrt{m}\to 0$. We show a partial converse, namely that for $0\leq \alpha<1/2$ and any non-negative…

We prove duality relations for two interacting particle systems: the $q$-deformed totally asymmetric simple exclusion process ($q$-TASEP) and the asymmetric simple exclusion process (ASEP). Expectations of the duality functionals correspond…

Elementary transformations of equations $A\psi=\lambda\psi$ are considered. The invertibility condition (Theorem 1) is established and similar transformations of Riccati equations in the case of second order differential operator $A$ are…

Suppose that P_{\theta}(g) is a linear functional of a Dirichlet process with shape \theta H, where \theta >0 is the total mass and H is a fixed probability measure. This paper describes how one can use the well-known Bayesian prior to…

Bessel-type convolution algebras of bounded Borel measures on the matrix cones of positive semidefinite $q\times q$-matrices over $\mathbb R, \mathbb C, \mathbb H$ were introduced recently by R\"osler. These convolutions depend on some…

We consider consistent diffusion dynamics, leaving the celebrated Hua-Pickrell measures, depending on a complex parameter $s$, invariant. These, give rise to Feller-Markov processes on the infinite dimensional boundary $\Omega$ of the…

We derive explicit expressions for the parameter derivatives $[\partial^{2}P_{\nu}(z)/\partial\nu^{2}]_{\nu=0}$ and $[\partial^{3}P_{\nu}(z)/\partial\nu^{3}]_{\nu=0}$, where $P_{\nu}(z)$ is the Legendre function of the first kind. It is…

The infinitesimal generator of a one-dimensional strictly $\alpha$-stable process can be represented as a weighted sum of (right and left) Riemann-Liouville fractional derivatives of order $\alpha$ and one obtains the fractional Laplacian…

We develop a coordinate-free probabilistic framework for determinantal point processes associated with Bergman kernels on compact complex manifolds. The basic issue is that Bergman kernels are naturally line-bundle-valued:…

We consider $N$ Bernoulli random variables, which are independent conditional on a common random factor determining their probability distribution. We show that certain expected functionals of the proportion $L_N$ of variables in a given…

By using Malliavin calculus, Bismut derivative formulae are established for a class of stochastic (functional) differential equations driven by fractional Brownian motions. As applications, Harnack type inequalities and strong Feller…

Multivariate Bessel processes, otherwise known as radial Dunkl processes, are stochastic processes defined in a Weyl chamber that are repelled from the latter's boundary by a singular drift with a strength given by the multiplicity function…

We prove that every irreducible, admissible representation of GSp(4,F), where F is a non-archimedean local field of characteristic zero, admits a Bessel functional, provided the representation is not one-dimensional. Given such a…