Related papers: A weak version of path-dependent functional It\^o …
In this paper, we show an approximation in law, in the space of the continuous functions on $[0,1]^2$, of two-parameter Gaussian processes that can be represented as a Wiener type integral by processes constructed from processes that…
We approximate stochastic processes in finite dimension by dynamical systems. We provide trajectorial estimates which are uniform with respect to the initial condition for a well chosen distance. This relies on some non-expansivity property…
We consider exponential functionals of a multi-dimensional Brownian motion with drift, defined via a collection of linear functionals. We give a characterization of the Laplace transform of their joint law as the unique bounded solution, up…
We investigate the Weighted Energy-Dissipation variational approach to semilinear gradient flows with state-dependent dissipation. A family of parameter-dependent functionals defined over entire trajectories is introduced and proved to…
These notes rigorously construct the stochastic integral of a Hilbert Space valued process driven by a Cylindrical Brownian Motion. We expand upon this stochastic calculus to present an introduction to stochastic differential equations in…
This paper presents new results on the Edgeworth expansion for high frequency functionals of continuous diffusion processes. We derive asymptotic expansions for weighted functionals of the Brownian motion and apply them to provide the…
We implement gradient-based variational inference routines for Wishart and inverse Wishart processes, which we apply as Bayesian models for the dynamic, heteroskedastic covariance matrix of a multivariate time series. The Wishart and…
We consider the problem of maximising expected utility from terminal wealth in a semimartingale setting, where the semimartingale is written as a sum of a time-changed Brownian motion and a finite variation process. To solve this problem,…
We prove an integration by parts formula on the law of the reflecting Brownian motion $X:=|B|$ in the positive half line, where $B$ is a standard Brownian motion. In other terms, we consider a perturbation of $X$ of the form $X^\epsilon =…
Under certain mild conditions, some limit theorems for functionals of two independent Gaussian processes are obtained. The results apply to general Gaussian processes including fractional Brownian motion, sub-fractional Brownian motion and…
The main objective consists in generalizing a well-known It{\^o} formula of J. Jacod and A. Shiryaev: given a c{\`a}dl{\`a}g process S, there is an equivalence between the fact that S is a semimartingale with given characteristics (B^k , C,…
We investigate the well-posedness of stochastic differential equations driven by fractional Brownian motion, focusing on the long-range dependent case $H \in (\frac{1}{2}, 1)$. While existing results on regularization by such noise…
We derive the explicit form of the martingale representation for square-integrable processes that are martingales with respect to the natural filtration of the super-Brownian motion. This is done by using a weak extension of the Dupire…
We describe the class of functions $f: R^n\to R^m$ which transform a vector Brownian Motion into a martingale and use this description to give martingale characterization of the general measurable solution of the multidimensional Cauchy…
We advance a variational method to prove qualitative properties such as symmetries, monotonicity, upper and lower bounds, sign properties, and comparison principles for a large class of doubly-nonlinear evolutionary problems including…
In this paper we consider stochastic integration with respect to cylindrical Brownian motion in infinite dimensional spaces. We study weak characterizations of stochastic integrability and present a natural continuation of results of van…
Approximations of fractional Brownian motion using Poisson processes whose parameter sets have the same dimensions as the approximated processes have been studied in the literature. In this paper, a special approximation to the…
This paper studies a problem of Bayesian parameter estimation for a sequence of scaled counting processes whose weak limit is a Brownian motion with an unknown drift. The main result of the paper is that the limit of the posterior…
The aim of this paper is to present an elementary computable theory of probability, random variables and stochastic processes. The probability theory is baed on existing approaches using valuations and lower integrals. Various approaches to…
Motivated by a problematic coming from mathematical finance, this paper is devoted to existing and additional results of continuity and differentiability of the It\^o map associated to rough differential equations. These regularity results…