Related papers: Remarks on F\"ollmer's pathwise It\^o calculus

The aim of these notes is to provide a reasonably short and "hands-on" introduction to the differential calculus on associative algebras over a field of characteristic zero. Following a suggestion of Ginzburg's we call the resulting theory…

Properties of partial integrals such as real and complex-valued polynomial, multiple polynomial, exponential, and conditional for ordinary differential systems are studied. The possibilities of constructing first integrals and last…

In this article we would like to consider some approaches to non-integer integro-differentiations and its implementation in computer algebra system Wolfram Mathematics.

This is a survey note of the author's observations on the discrete-time analogues of It\^o formulas.

We will give a complete description of $\mathcal{I}$, the set of invertible quasicontinuous functions on the unit circle. After doing this, we will then classify the path-connected components of $\mathcal{I}$ and show that $\mathcal{I}$ has…

We prove an algebraic version of the Gauge-Invariant Uniqueness Theorem, a result which gives information about the injectivity of certain homomorphisms between ${\mathbb Z}$-graded algebras. As our main application of this theorem, we…

The calculation of the decay rate of a metastable state in the path-integral formulation of stochastic processes is revisited. Previous derivations of this rate were achieved at the cost of a step that is difficult to justify…

A path integral is presented that solves a general class of linear second order partial differential equations with Dirichlet/Neumann boundary conditions. Elementary kernels are constructed for both Dirichlet and Neumann boundary…

Motivated by extending the functional stochastic calculus, to important functionals to which it does not apply, a notion of functional derivative along a curve is introduced. This new setting is developed by incorporating path-dependent…

The concept of the $p^{\text{th}}$ variation of a continuous function $f$ along a refining sequence of partitions is the key to a pathwise It\^o integration theory with integrator $f$. Here, we analyze the $p^{\text{th}}$ variation of a…

We prove the existence of classical solutions to parabolic linear stochastic integro-differential equations with adapted coefficients using Feynman-Kac transformations, conditioning, and the interlacing of space-inverses of stochastic flows…

We obtain Calder{\'o}n-Zygmund estimates for some degenerate equations of Kolmogorov type with inhomogeneous coefficients. We then derive the well-posedness of the martingale problem associated to related degenerate operators, and therefore…

We establish It\^o's formula along flows of probability measures associated with general semimartingales; this generalizes existing results for flows of measures on It\^o processes. Our approach is to first establish It\^o's formula for…

The integration-by-parts formula discovered by Malliavin for the Ito map on Wiener space is proved using the two-parameter stochastic calculus. It is also shown that the solution of a one-parameter stochastic differential equation driven by…

This article presents a construction of the concept of stochastic integration in Riemannian manifolds from a purely functional-analytic point of view. We show that there are infinitely many such integrals, and that any two of them are…

This paper is a sequel of the reference \cite[\S 4.2, p.p. 1782--1783]{almp}, in where some families of quadratic polynomial vector fields related with orthogonal polynomials were studied. We extend such results that contain some details…

We give a mathematical definition of some path integrals, emphasizing those relevant to the quantization of symplectic manifolds (and more generally, Poisson manifolds) $\unicode{x2013}$ in particular, the coherent state path integral. We…

The Feynman Path Integral is extended in order to capture all solutions of a quantum field theory. This is done via a choice of appropriate integration cycles, parametrized by M in SL(2,C), i.e., the space of allowed integration cycles is…

We investigate Bochner integrabilities of generalized Wiener functionals. We further formulate an It\^o formula for a diffusion in a distributional setting, and apply to investigate differentiability-index $s$ and integrability-index $p…

We study associative multiplications in semi-simple associative algebras over C compatible with the usual one. An interesting class of such multiplications is related to the affine Dynkin diagrams of A, D, E-type. In this paper we…