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

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 extend the It\=o formula \cite{MR1837298}*{Theorem 2.3} for semimartingales with rcll paths. We also comment on Local time process of such semimartingales. We apply the It\=o formula to L\'evy processes to obtain existence of solutions…

Feynman's path integrals in ordinary, p-adic and adelic quantum mechanics are considered. The corresponding probability amplitudes $ K(x^{"},t^{"};x',t')$ for two-dimensional systems with quadratic Lagrangians are evaluated analytically and…

Based on the theory of c\`adl\`ag rough paths, we develop a pathwise approach to analyze stability and approximation properties of portfolios along individual price trajectories generated by standard models of financial markets. As a…

We extend path analysis by giving sufficient conditions for computing the partial covariance of two random variables from their covariance. This is specifically done by correcting the covariance with the product of some partial variance…

Whenever an It\^o-Wentsel type of formula holds for composition of flows of a certain differential dynamics, there exists locally a decomposition of the corresponding flow according to complementary distributions (or foliations, in the case…

We study the concept of quadratic variation of a continuous path along a sequence of partitions and its dependence with respect to the choice of the partition sequence. We define the concept of quadratic roughness of a path along a…

We define a deterministic integral with respect to irregular paths as a limit of standard line integrals and completely describe a class of all paths for which this integral exists for functions with H\"older exponent in the range of (0,1].…

In this paper we present a stepwise construction of the path integral over relativistic orbits in Euclidean spacetime. It is shown that the apparent problems of this path integral, like the breakdown of the naive Chapman-Kolmogorov…

We discuss algebraic and geometric properties of the It{\^o} calculus

Functional integrals are central to modern theories ranging from quantum mechanics and statistical thermodynamics to biology, chemistry, and finance. In this work we present a new method for calculating functional integrals based on a…

The theory of fractional calculus in the complex plane was not built with a specific application in mind. The main obstacle to application was the difficulty with obtaining analytic continuations of fractional derivatives and integrals. It…

We consider versions of Malliavin calculus on path spaces of compact manifolds with diffusion measures, defining Gross-Sobolev spaces of differentiable functions and proving their intertwining with solution maps, I, of certain stochastic…

We present a derivation of the Schr\"odinger equation for a path integral of a point particle in a space with curvature and torsion which is considerably shorter and more elegant than what is commonly found in the literature.

Motivated by recent results in graph C*-algebras concerning an equivariant pushout structure of the Vaksman-Soibelman quantum odd spheres, we introduce a class of graphs called trimmable. Then we show that the Leavitt path algebra of a…

Some particular examples of classical and quantum systems on the lattice are solved with the help of orthogonal polynomials and its connection to continuous models are explored.

Angular parts of certain solvable models are studied. We find that an extension of this class may be based on suitable trigonometric identities. The new exactly solvable Hamiltonians are shown to describe interesting two- and three-particle…

For any real-valued stochastic process X with c\`adl\`ag paths we define non-empty family of processes, which have finite total variation, have jumps of the same order as the process X and uniformly approximate its paths: This allows to…

We review the recent generalized fractional calculus of variations. We consider variational problems containing generalized fractional integrals and derivatives and study them using indirect methods. In particular, we provide necessary…

We study some homological invariants of a given generalized bound path algebra in terms of those of the algebras used in its construction. We discuss the particular case where the algebra is a generalized path algebra and give conditions…