Related papers: Weak differentiability of Wiener functionals and o…
We study the problem of detecting a drift change of a Brownian motion under various extensions of the classical case. Specifically, we consider the case of a random post-change drift and examine monotonicity properties of the solution with…
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…
Motivated by problems in machine learning, we study a class of variational problems characterized by nonlocal operators. These operators are characterized by power-type weights, which are singular at a portion of the boundary. We identify a…
We present in a unified setting the foundations for a theory of non-bilinear Dirichlet functionals on Hilbert spaces. We prove known and new equivalences between non-linear semigroups, non-linear resolvents, non-linear generators, and their…
It is well known that the Euler method for a random ordinary differential equation $\mathrm{d}X_t/\mathrm{d}t = f(t, X_t, Y_t)$ driven by a stochastic process $\{Y_t\}_t$ with $\theta$-H\"older sample paths is estimated to be of strong…
We give a new approach to prove the existence of a weak solution of \[dx_t = f(t,x_t)dt + g(t)dB^H_t\] where $B^H_t$ is a fractional Brownian motion with values in a separable Hilbert space for suitable functions $f$ and $g$. Our idea is to…
This work focuses on moderate deviations for two-time scale systems with mixed fractional Brownian motion. Our proof uses the weak convergence method which is based on the variational representation formula for mixed fractional Brownian…
This paper is devoted to studying the first-order variational analysis of non-convex and non-differentiable functions that may not be subdifferentially regular. To achieve this goal, we entirely rely on two concepts of directional…
We develop a functional framework suitable for the treatment of partial differential equations and variational problems on evolving families of Banach spaces. We propose a definition for the weak time derivative that does not rely on the…
We study the asymptotic behaviour of a properly normalized time changed Wiener processes. The time change reflects the fact that we consider the Laplace operator (which generates a Wiener process) multiplied by a possibly degenerate…
We derive backward and forward fractional Schr\"odinger type of equations for the distribution of functionals of the path of a particle undergoing anomalous diffusion. Fractional substantial derivatives introduced by Friedrich and…
We introduce a new class of stochastic processes called fractional Wiener-Weierstrass bridges. They arise by applying the convolution from the construction of the classical, fractal Weierstrass functions to an underlying fractional Brownian…
We study several important fine properties for the family of fractional Brownian motions with Hurst parameter $H$ under the $(p,r)$-capacity on classical Wiener space introduced by Malliavin. We regard fractional Brownian motions as Wiener…
In this paper, we consider multivariate functional time series with a two-way dependence structure: a serial dependence across time points and a graphical interaction among the multiple functions within each time point. We develop the…
We perform a systematic study of the discrete time Quantum Walk on one dimension using Wigner functions, which are generalized to include the chirality (or coin) degree of freedom. In particular, we analyze the evolution of the negative…
We characterize bounded, compact, and Hilbert-Schmidt composition-differentiation operators on weighted Dirichlet spaces. The essential norm is estimated via the asymptotic behavior of a function that involves the generalized Nevanlinna…
We consider two related linear PDE's perturbed by a fractional Brownian motion. We allow the drift to be discontinuous, in which case the corresponding deterministic equation is ill-posed. However, the noise will be shown to have a…
We extend Krylov and R\"{o}ckner's result \cite{KR} to the drift coefficients in critical Lebesgue space, and prove the existence and uniqueness of weak solutions for a class of SDEs. To be more precise, let $b: [0,T]\times{\mathbb…
We characterize the asymptotic behaviour of the weighted power variation processes associated with iterated Brownian motion. We prove weak convergence results in the sense of finite dimensional distributions, and show that the laws of the…
In the article, integration of temporal functions in (possibly non-UMD) Banach spaces with respect to (possibly non-Gaussian) fractional processes from a finite sum of Wiener chaoses is treated. The family of fractional processes that is…