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The aim of this paper is to exhibit a necessary and sufficient condition of optimality for functionals depending on fractional integrals and derivatives, on indefinite integrals and on presence of time delay. We exemplify with one example,…
Partially-projected Gutzwiller variational wavefunctions are used to describe the ground state of disordered interacting systems of fermions. We compare several different variational ground states with the exact ground state for disordered…
We consider a problem of statistical estimation of an unknown drift parameter for a stochastic differential equation driven by fractional Brownian motion. Two estimators based on discrete observations of solution to the stochastic…
We establish a general theory of optimal strong error estimation for numerical approximations of a second-order parabolic stochastic partial differential equation with monotone drift driven by a multiplicative infinite-dimensional Wiener…
We discuss the abstract structure of sequential weak measurement (WM) of general observables. In all orders, the sequential WM correlations without post-selection yield the corresponding correlations of the Wigner function, offering direct…
We start by defining a subordinator by means of the lower-incomplete gamma function. It can be considered as an approximation of the stable subordinator, easier to be handled thank to its finite activity. A tempered version is also…
We calculate the large deviation functions characterizing the long-time fluctuations of the occupation of drifted Brownian motion and show that these functions have non-analytic points. This provides the first example of dynamical phase…
We construct the conditional version of $k$ independent and identically distributed random walks on $\R$ given that they stay in strict order at all times. This is a generalisation of so-called non-colliding or non-intersecting random…
Using the white noise space framework, we define a class of stochastic processes which include as a particular case the fractional Brownian motion and its derivative. The covariance functions of these processes are of a special form,…
Structural properties are given for $D(K)$, the Banach algebra of (complex) differences of bounded semi-continuous functons on a metric space $K$. For example, it is proved that if all finite derived sets of $K$ are non-empty, then a…
It is well known that the weak limit of a suitably scaled continuous-time random walk (CTRW) is the Brownian motion. We investigate the convergence of certain patterned random matrices whose entries are independent CTRWs and their…
Motivated by problems from statistical analysis for discretely sampled SPDEs, first we derive central limit theorems for higher order finite differences applied to stochastic process with arbitrary finitely regular paths. These results are…
We study a nonlocal perimeter functional inspired by the Minkowski content, whose main feature is that it interpolates between the classical perimeter and the volume functional. This problem is related by a generalized coarea formula to a…
The paper is concerned with a mixed stochastic delay differential equation involving both a Wiener process and a $\gamma$-H\"older continuous process with $\gamma>1/2$ (e.g. a fractional Brownian motion with Hurst parameter greater than…
We define compositions $\varphi(X)$ of H\"older paths $X$ in $\mathbb{R}^n$ and functions of bounded variation $\varphi$ under a relative condition involving the path and the gradient measure of $\varphi$. We show the existence and…
Many properties of Brownian motion on spaces with varying dimension (BMVD in abbreviation) have been explored in [5]. In this paper, we study Brownian motion with drift on spaces with varying dimension (BMVD with drift in abbreviation).…
The motivation of this paper is to prove verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion term, in the case that the value function is assumed to be continuous…
We consider a class of finite-dimensional dynamical systems whose equations of motion are derived from a non-local-in-time action principle. The action functional has a zeroth order piece derived from a local Hamiltonian and a perturbation…
The weak solution of Tanaka's SDE is not a function of the driving Brownian motion, and therefore it has no Wiener chaos expansion. However in some sense explained here it has a generalised chaos expansion involving infinite products of…
We discuss a family of time-inhomogeneous two-dimensional diffusions, defined over a finite time interval $[0,T]$, having transition density functions that are expressible in terms of the integral kernels for negative exponentials of the…