Related papers: Martingale representation for degenerate diffusion…

Let $Mat_{\mathbb{C}}(K,N)$ be the space of $K\times N$ complex matrices. Let $\mathbf{B}_t$ be Brownian motion on $Mat_{\mathbb{C}}(K,N)$ starting from the zero matrix and $\mathbf{M}\in Mat_{\mathbb{C}}(K,N)$. We prove that, with $K\ge…

The convective Brinkman-Forchheimer equations (CBFEs) \[ \frac{\partial \boldsymbol{X}}{\partial t} - \mu \Delta\boldsymbol{X} + (\boldsymbol{X}\cdot\nabla)\boldsymbol{X} + \alpha\boldsymbol{X} + \beta|\boldsymbol{X}|^{r-1}\boldsymbol{X} +…

Consider $\mathbb{G}$ the progressive enlargement of a filtration $\mathbb{F}$ with a random time $\tau$. Assuming that, in $\mathbb{F}$, the martingale representation property holds, we examine conditions under which the martingale…

We introduce the local martingale problem associated to semilinear stochastic evolution equations driven by a cylindrical Wiener process and establish a one-to-one correspondence between solutions of the martingale problem and…

The aim of this paper is two-fold. On one hand, we will study the distorted Brownian motion on $\mathbb{R}$, i.e. the diffusion process $X$ associated with a regular and strongly local Dirichlet form obtained by the closure of…

We establish a local martingale $M$ associate with $f(X,Y)$ under some restrictions on $f$, where $Y$ is a process of bounded variation (on compact intervals) and either $X$ is a jump diffusion (a special case being a L\'evy process) or $X$…

We consider a mixed stochastic differential equation $d{X_t}=a(t,X_t)d{t}+b(t,X_t) d{W_t}+c(t,X_t)d{B^H_t}$ driven by independent multidimensional Wiener process and fractional Brownian motion. Under Hormander type conditions we show that…

We study the dynamical properties of the Brownian diffusions having $\sigma {\rm Id}$ as diffusion coefficient matrix and $b=\nabla U$ as drift vector. We characterize this class through the equality $D^2_+=D^2_-$, where $D_{+}$ (resp.…

A general way of representing Stochastic Differential Equations (SDEs) on smooth manifold is based on Schwartz morphism. In this manuscript we are interested in SDEs on a smooth manifold $M$ that are driven by p-dimensional Wiener process…

In classical optimal transport, the contributions of Benamou-Brenier and McCann regarding the time-dependent version of the problem are cornerstones of the field and form the basis for a variety of applications in other mathematical areas.…

Let $X$ be an arbitrary separable symmetric space on $[0,1]$. By using a combination of the frame approach and the notion of the multiplicator space $\mathscr{M}(X)$ of $X$ with respect to the tensor product, we investigate the problem when…

In this paper we obtain a martingale representation theorem in the progressive enlargement $\mathbb{G}$ by a random time $\tau$ of the filtration $\mathbb{F}^L$ generated by a L\'evy process $L$. The assumptions on the random time are that…

The aim of this paper is to introduce a new formalism for the deterministic analysis associated with backward stochastic differential equations driven by general c{\`a}dl{\`a}g martingales. When the martingale is a standard Brownian motion,…

This paper proves almost-sure convergence for the self-attracting diffusion on the unit sphere $$dX(t)=\sigma dW_{t}(X(t))-a\int_{0}^{t}\nabla_{\mathbb{S}^n}V_{X_s}(X_t) dsdt,\qquad X(0)=x\in\mathbb{S}^n $$ %given by the stochastic…

We present a systematic method for computing explicit approximations to martingale representations for a large class of Brownian functionals. The approximations are obtained by obtained by computing a directional derivative of the weak…

Let X and Y be an m-dimensional F-semimartingale and an n-dimensional H-semimartingale respectively on the same probability space, both enjoying the strong predictable representation property. We propose a martingale representation result…

We consider a filtration $\mathbb{G}$ obtained as enlargement of a filtration $\mathbb{F}$ by a filtration $\mathbb{H}$. We assume that all $\mathbb{F}$-local martingales are represented by a martingale $M$ and all $\mathbb{H}$-local…

We construct a class of one-dimensional diffusion processes on the particles of branching Brownian motion that are symmetric with respect to the limits of random martingale measures. These measures are associated with the extended extremal…

In this paper we give necessary and sufficient conditions for a cylindrical continuous local martingale to be the stochastic integral with respect to a cylindrical Brownian motion. In particular we consider the class of cylindrical…

We describe the classes of functions $f=(f(x), x\in R)$, for which processes $f(W_t)-Ef(W_t)$ and $f(W_t)/Ef(W_t)$ are martingales. We apply these results to give a martingale characterization of general solutions of the quadratic and the…