Related papers: Characterization of the Ito Integral
We develop a general framework for pathwise stochastic integration that extends F\"ollmer's classical approach beyond gradient-type integrands and standard left-point Riemann sums and provides pathwise counterparts of It\^o, Stratonovich,…
In this paper I prove good estimates on the moments and tail distribution of $k$-fold Wiener--It\^o integrals and also present their natural counterpart for polynomials of independent Gaussian random variables. The proof is based on the…
We extend the Ito -to- Stratonovich analysis or quantum stochastic differential equations, introduced by Gardiner and Collett for emission (creation), absorption (annihilation) processes, to include scattering (conservation) processes.…
We consider a class of stochastic processes $X$ defined by $X\left( t\right) =\int_{0}^{T}G\left( t,s\right) dM\left( s\right) $ for $t\in\lbrack0,T]$, where $M$ is a square-integrable continuous martingale and $G$ is a deterministic…
The dual of an infinitely divisible distribution on $\mathbb{R}^d$ without Gaussian part defined in Sato, ALEA {\bf 3} (2007), 67--110, is renamed to the inversion. Properties and characterization of the inversion are given. A stochastic…
We present a functional formalism to derive a generating functional for correlation functions of a multiplicative stochastic process represented by a Langevin equation. We deduce a path integral over a set of fermionic and bosonic variables…
In probability theory, how to approximate the solution of a stochastic differential equation is an important topic. In Watanabe's classical textbook, by an approximation of the Wiener process, solutions of approximated equations converge to…
We analyze a modified version of the Coleman-Hepp model, that is able to take into account energy-exchange processes between the incoming particle and the linear array made up of $N$ spin-1/2 systems. We bring to light the presence of a…
The intrinsic volumes induced by a stationary Poisson k-flat process inside a compact and convex sampling window are considered. Using techniques from stochastic analysis, more precisely calculus with multiple stochastic integrals and a…
This paper is complete proof of one method for obtaining the generalized Ito-Wentzell formula, its basic idea was announced earlier in a pre-print (arXiv:1309.3038v1). This proof sets the approach which uses the Ito formula and the…
Stochastic localization is a pathwise analysis technique originating from convex geometry. This paper explores certain algorithmic aspects of stochastic localization as a computational tool. First, we unify various existing stochastic…
We derive an Ito-type change-of-variables formula for Volterra Gaussian processes (including fractional Brownian motion with any Hurst parameter), based on the operator factorization framework. The Ito correction is expressed as a Stieltjes…
Positivity, the assumption that every unique combination of confounding variables that occurs in a population has a non-zero probability of an action, can be further delineated as deterministic positivity and stochastic positivity. Here, we…
We study identification of stochastic Wiener dynamic systems using so-called indirect inference. The main idea is to first fit an auxiliary model to the observed data and then in a second step, often by simulation, fit a more structured…
The paper suggests a way of stochastic integration of random integrands with respect to fractional Brownian motion with the Hurst parameter H> 1/2. The integral is defined initially on the processes that are "piecewise" predictable on a…
Wasserstein distance induces a natural Riemannian structure for the probabilities on the Euclidean space. This insight of classical transport theory is fundamental for tremendous applications in various fields of pure and applied…
In this paper we define contractive and nonexpansive properties for adapted stochastic processes $X_1, X_2, \ldots $ which can be used to deduce limiting properties. In general, nonexpansive processes possess finite limits while contractive…
We extend some results about F\"ollmer's pathwise It\^o calculus that have only been derived for continuous paths to c\`adl\`ag paths with quadratic variation. We study some fundamental properties of pathwise It\^o integrals with respect to…
Stochastic quantisation normally involves the introduction of a fictitious extra time parameter, which is taken to infinity so that the system evolves to an equilibrium state.In the case of a locally supersymmetric theory, an interesting…
In this work, we introduce a new generalized integral transform involving many potentially known or new transforms as special cases. Basic properties of the new integral transform, that investigated in this work, include the existence…