Related papers: On Change of Variable Formulas for non-anticipativ…

Data can be assumed to be continuous functions defined on an infinite-dimensional space for many phenomena. However, the infinite-dimensional data might be driven by a small number of latent variables. Hence, factor models are relevant for…

We reexamine the problem of having nonconservative equations of motion arise from the use of a variational principle. In particular, a formalism is developed that allows the inclusion of fractional derivatives. This is done within the…

Estimation of linear and quadratic functionals over different classes of univalent functions is one of the classical problems in geometric function theory. In this paper we solve the problem over some classes of so-called non-linear…

It is well known that the Leibniz rule for the integer derivative of order one does not hold for the fractional derivative case when the fractional order lies between 0 and 1. Thus it poses a great difficulty in the calculation of…

In this work we look at the original fractional calculus of variations problem in a somewhat different way. As a simple consequence, we show that a fractional generalization of a classical problem has a solution without any restrictions on…

We give an Ito type formula for a semi group whose generarator is a positive pseudo-differential operator which does not in general satisfies maximumu principle.

This paper is devoted to the study of quasi-periodic properties of fractional order integrals and derivatives of periodic functions. Considering Riemann-Liouville and Caputo definitions, we discuss when the fractional derivative and when…

This paper is concerned with the investigation of the controllability and observability of Caputo fractional differential linear systems of any real order {\alpha} . Expressions for the expansions of the evolution operators in powers of the…

In the present work, we formulate a necessary condition for functionals with Lagrangians depending on fractional derivatives of differentiable functions to possess an extremum. The Euler-Lagrange equation we obtained generalizes previously…

We suggest two versions of the Hardy--Littlewood--Sobolev inequality for discrete time martingales. In one version, the fractional integration operator is a martingale transform, however, it may vanish if the filtration is excessively…

We write the relations that characterize the simpliest timed automaton, the inertial delay buffer, in two versions: the non-deterministic and the deterministic one, by making use of the derivatives of the R->{0,1} functions.

A unified explicit form for difference formulas to approximate the fractional and classical derivatives is presented. The formula gives finite difference approximations for any classical derivatives with a desired order of accuracy at nodal…

In this note we define and study a Hilbert space-valued stochastic integral of operator-valued functions with respect to Hilbert space-valued measures. We show that this integral generalizes the classical Ito stochastic integral of adapted…

We prove the analogue of the classical Burkholder-Gundy inequalites for non-commutative martingales. As applications we give a characterization for an Ito-Clifford integral to be an $L^p$-martingale via its integrand, and then extend the…

We consider some possible approaches to the fractional-order generalization of definition of variation (functional) derivative. Some problems of formulation of a fractional-order variational derivative are discussed. To give a consistent…

We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term in the asymptotics in terms of the local characteristics of the…

We obtain necessary optimality conditions for variational problems with a Lagrangian depending on a Caputo fractional derivative, a fractional and an indefinite integral. Main results give fractional Euler-Lagrange type equations and…

In this paper we study a family of nonlinear (conditional) expectations that can be understood as a semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a time and path-dependent…

In this article we prove a Grothendieck trace formula for L-functions of not necessarily commutative adic sheaves.

We prove a necessary optimality condition of Euler-Lagrange type for fractional variational problems with derivatives of incommensurate variable order. This allows us to state a version of Noether's theorem without transformation of the…