Related papers: On Change of Variable Formulas for non-anticipativ…
Explicit solutions of differential equations of complex fractional orders with respect to functions and with continuous variable coefficients are established. The representations of solutions are given in terms of some convergent infinite…
In this paper we introduce the notion of fractional martingale as the fractional derivative of order $\alpha$ of a continuous local martingale, where $\alpha\in(-{1/2},{1/2})$, and we show that it has a nonzero finite variation of order…
This paper systematically treats the asymptotic behavior of many (linear/nonlinear) classes of higher-order fractional differential equations with multiple terms. To do this, we utilize the characteristics of Caputo fractional…
We consider functional equations (Cauchy's, Abel's and some other functional equations) and show that to find general solution of these equations is equivalent to establish that a space-transformation of a Brownian Motion by suitable…
We prove necessary optimality conditions, in the class of continuous functions, for variational problems defined with Jumarie's modified Riemann-Liouville derivative. The fractional basic problem of the calculus of variations with free…
We prove change of variables formulas [It\^o formulas] for functions of both arithmetic and geometric averages of geometric fractional Brownian motion. They are valid for all convex functions, not only for smooth ones. These change of…
The aim of this paper is to study certain problems of calculus of variations, that are dependent upon a Lagrange function on a Caputo-type fractional derivative. This type of fractional operator is a generalization of the Caputo and the…
The asymptotic behavior, as $T\to\infty$, of some functionals of the form $I_T(t)=F_T(\xi_T(t))+\int_0^tg_T(\xi_T(s))\,dW_T(s)$, $t\ge0$ is studied. Here $\xi_T(t)$ is the solution to the time-inhomogeneous It\^{o} stochastic differential…
We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model extending the decomposition obtained by E. Al\`os in [2] for the Heston model. We realize that a new term arises when the stock…
We discuss the associativity or WDVV equations and demonstrate that they can be rewritten as certain functional relations between the {\it second} derivatives of a single function, similar to the dispersionless Hirota equations. The…
We develop Cresson's nondifferentiable calculus of variations on the space of H\"{o}lder functions. Several quantum variational problems are considered: with and without constraints, with one and more than one independent variable, of first…
In this paper we develop non-stationary martingale techniques for dependent data. We shall stress the non-stationary version of the projective Maxwell-Woodroofe condition, which will be essential for obtaining maximal inequalities and…
The paper discusses the characteristic properties of fractional derivatives of non-integer order. It is known that derivatives of integer orders are determined by properties of differentiable functions only in an infinitely small…
In this paper we study linear and nonlinear fractional differential equations involving the Caputo fractional derivative with Mittag-Leffler non-singular kernel of order $0<\alpha<1.$ We first obtain a new estimate of the fractional…
In this article we establish a new formula for the difference of a test function of the solution of a stochastic differential equation and of the test function of an It\^o process. The introduced formula essentially generalizes both the…
The goal of this thesis is threefold: first, to provide a general semantic setting for reasoning about incremental computation. Second, to establish and clarify the connection between derivatives in the incremental sense and derivatives in…
Under general conditions, the equation $g(x^1, ..., x^q, y) = 0$ implicitly defines $y$ locally as a function of $x^1, ..., x^q$. In this article, we express divided differences of $y$ in terms of divided differences of $g$, generalizing a…
Two articles published by Information Science discuss the derivatives of interval functions, in the sense of Svetoslav Markov. The authors of these articles tried to characterize for which functions and points such derivatives exist.…
We derive limit theorems for the empirical distribution function of "devolatilized" increments of an It\^{o} semimartingale observed at high frequencies. These "devolatilized" increments are formed by suitably rescaling and truncating the…
Using the theory of stochastic integration developed recently by the authors, in this paper we prove an It\^{o} formula for Hilbert space-valued It\^{o} processes defined with respect to a cylindrical-martingale valued measure. As part of…