Related papers: A note on stochastic integrals as $L^2$-curves
We present a few techniques for proving $L^p$ estimates for martingales. Basic applications to It\^o integration and rough paths are included.
It is shown that under a certain condition on a semimartingale and a time-change, any stochastic integral driven by the time-changed semimartingale is a time-changed stochastic integral driven by the original semimartingale. As a direct…
Directed acyclic graphs (DAGs) are commonly used to model causal relationships among random variables. In general, learning the DAG structure is both computationally and statistically challenging. Moreover, without additional information,…
In this paper, we establish the partial correlation graph for multivariate continuous-time stochastic processes, assuming only that the underlying process is stationary and mean-square continuous with expectation zero and spectral density…
We study a class of combinations of second order Riesz transforms on Lie groups that are multiply connected, composed of a discrete abelian component and a compact connected component. We prove sharp $L^{p}$ estimates for these operators,…
In general, adding a stochastic perturbation to a differential equation possessing an invariant manifold destroys the invariance as far as the It\^o formalism is used. In this article, we propose an invariantization method for perturbations…
In this paper we establish the associativity property of the pathwise It\^o integral in a functional setting for continuous integrators. Here, associativity refers to the computation of the It\^o differential of an It\^o integral, by means…
This paper introduces the path derivatives, in the spirit of Dupire's functional It\^o calculus, for the controlled paths in the rough path theory with possibly non-geometric rough paths. The theory allows us to deal with rough integration…
Principal curves are natural generalizations of principal lines arising as first principal components in the Principal Component Analysis. They can be characterized from a stochastic point of view as so-called self-consistent curves based…
Stratifications and iterative differential equations are analogues in positive characteristic of complex linear differential equations. There are few explicit examples of stratifications. The main goal of this paper is to construct…
The class of ordinary linear constant coefficient differential equations is naturally embedded into a wider class by associating differential equations to algebraic curves.
This article gives an account on various aspects of stochastic calculus in the plane. Specifically, our aim is 3-fold: (i) Derive a pathwise change of variable formula for a path indexed by a square, satisfying some H\"older regularity…
This chapter is divided into two parts. The first is largely expository and builds on Karandikar's axiomatisation of It{\^o} calculus for matrix-valued semimartin-gales. Its aim is to unfold in detail the algebraic structures implied for…
We establish a general link between integrable systems in algebraic geometry (expressed as Jacobian flows on spectral curves) and soliton equations (expressed as evolution equations on flat connections). Our main result is a natural…
A generalized It${\hat {\rm o}}$ formula for time dependent functions of two-dimensional continuous semi-martingales is proved. The formula uses the local time of each coordinate process of the semi-martingale, left space and time first…
We study discrete versions of fractional integral operators along curves and surfaces. $l^p \to l^q$ estimates are obtained from upper bounds of the number of solutions of associated Diophantine systems. In particular, this relates the…
We present an alternative construction of the infinite dimensional It\^{o} integral with respect to a Hilbert space valued L\'{e}vy process. This approach is based on the well-known theory of real-valued stochastic integration, and the…
In this paper, we consider a class of plane curves called log-aesthetic curves and their generalization which are used in computer aided geometric design. We consider these curves in the framework of the similarity geometry and characterize…
We introduce the regularized integrals for decorated graphs on elliptic curves, which produces an almost holomorphic function on upper half plane. Then we give the graph version of holomorphic anomaly equation to study the anti-holomorphic…
We present new stochastic differential equations, that are more general and simpler than the existing Ito-based stochastic differential equations. As an example, we apply our approach to the investment (portfolio) model.