Related papers: Comparison of path-dependent functionals of semima…
Triangular systems with nonadditively separable unobserved heterogeneity provide a theoretically appealing framework for the modelling of complex structural relationships. However, they are not commonly used in practice due to the need for…
In the development of stochastic integration and the theory of semimartingales, Markov processes have been a constant source of inspiration. Despite this historical interweaving, it turned out that semimartingales should be considered the…
We examine a Wong-Zakai type approximation of a family of stochastic differential equations driven by a general cadlag semimartingale. For such an approximation, compared with the pointwise convergence result by Kurtz, Pardoux and Protter…
Self-similar symmetric $\alpha$-stable, $\alpha\in(0,2)$, mixed moving averages can be related to nonsingular flows. By using this relation and the structure of the underlying flows, one can decompose self-similar mixed moving averages into…
In this paper we compute b-functions (or Bernstein-Sato polynomials) of various semi-invariants of quivers. The main tool is an explicit relation for the b-functions between semi-invariants that correspond to each other under reflection…
We derive an Ito-formula for the Dawson-Watanabe superprocess, a well-known class of measure-valued processes, extending the classical Ito-formula with respect to two aspects. Firstly, we extend the state-space of the underlying process…
The existence of unique solutions is established for rough differential equations (RDEs) with path-dependent coefficients and driven by c\`adl\`ag rough paths. Moreover, it is shown that the associated solution map, also known as…
The purpose of the paper is a general analysis of path space measures. Our focus is a certain path space analysis on generalized Bratteli diagrams. We use this in a systematic study of systems of self-similar measures (the term ``IFS…
In this paper, we introduce the notions of semi-Bloch periodic functions and semi-anti-periodic functions. Stepanov semi-Bloch periodic functions and Stepanov semi-anti-periodic functions are considered, as well. We analyze the invariance…
This paper presents a logical approach to the translation of functional calculi into concurrent process calculi. The starting point is a type system for the {\pi}-calculus closely related to linear logic. Decompositions of intuitionistic…
A correlation function of the classical orthogonal polynomials is defined and determined. The correlation function obeys a second order difference equation in two variables. The correlation function for the Gegenbauer, Chebyshev and…
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…
We demonstrate how path integrals often used in problems of theoretical physics can be adapted to provide a machinery for performing Bayesian inference in function spaces. Such inference comes about naturally in the study of inverse…
In this work we extend the characterization of semimartingale functions in Cinlar et al. (1980) to the non-Markovian setting. We prove that if a function of a semimartingale remains a semimartingale, then under certain conditions the…
This dissertation focuses on developing a new construction of a functional calculus using Henstock-Kurzweil integration methods. The assignment of a functional calculus will be applied to self-adjoint operators. We will address both the…
We propose to study a new type of Backward stochastic differential equations driven by a family of It\^o's processes. We prove existence and uniqueness of the solution, and investigate stability and comparison theorem.
Under a certain condition, we find the explicit formulas for the trace functions of certain intertwining operators among gl(n)-modules, introduced by Etingof in connection with the solutions of the Calogero-Sutherland model. If n=2, the…
We consider a class of non-homogeneous Markov chains, that contains many natural examples. Next, using martingale methods, we establish some deviation and moment inequalities for separately Lipschitz functions of such a chain, under moment…
Fractional integral operators connected with real-valued scalar functions of matrix argument are applied in problems of mathematics, statistics and natural sciences. In this article we start considering the case of a Gauss hypergeometric…
For a series of Markov processes we prove stochastic duality relations with duality functions given by orthogonal polynomials. This means that expectations with respect to the original process (which evolves the variable of the orthogonal…