Related papers: Stochastic integration with respect to cylindrical…
In this paper we give necessary and sufficient conditions for a cylindrical continuous local martingale to be the stochastic integral with respect to a cylindrical Brownian motion. In particular we consider the class of cylindrical…
We show the existence of L\'evy-type stochastic processes in one space dimension with characteristic triplets that are either discontinuous at thresholds, or are stable-like with stability index functions for which the closures of the…
We develop a stochastic calculus for processes which are built by convoluting a pure jump, zero expectation L\'{e}vy process with a Volterra-type kernel. This class of processes contains, for example, fractional L\'{e}vy processes as…
A distributional equation as a criterion for invariant measures of Markov processes associated to L\'evy-type operators is established. This is obtained via a characterization of infinitesimally invariant measures of the associated…
In this paper we extend an inequality of Lenglart, L\'epingle and Pratelli \cite[Lemma 1.1]{LLP} to general continuous adapted stochastic processes with values in topology spaces. By this inequality we show Burkholder-Davies-Gundy's…
The present paper continues the study of infinite dimensional calculus via regularization, started by C. Di Girolami and the second named author, introducing the notion of weak Dirichlet process in this context. Such a process X, taking…
The main purpose of this paper is to investigate the strong approximation of the $p$-fold integrated empirical process, $p$ being a fixed positive integer. More precisely, we obtain the exact rate of the approximations by a sequence of…
In this paper, we introduce a new class of subsets of bounded linear operators between Banach spaces which is p-version of the uniformly completely continuous sets. Then, we study the relationship between these sets with the equicompact…
We consider stochastic optimization problems with possibly nonsmooth integrands posed in Banach spaces and approximate these stochastic programs via a sample-based approaches. We establish the consistency of approximate Clarke stationary…
Using time-reversal, we introduce a stochastic integral for zero-energy additive functionals of symmetric Markov processes, extending earlier work of S. Nakao. Various properties of such stochastic integrals are discussed and an It\^{o}…
An exponentially convergent numerical method for solving a differential equation with a right-hand fractional Riemann-Liouville time-derivative and an unbounded operator coefficient in Banach space is proposed and analysed for a…
A vector-valued version of the Girsanov theorem is presented, for a scalar process with respect to a Banach-valued measure. Previously, a short discussion about the Birkhoff-type integration is outlined, as for example integration by…
We investigate the weak order of convergence for space-time discrete approximations of semilinear parabolic stochastic evolution equations driven by additive square-integrable L\'evy noise. To this end, the Malliavin regularity of the…
In this work we consider the general functional-integral equation: \begin{equation*} y(t) = f\left(t, \int_{a}^{b} k(t,s)g(s,y(s))ds\right), \qquad t\in [a,b], \end{equation*} and give conditions that guarantee existence and uniqueness of…
In many branches of engineering, Banach contraction mapping theorem is employed to establish the convergence of certain deterministic algorithms. Randomized versions of these algorithms have been developed that have proved useful in…
In this paper we study processes which are constructed by a convolution of a deterministic kernel with a martingale. A special emphasis is put on the case where the driving martingale is a centred L\'evy process, which covers the popular…
We set up a general framework tailor-made to solve complement value problems governed by symmetric nonlinear integrodifferential $p$-L\'evy operators. A prototypical example of integrodifferential $p$-L\'evy operators is the well-known…
In this paper we study set-valued Volterra-type stochastic integrals driven by L\'{e}vy processes. Upon extending the classical definitions of set-valued stochastic integral functionals to convoluted integrals with square-integrable…
We present an investigation of stochastic evolution in which a family of evolution equations in $L^1$ are driven by continuous-time Markov processes. These are examples of so-called piecewise deterministic Markov processes (PDMP's) on the…
We define Wiener integrals with respect to Yeh processes and study their properties. In particular, we obtain the martingale property of the associated stochastic processes and give a series expansion of Wiener integrals with respect to…