Related papers: Functional equations and martingales
The functional equation f(p(z))=g(q(z)) is studied, where p,q are polynomials and f,g are trancendental meromorphic functions in C. We find all the pairs p,q for which there exist nonconstant f,g satisfying our equation and there exist no…
In this paper we explore the fundamentals of the Martingale Representation Theorem (MRT) and a closely related result, the Clark-Ocone formula. We also investigate how far these theorems can be taken, notably beyond the regular Sobolev…
We are concerned with a stochastic mean curvature flow of graphs over a periodic domain of any space dimension. We establish existence of martingale solutions which are strong in the PDE sense and study their large-time behavior. Our…
We derive a functional change of variable formula for {\it non-anticipative} functionals defined on the space of right continuous paths with left limits. The functional is only required to possess certain directional derivatives, which may…
The notions of quasiconvexity, Wright convexity and convexity for functions defined on a metric Abelian group are introduced. Various characterizations of such functions, the structural properties of the functions classes so obtained are…
In this paper, we discuss meromorphic solutions of functional equations over non-Archimedean fields, and prove analogues of the Clunie lemma, Malmquist-type theorem and Mokhon'ko theorem.
Fractional Brownian motion can be represented as an integral of a deterministic kernel w.r.t. an ordinary Brownian motion either on infinite or compact interval. In previous literature fractional L\'evy processes are defined by integrating…
Suppose that a real valued process X is given as a solution to a stochastic differential equation. Then, for any twice continuously differentiable function f, the backward Kolmogorov equation gives a condition for f(t,X) to be a local…
In this note we review recent results on existence and uniqueness of solutions of infinite-dimensional stochastic differential equations describing interacting Brownian motions on $\R^d$.
For Brownian motion in a (two-dimensional) wedge with negative drift and oblique reflection on the axes, we derive an explicit formula for the Laplace transform of its stationary distribution (when it exists), in terms of Cauchy integrals…
We prove an integration by parts formula on the law of the reflecting Brownian motion $X:=|B|$ in the positive half line, where $B$ is a standard Brownian motion. In other terms, we consider a perturbation of $X$ of the form $X^\epsilon =…
In this paper we study dynamic backward problems, with the computation of conditional expectations as a main objective, in a framework where the (forward) state process satisfies a Volterra type SDE, with fractional Brownian motion as a…
We develop a theory of Brownian motion of a massive particle, including the effects of inertia (Kramers' problem), in spaces with curvature and torsion. This is done by invoking the recently discovered generalized equivalence principle,…
We provide a simple proof, as well as several generalizations, of a recent result by Davis and Suh, characterizing a class of continuous submartingales and supermartingales that can be expressed in terms of a squared Brownian motion and of…
A form of the Laplace transform is reviewed as a paradigm for an entire class of fractional functional transforms. Various of its properties are discussed. Such transformations should be useful in application to differential/integral…
This is an introduction to calculus, and its applications to basic questions from physics. We first discuss the theory of functions $f:\mathbb R\to\mathbb R$, with the notion of continuity, and the construction of the derivative $f'(x)$ and…
We introduce the notion of rationality for hyperholomorphic functions (functions in the kernel of the Cauchy-Fueter operator). Following the case of one complex variable, we give three equivalent definitions: the first in terms of…
A large class of classical dynamical systems with an external rapidly oscillating driving action is considered and the effective Hamiltonian-like equations for the mean motion are obtained. The respective Liouville equation for the…
Conventional functional/path integrals used in physics are most often defined and understood, either explicitly or implicitly, as the infinite-dimensional analog of Fourier transform. In this paper, the infinite-dimensional analog of Mellin…
Active Brownian motion is the complex motion of active Brownian particles. They are active in the sense that they can transform their internal energy into energy of motion and thus create complex motion patterns. Theories of active Brownian…