Related papers: Functional equations and martingales
We show that every operator in $L^{2}$ has an associated measure on a space of functions and prove that it can be used to find solutions to abstract Cauchy problems, including partial differential equations. We find explicit formulas to…
The notion of microscopic state of the system at a given moment of time as a point in the phase space as well as a notion of trajectory is widely used in classical mechanics. However, it does not have an immediate physical meaning, since…
We describe a general operational method that can be used in the analysis of fractional initial and boundary value problems with additional analytic conditions. As an example, we derive analytic solutions of some fractional generalisation…
New methods for obtaining functional equations for Feynman integrals are presented. Application of these methods for finding functional equations for various one- and two- loop integrals described in detail. It is shown that with the aid of…
We demonstrate that backward stochastic differential equations (BSDE) may be reformulated as ordinary functional differential equations on certain path spaces. In this framework, neither It\^{o}'s integrals nor martingale representation…
In this paper, we study integral functionals defined on spaces of functions with values on general (non-separable) Banach spaces. We introduce a new class of integrands and multifunctions for which we obtain measurable selection results.…
We construct planar semimartingales that include the Walsh Brownian motion as a special case, and derive Harrison-Shepp-type equations and a change-of-variable formula in the spirit of Freidlin-Sheu for these so-called "Walsh…
A recent refinement of Ker\'ekj\'art\'o's Theorem has shown that in $\mathbb R$ and $\mathbb R^2$ all $\mathcal C^l$-solutions of the functional equation $f^n =\textrm{Id}$ are $\mathcal C^l$-linearizable, where $l\in \{0,1,\dots \infty\}$.…
We define a smooth functional calculus for a non-commuting tuple of (unbounded) operators $A_j$ on a Banach space with real spectra and resolvents with temperate growth, by means of an iterated Cauchy formula. The construction is also…
We consider a Brownian motion with drift in the quarter plane with orthogonal reflection on the axes. The Laplace transform of its stationary distribution satisfies a functional equation, which is reminiscent from equations arising in the…
The hierarchies of evolution equations of classical many-particle systems are formulated as evolution equations in functional derivatives. In particular the BBGKY hierarchy for marginal distribution functions, the dual BBGKY hierarchy for…
The Cauchy functional equation is not only the most important single functional equation, it is also central to regular variation. Classical Karamata regular variation involves a functional equation and inequality due to Goldie; we study…
In this paper, we aim at characterizing generalized functionals of discrete-time normal martingales. Let $M=(M_n)_{n\in \mathbb{N}}$ be a discrete-time normal martingale that has the chaotic representation property. We first construct…
We construct a new topology on the space of stopped paths and introduce a calculus for causal functionals on generic domains of this space. We propose a generic approach to pathwise integration without any assumption on the variation index…
We present short review of two methods for obtaining functional equations for Feynman integrals. Application of these methods for finding functional equations for one- and two- loop integrals is described in detail. It is shown that with…
Our aim of this paper is to study a family of functional equation in vector and Banach spaces with difference operators, where this family of functional equation is a general mixed additive-quadratic-cubic-quartic functional equations. We…
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…
In this paper, new classes of functions are defined. These spaces generalize Morrey spaces and give a refinement of Lebesgue spaces. Some embeddings between these new classes are also proved. Finally, the authors apply these classes of…
This paper is the first part of our survey on various results about the distribution of exponential type Brownian functionals defined as an integral over time of geometric Brownian motion. Several related topics are also mentioned.
We construct $P(phi)_1$-processes indexed by the full time-line, separately derived from the functional integral representations of the relativistic and non-relativistic Nelson models in quantum field theory. These two cases differ…