Related papers: Functional equations and martingales
A fixed point result is given for a class of functional contractions over local Branciari metric spaces. It extends some contributions in the area due to Fora et al [Mat. Vesnik, 61 (2009), 203-208].
We give a new elementary proof of the following theorem: if all critical points of a rational function g belong to the real line then there exists a fractional linear transformation L such that L(g) is a real rational function. Then we…
For a real Borel measurable function b, which satisfies certain integrability conditions, it is possible to define a stochastic integral of the process b(Y) with respect to a Brownian motion W, where Y is a diffusion driven by W. It is well…
An interesting question in the field of martingale optimal transport, is to determine the martingale with prescribed initial and terminal marginals which is most correlated to Brownian motion. Under a necessary and sufficient irreducibility…
Functional equations (FE) arise quite naturally in the analysis of stochastic systems of different kinds : queueing and telecommunication networks, random walks, enumeration of planar lattice walks, etc. Frequently, the object is to…
In this paper, we are concerned with the numerical solution of one type integro-differential equation by a probability method based on the fundamental martingale of mixed Gaussian processes. As an application, we will try to simulate the…
In this note it is worked out a new set of Laplace-Like equations for quaternions through Riemann-Cauchy hypercomplex relations otained earlier \cite{BorgesZeMarcio}. As in the theory of functions of a complex variable, it is expected that…
Functional equations satisfied by additive functions have a special interest not only in the theory of functional equations, but also in the theory of (commutative) algebra because the fundamental notions such as derivations and…
In this short note, we introduce probabilistic Cauchy functional equations, specifically, functional equations of the following form: $$ f(X_1 + X_2) \stackrel{d}{=} f(X_1) + f(X_2), $$ where $X_1$ and $X_2$ represent two independent…
A martingale \int H.dZ is defined as having Dimension k if H has rank k almost surely, almost all t. Dimension can be used as a geometric invariant to classify and study martingales. We also define general Brownian motions in higher…
We investigate open quantum Brownian motions as quantum analogues of classical diffusion processes under interaction with an external enviroment. Building upon the microscopic derivation by Sinayskiy and Petruccione [20], we revisit the…
A Lagrangian description of a classical particle in a 9-dimensional flat Finslerian space with a cubic metric function is constructed. The general solution of equations of motion for such a particle is obtained. The Galilean law of inertia…
We briefly review the problem of Brownian motion and describe some intriguing facets. The problem is first treated in its original form as enunciated by Einstein, Langevin, and others. Then, utilizing the problem of Brownian motion as a…
Field-theoretic construction of functional representations of solutions of stochastic differential equations and master equations is reviewed. A generic expression for the generating function of Green functions of stochastic systems is put…
In this paper we investigate the energy functions for a class of non Gaussian processes. These processes are characterized in terms of the Mittag-Leffler function. We obtain closed analytic form for the energy function, in particular we…
As a continuation of Rabei et al. work [11], the Hamilton- Jacobi partial differential equation is generalized to be applicable for systems containing fractional derivatives. The Hamilton- Jacobi function in configuration space is obtained…
Expanding upon recent work, a new class of $A$-functions is introduced that can be viewed as an appropriate generalization of the class of regular $A$-functions, the class of structured $A$-functions, and the class of perfect $A$-functions.…
We prove the max-martingale conjecture given in recent article with Marc Yor. We show that for a continuous local martingale $(N\_t:t\ge 0)$ and a function $H:R x R\_+\to R$, $H(N\_t,\sup\_{s\leq t}N\_s)$ is a local martingale if and only…
We develop a general technique for computing functional integrals with fixed area and boundary length constraints. The correct quantum dimensions for the vertex functions are recovered by properly regularizing the Green function. Explicit…
A simple formal procedure makes the main properties of the lagrangian binomial extendable to functions depending to any kind of order of the time--derivatives of the lagrangian coordinates. Such a broadly formulated binomial can provide the…