Related papers: On Martingale Transformations of Multidimensional …
We consider functional equations (Cauchy's, Abel's and some other functional equations) and show that to find general solution of these equations is equivalent to establish that a space-transformation of a Brownian Motion by suitable…
We describe the classes of functions $f=(f(x), x\in R)$, for which processes $f(W_t)-Ef(W_t)$ and $f(W_t)/Ef(W_t)$ are martingales. We apply these results to give a martingale characterization of general solutions of the quadratic and the…
We introduce a transform on the class of stochastic exponentials for d-dimensional Brownian motions. Each stochastic exponential generates another stochastic exponential under the transform. The new exponential process is often merely a…
We discuss the relationships between some classical representations of the fractional Brownian motion, as a stochastic integral with respect to a standard Brownian motion, or as a series of functions with independent Gaussian coefficients.…
We consider stochastic versions of the Cauchy exponential functional equation and give a martingale characterization of the general solution.
Fractional Brownian motion belongs to a class of long memory Gaussian processes that can be represented as linear functionals of an infinite dimensional Markov process. This representation leads naturally to: - An efficient algorithm to…
We study the hydrodynamic limits of three kinds of one-dimensional stochastic log-gases known as Dyson's Brownian motion model, its chiral version, and the Bru-Wishart process studied in dynamical random matrix theory. We define the…
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…
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 prove change of variables formulas [It\^o formulas] for functions of both arithmetic and geometric averages of geometric fractional Brownian motion. They are valid for all convex functions, not only for smooth ones. These change of…
We investigate the rate functions that emerge in our previous works towards large deviation principle for the matrix liberation process driven by the unitary Brownian motion as well as the unitary Brownian motion itself. Our approach is…
We obtain an exact formula for the Fourier transform of multiradial functions, i.e., functions of the form $\Phi(x)=\phi(|x_1|, \dots, |x_m|)$, $x_i\in \mathbf R^{n_i}$, in terms of the Fourier transform of the function $\phi$ on $\mathbf…
Assume that $X$ is a continuous square integrable process with zero mean, defined on some probability space $(\Omega,\mathrm {F},\mathrm {P})$. The classical characterization due to P. L\'{e}vy says that $X$ is a Brownian motion if and only…
Brownian motions, martingales, and Wiener processes are introduced and studied for set valued functions taking values in the subfamily of compact convex subsets of arbitrary Banach space $X$. The present paper is an application of one the…
We construct a pathwise calculus for functionals of integer-valued measures and use it to derive an martingale representation formula with respect to a large class of integer-valued random measures. Using these results, we extend the…
We study the problem of optimal approximation of a fractional Brownian motion by martingales. We prove that there exist a unique martingale closest to fractional Brownian motion in a specific sense. It shown that this martingale has a…
We derive a family of series representations of the multiparameter fractional Brownian motion in the centred ball of radius $R$ in the $N$-dimensional space $\mathbb{R}^N$. Some known examples of series representations are shown to be the…
We consider different types of processes obtained by composing Brownian motion $B(t)$, fractional Brownian motion $B_{H}(t)$ and Cauchy processes $% C(t)$ in different manners. We study also multidimensional iterated processes in…
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…
A class of Gaussian processes generalizing the usual fractional Brownian motion for Hurst indices in (1/2,1) and multifractal Brownian motion introduced in Ralchenko and Shevchenko (Theory Probab Math Stat 80, 2010) and Boufoussi et al.…