Related papers: On Martingale Transformations of Multidimensional …
We introduce fractional Brownian motion processes (fBm) as an alternative model for the turbulent index of refraction. These processes allow to reconstruct most of the index properties, but they are not differentiable. We overcome the…
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…
Denoting by $\mathbb{M}$ the complexification of the quaternionic algebra $\mathbb{H}$, we characterize the family of those $\mathbb{M}$-valued functions, defined on subsets of $\H$, whose values are actually quaternions, using an intrinsic…
In previous work J. Backhoff-Veraguas, M. Beiglb\"ock and the present authors showed that the notions of stretched Brownian motion and Bass martingale between two probability measures on Euclidean space coincide if and only if these two…
We study representations of a random variable $\xi$ as an integral of an adapted process with respect to the Lebesgue measure. The existence of such representations in two different regularity classes is characterized in terms of the…
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…
By observing that the fractional Caputo derivative can be expressed in terms of a multiplicative convolution operator, we introduce and study a class of such operators which also have the same self-similarity property as the Caputo…
The aim of this paper is to present the new results concerning some functionals of Brownian motion with drift and present their applications in financial mathematics. We find a probabilistic representation of the Laplace transform of…
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 consider certain questions pertaining to noncommutative generalized Brownian motions with multiple processes. We establish a framework for generalized Brownian motion with multiple processes similar to that defined by Guta and prove…
In Ayache and Taqqu (2005), the multifractional Brownian (mBm) motion is obtained by replacing the constant parameter $H$ of the fractional Brownian motion (fBm) by a smooth enough functional parameter $H(.)$ depending on the time $t$.…
We provide a characterization of continuous semimartingales whose law is invariant with respect to predictable random rotations. In particular we prove that all such semimartingales are obtained by integrating a predictable process with…
It is shown that a smooth n dimensional manifold with a boundary in R^n admits a Boolean representation in terms of closed half spaces defined by the tangent hyperplanes at the points on its boundary. A similar result is established for…
This paper contributes to the study of stochastic processes of the class $(\Sigma)$. First, we extend the notion of the above-mentioned class to c\`adl\`ag semi-martingales, whose finite variational part is considered c\`adl\`ag instead of…
The paper develops multiplicative compensation for complex-valued semimartingales and studies some of its consequences. It is shown that the stochastic exponential of any complex-valued semimartingale with independent increments becomes a…
We define a normal form (called the canonical image) of an arbitrary measurable function of several variables with respect to a natural group of transformations; describe a new complete system of invariants of such a function (the system of…
We characterize the pointer states generated by the master equation of quantum Brownian motion and derive stochastic equations for the dynamics of their trajectories in phase space. Our method is based on a Poissonian unraveling of 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…
A Brownian time process is a Markov process subordinated to the absolute value of an independent one-dimensional Brownian motion. Its transition densities solve an initial value problem involving the square of the generator of the original…
In this series of articles we study connections between combinatorics of multidimensional generalizations of Cauchy identity and continuous objects such as multidimensional Brownian motions and Brownian bridges. In Part I of the series we…