Related papers: On Martingale Transformations of Multidimensional …
In the previous paper we have shown analytically that, if the drift function of the d-dimensional Langevin equation is the Langevin function with a properly chosen scale factor, then the evolution of the drift function is a martingale…
We consider a branching Brownian motion in $\mathbb{R}^d$. We prove that there exists a random subset $\Theta$ of $\mathbb{S}^{d-1}$ such that the limit of the derivative martingale exists simultaneously for all directions $\theta \in…
Several reductions of the bosonic BMN matrix model equations to ordinary point particle Hamiltonian dynamics in the plane (or R^3) are given - as well as a few explicit solutions (some of which, as N->infinity, correspond to membranes…
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 investigate a class of quadratic Riemannian curvature functionals on closed smooth manifold $M$ of dimension $n\ge 3$ on the space of Riemannian metrics on $M$ with unit volume. We study the stability of these functionals…
In classical complex analysis analyticity of a complex function $f$ is equivalent to differentiability of its real and imaginary parts $u$ and $v$, respectively, together with the Cauchy-Riemann equations for the partial derivatives of $u$…
This paper presents an experimental study on the application of quaternions in several machine learning algorithms. Quaternion is a mathematical representation of rotation in three-dimensional space, which can be used to represent complex…
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…
In this note we review recent results on existence and uniqueness of solutions of infinite-dimensional stochastic differential equations describing interacting Brownian motions on $\R^d$.
This paper deals with the identification of the multivariate fractional Brownian motion, a recently developed extension of the fractional Brownian motion to the multivariate case. This process is a $p$-multivariate self-similar Gaussian…
Fractional equations governing the distribution of reflecting drifted Brownian motions are presented. The equations are expressed in terms of tempered Riemann--Liouville type derivatives. For these operators a Marchaud-type form is obtained…
Invariance properties of semimartingales on Lie groups under a family of random transformations are defined and investigated, generalizing the random rotations of the Brownian motion. A necessary and sufficient explicit condition…
We consider additive functionals of stationary Markov processes and show that under Kipnis-Varadhan type conditions they converge in rough path topology to a Stratonovich Brownian motion, with a correction to the Levy area that can be…
The present article deals with general mechanics in an unconventional manner. At first, Newtonian mechanics for a point particle has been described in vectorial picture, considering Cartesian, polar and tangent-normal formulations in a…
Lecture notes for a master-level mathematics course on martingales and stochastic calculus, held at the University of Orl\'eans, France. With corrected exercises. Contents: Discrete-time martingales, stopping times, convergence theorems.…
We describe dynamical properties of a map $\mathfrak{F}$ defined on the space of rational functions. The fixed points of $\mathfrak{F}$ are classified and the long time behavior of a subclass is described in terms of Eulerian polynomials.
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…
We prove the existence of harmonic functions $f$ on trees, with respect to suitable transient transition operators $P$, that satisfy an analogue of Menshov universal property in the following sense: $f$ is the Poisson transform of a…
For a general set transformation ${\cal R}$ between two measure spaces, we define the rearrangement of a measurable function by means of the Layer's cake formula. We study some functional properties of the Lorentz spaces defined in terms of…
We review several results related to the problem of a quantum particle in a random environment. In an introductory part, we recall how several functionals of the Brownian motion arise in the study of electronic transport in weakly…