Related papers: A Functional Ito-Formula for Dawson-Watanabe Super…
A multitype Dawson-Watanabe process is conditioned, in subcritical and critical cases, on non-extinction in the remote future. On every finite time interval, its distribution is absolutely continuous with respect to the law of the…
In the present paper we show that the Levy-Ito representation of the infinitesimal generator $L$ for Levy processes $X_t$ can be written in a convolution-type form. Using the obtained convolution form we have constructed the quasi-potential…
We use the theory of regularity structures to develop an It\^o formula for $u$, the solution of the one dimensional stochastic heat equation driven by space-time white noise with periodic boundary conditions. In particular for any smooth…
An integral formula is developed which applies to an essentially arbitrary function. An application is made to the Riemann zeta function.
We provide a general It\=o\,-Wentzell formula for a random field of maps on the Wasserstein space of probability measures, defined by continuous semimartingales, and evaluated along the flow of conditional distributions of another…
We derive an integral-free thermodynamic perturbation series expansion for quantum partition functions which enables an analytical term-by-term calculation of the series. The expansion is carried out around the partition function of the…
A possible connection between quantum computing and Zeta functions of finite field equations is described. Inspired by the 'spectral approach' to the Riemann conjecture, the assumption is that the zeroes of such Zeta functions correspond to…
The structure of square integrable functionals measurable with respect to the $n-$point motion of the Arratia flow is studied. Relying on the change of measure technique, a new construction of multiple stochastic integrals along…
The stochastic quantization method is applied to N = 1 supersymmetric Yang-Mills theory, in particular in 4 and 10 dimensions. In the 4 dimensional case, based on Ito calculus, the Langevin equation is formulated in terms of the superfield…
This paper concerns the density of the Hartman--Watson law. Yor (1980) obtained an integral formula that gives a closed-form expression of the Hartman--Watson density. In this paper, based on Yor's formula, we provide alternative integral…
We consider a class of measures absolutely continuous with respect to the distribution of the stopped Wiener process $w(\cdot\wedge\tau)$. Multiple stochastic integrals, that lead to the analogue of the It\^o-Wiener expansions for such…
We consider decompositions of processes of the form $Y=f(t,X_t)$ where $X$ is a semimartingale. The function $f$ is not required to be differentiable, so It\^{o}'s lemma does not apply. In the case where $f(t,x)$ is independent of $t$, it…
Ohno's relation is a well-known relation on the field of the multiple zeta values and has an interpolation to complex function. In this paper, we call its complex function Ohno function and study it. We consider the region of absolute…
Path dependence is omnipresent in many disciplines such as engineering, system theory and finance. It reflects the influence of the past on the future, often expressed through functionals. However, non-Markovian problems are often…
Ito stochastic differential equation governs one-dimensional diffusive Markov process. Geoelectrical signals measured in seismic areas can be considered as the result of competitive and collective interactions among system elements. The Ito…
When analyzing probabilistic computations, a powerful approach is to first find a martingale---an expression on the program variables whose expectation remains invariant---and then apply the optional stopping theorem in order to infer…
The paper studies a class of Ornstein-Uhlenbeck processes on the classical Wiener space. These processes are associated with a diffusion type Dirichlet form whose corresponding diffusion operator is unbounded in the Cameron-Martin space. It…
In this paper, we extend the first-order asymptotics analysis of Fouque et al. to general path-dependent financial derivatives using Dupire's functional Ito calculus. The main conclusion is that the market group parameters calibrated to…
For a general class of Gaussian processes $W$, indexed by a sigma-algebra $\mathscr F$ of a general measure space $(M,\mathscr F, \sigma)$, we give necessary and sufficient conditions for the validity of a quadratic variation representation…
By means of Ito calculus it is possible to find, in a straight-forward way, the analytical solution to some equations related to the passive tracer transport problem in a velocity field that obeys the multidimensional Burgers equation and…