Related papers: Set-valued functions of bounded generalized variat…
Motivated by applications to stochastic programming, we introduce and study the expected-integral functionals, which are mappings given in an integral form depending on two variables, the first a finite dimensional decision vector and the…
We introduce and study spaces of multivariate functions of bounded variation generalizing the classical Jordan and Wiener spaces. Multivariate generalizations of the Jordan space were given by several prominent researchers but each of them…
The concept of bounded variation has been generalized in many ways. In the frame of functions taking values in Banach space, the concept of bounded semivariation is a very important generalization. The aim of this paper is to provide an…
We study well-posedness of sweeping processes with stochastic perturbations generated by a fractional Brownian motion and convergence of associated numerical schemes. To this end, we first prove new existence, uniqueness and approximation…
We introduce the concept of functions of locally bounded variation on abstract Wiener spaces and study their properties. Some nontrivial examples and applications to stochastic analysis are also discussed.
The paper is devoted to the existence of integral functionals $\int_0^\infty f(X(t))\,{\mathrm{d}t}$ for several classes of processes in $\mathbb{R}$ with $d\ge 3$. Some examples such as Brownian motion, fractional Brownian motion, compound…
In this paper, we develop a Young integration theory in dimension 2 which will allow us to solve a non-linear one dimensional wave equation driven by an arbitrary signal whose rectangular increments satisfy some H\"{o}lder regularity…
We prove that a set-indexed process is a set-indexed fractional Brownian motion if and only if its projections on all the increasing paths are one-parameter time changed fractional Brownian motions. As an application, we present an integral…
We introduce a generalization of the Young integration on self-similar sets defined in a closed interval and give a sufficient condition of its integrability. We also prove integration by substitution, integration by parts and term-by-term…
We introduce the class of vector measures of bounded $\gamma$-variation and study its relationship with vector-valued stochastic integrals with respect to Brownian motions.
We show that if a random variable is a final value of an adapted Holder continuous process, then it can be represented as a stochastic integral with respect to fractional Brownian motion, and the integrand is an adapted process, continuous…
This paper focuses on controllability results of stochastic delay partial functional integro-differential equations perturbed by fractional Brownian motion. Sufficient conditions are established using the theory of resolvent operators…
We show that if a random variable is the final value of an adapted log-H\"{o}lder continuous process, then it can be represented as a stochastic integral with respect to a fractional Brownian motion with adapted integrand. In order to…
We introduce a new Gaussian process, a generalization of both fractional and subfractional Brownian motions, which could serve as a good model for a larger class of natural phenomena. We study its main stochastic properties and some…
We study the distribution of additive functionals of reset Brownian motion, a variation of normal Brownian motion in which the path is interrupted at a given rate and placed back to a given reset position. Our goal is two-fold: (1) For…
A stochastic sewing lemma which is applicable for processes taking values in Banach spaces is introduced. Applications to additive functionals of fractional Brownian motion of distributional type are discussed.
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 introduce the Wick integral $\int_s^t p(X_u) \Diamond \mathrm{d} X_u$ for a class of stochastic processes $X$ which are not necessarily Gaussian, in the regime of bounded $2> q$-variation. The integral is defined for polynomial…
We study stochastic convolutions providing by fundamental solutions of a class of integrodifferential equations which interpolate the heat and the wave equations. We give sufficient condition for the existence of function--valued…
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.…