Related papers: Stochastic Integrals and Gelfand Integration in Fr…
In this paper we study the stochastic homogenisation of free-discontinuity functionals. Assuming stationarity for the random volume and surface integrands, we prove the existence of a homogenised random free-discontinuity functional, which…
In this paper presents the results obtained in the field of spectral theory operators of fractional differentiation. Proven a number of propositions which represents independent interest in the theory of fractional calculus. Introduced…
Volterra companion integral and multiplication operators with holomorphic symbols are studied for a large class of generalized Fock spaces on the complex plane $\CC$. The weights defining these spaces are radial and subject to a mild…
We propose and analyze the convergence of a novel stochastic forward-backward splitting algorithm for solving monotone inclusions given by the sum of a maximal monotone operator and a single-valued maximal monotone cocoercive operator. This…
We develop a stochastic calculus for processes which are built by convoluting a pure jump, zero expectation L\'{e}vy process with a Volterra-type kernel. This class of processes contains, for example, fractional L\'{e}vy processes as…
We construct completely integrable systems on the dual of the Lie algebra of any compact Lie group $K$ with respect to the standard Lie-Poisson structure. These systems generalize key properties of Gelfand-Zeitlin systems: A) the pullback…
We point out that a proper use of the Hoeffding--ANOVA decomposition for symmetric statistics of finite urn sequences, previously introduced by the author, yields a decomposition of the space of square-integrable functionals of a…
We integrate the Lifting cocycles $\Psi_{2n+1},\Psi_{2n+3},\Psi_{2n+5},...$ ([Sh1], [Sh2]) on the Lie algebra $\Dif_n$ of holomorphic differential operators on an $n$-dimensional complex vector space to the cocycles on the Lie algebra of…
We derive functional convergence of the partial maxima stochastic processes of multivariate linear processes with weakly dependent heavy-tailed innovations and random coefficients. The convergence takes place in the space of…
Under proper scaling and distributional assumptions, we prove the convergence in the Skorokhod space endowed with the M_1-topology of a sequence of stochastic integrals of a deterministic function driven by a time-changed symmetric…
We study smooth function spaces of Gelfand-Shilov type, with global behavior governed through a translation-invariant Banach function space and localized via a weight function system. We clarify the roles of the translation-invariant Banach…
We consider the fractional Laplacian operator $(-\Delta)^s$ (let $ s \in (0,1) $) on Euclidean space and investigate the validity of the classical integration-by-parts formula that connects the $ L^2(\mathbb{R}^d) $ scalar product between a…
In this paper, we study the Backward stochastic Volterra integral equation driven by G-Brownian motion (G-BSVIE). By adopting a different backward iteration method, we construct the approximating sequences on each local interval. With the…
The paper suggests a way of stochastic integration of random integrands with respect to fractional Brownian motion with the Hurst parameter H> 1/2. The integral is defined initially on the processes that are "piecewise" predictable on a…
We prove the existence of a unique Malliavin differentiable strong solution to a stochastic differential equation on the plane with merely integrable coefficients driven by the fractional Brownian sheet with Hurst parameters less than 1/2.…
In this paper we continue the study of the path-integral formulation of classical mechanics and in particular we better clarify, with respect to previous papers, the geometrical meaning of the variables entering this formulation. With…
This paper is devoted to study a class of stochastic Volterra equations associated with fractional Brownian motion. We first prove the Driver type integration by parts formula and the shift Harnack type inequalities. As a direct…
We give a cohomological interpretation of the Heaviside filtration on the Varchenko--Gelfand ring of a pair $(\mathcal{A},\mathcal{K})$, where $\mathcal{A}$ is a real hyperplane arrangement and $\mathcal{K}$ is a convex open subset of the…
We provide Harish-Chandra type formulas for the multivariate Bessel functions and Heckman-Opdam hypergeometric functions as representation-valued integrals over dressing orbits. Our expression is the quasi-classical limit of the realization…
We investigate stochastic Volterra equations and their limiting laws. The stochastic Volterra equations we consider are driven by a Hilbert space valued \Levy noise and integration kernels may have non-linear dependence on the current state…