Related papers: On the Martingale Representation with Respect to t…
We consider a class of semi-Markov processes (SMP) such that the embedded discrete time Markov chain may be non-homogeneous. The corresponding augmented processes are represented as semi-martingales using stochastic integral equation…
Affine processes play an important role in mathematical finance and other applied areas due to their tractable structure. In the present article, we derive probabilistic representations and integration by parts (IBP) formulas for…
It has been recently shown that the Bellman function method can be applied in the general context of Gundy's extrapolation theorem for vector-valued martingales. But the additional assumption has been made that martingales are adapted to a…
We prove thin-thick decompositions, for the class of Hardy martingales and thereby strengthen its square function characterization. We apply the underlying method to several classical martingale inequalities, for which we give new proofs .
This paper develops the theory of distinguished regular supercuspidal representations, and it highlights how the correspondence between regular characters and regular supercuspidal representations resembles induction in certain ways.
We introduce polynomial processes taking values in an arbitrary Banach space $B$ via their infinitesimal generator $L$ and the associated martingale problem. We obtain two representations of the (conditional) moments in terms of solutions…
We develop quaternionic analysis using as a guiding principle representation theory of various real forms of the conformal group. We first review the Cauchy-Fueter and Poisson formulas and explain their representation theoretic meaning. The…
The restriction of a supercuspidal representation of SL_2(k), for k a local nonarchimedean field, to a maximal compact subgroup decomposes as a multiplicity-free direct sum of irreducible representations. We explicitly describe this…
Martingale representation theorem for set-valued martingales was proposed by M. Kisielewicz [J. Math. Anal. Appl. 2014]. We shall prove that the result holds only for very special case: the set-valued martingale degenerates to the…
Let $\M$ be a hyperfinite finite von Nemann algebra and $(\M_k)_{k\geq 1}$ be an increasing filtration of finite dimensional von Neumann subalgebras of $\M$. We investigate abstract fractional integrals associated to the filtration…
A method of reducing general quaternion functions of first degree, i.e., linear quaternion functions, to quaternary canonical form is given. Linear quaternion functions, once reduced to canonical form, can be maintained in this form under…
In this paper we derive intertwining relations for a broad class of conservative particle systems both in discrete and continuous setting. Using the language of point process theory, we are able to derive a natural framework in which…
A new extension of the sub-fractional Brownian motion, and thus of the Brownian motion, is introduced. It is a linear combination of a finite number of sub-fractional Brownian motions, that we have chosen to call the mixed sub-fractional…
We extend the symbolic representation to the ring of N=1 supersymmetric differential polynomials, and demonstrate that operations on the ring, such as the super derivative, Frechet derivative and super commutator, can be carried out in the…
The generalization of fractional Brownian motion in infinite-dimensional white and grey noise spaces has been recently carried over, following the Mandelbrot-Van Ness representation, through Riemann-Liouville type fractional operators. Our…
For a class of stochastic differential equations with reflection for which a certain ${\mathbb{L}}^p$ continuity condition holds with $p>1$, it is shown that any weak solution that is a strong Markov process can be decomposed into the sum…
This work shows how exponential concentration inequalities for additive functionals of stochastic processes over a finite time interval can be derived from concentration inequalities for martingales. The approach is entirely probabilistic…
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 obtain integral representations of the $n$-th derivatives of the Bessel functions with respect to the order. The numerical evaluation of these expressions is very efficient using a double exponential integration strategy. Also, from the…
By the classical Martingale Representation Theorem, replication of random vectors can be achieved via stochastic integrals or solutions of stochastic differential equations. We introduce a new approach to replication of random vectors via…