Related papers: Stochastic sewing in Banach space
We investigate mild solutions for stochastic evolution equations driven by a fractional Brownian motion (fBm) with Hurst parameter H in (1/3, 1/2] in infinite-dimensional Banach spaces. Using elements from rough paths theory we introduce an…
We study the notions of differentiating and non-differentiating sigma-fields in the general framework of (possibly drifted) Gaussian processes, and characterize their invariance properties under equivalent changes of probability measure. As…
The paper investigates uniform convergence of wavelet expansions of Gaussian random processes. The convergence is obtained under simple general conditions on processes and wavelets which can be easily verified. Applications of the developed…
We show that the Brownian motion on the complex full flag manifold can be represented by a matrix-valued diffusion obtained from the unitary Brownian motion. This representation actually leads to an explicit formula for the characteristic…
We are interested in Beurling spectrum of $\mathbb X-$valued functions with application in functional delay differential equations.
We construct the basis of a stochastic calculus for so-called Volterra processes, i.e., processes which are defined as the stochastic integral of a time-dependent kernel with respect to a standard Brownian motion. For these processes which…
For optimizing a non-convex function in finite dimension, a method is to add Brownian noise to a gradient descent, allowing for transitions between basins of attractions of different minimizers. To adapt this for optimization over a space…
We construct absolute continuous stochastic processes that converge to anisotropic fractional and multifractional Brownian sheets in Besov-type spaces.
This article summarizes the various ways one may use to construct the Skew Brownian motion, and shows their connections. Recent applications of this process in modelling and numerical simulation motivates this survey. This article ends with…
We consider a stochastic flow in which individual particles follow skew Brownian motions, with each one of these processes driven by the same Brownian motion. One does not have uniqueness for the solutions of the corresponding stochastic…
This work is devoted to deriving the Onsager-Machlup action functional for stochastic partial differential equations with (non-Gaussian) Levy process as well as Gaussian Brownian motion. This is achieved by applying the Girsanov…
Parametric and nonparametric inference for stochastic processes driven by a fractional Brownian motion were investigated in Mishura (2008) and Prakasa Rao(2010) among others. Similar problems for processes driven by an infinite dimensional…
We study rates of convergence in central limit theorems for partial sum of functionals of general stationary and non-stationary Gaussian sequences, using optimal tools from analysis on Wiener space. We apply our result to study drift…
This article studies regularity properties of multiplicative stochastic processes on infinite-dimensional Lie groups. We investigate conditions under which these processes admit c\`adl\`ag modifications and derive bounds on their local…
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…
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…
Stochastic efficiency is evaluated in five case studies: driven Brownian motion, effusion with a thermo-chemical and thermo-velocity gradient, a quantum dot and a model for information to work conversion. The salient features of stochastic…
We consider stochastic differential equation involving pathwise integral with respect to fractional Brownian motion. The estimates for the Hurst parameter are constructed according to first- and second-order quadratic variations of observed…
The Feynman integral is given a stochastic interpretation in the framework of Nelson's stochastic mechanics employing a time-symmetric variant of Nelson's kinematics recently developed by the author.
A new stochastic process is introduced and considered - squared Bessel process with special stochastic time. The analogues of fundamental properties for Brownian motion are deduced for squared Bessel process. In particular an analogue of…