Related papers: On a Set-Valued Young Integral with Applications t…
A Daniell-Stone type characterization theorem for Aumann integrals of set-valued measurable functions will be proven. It is assumed that the values of these functions are closed convex upper sets, a structure that has been used in some…
We consider stochastic integration with respect to fractional Brownian motion (fBm) with $H < 1/2$. The integral is constructed as the limit, where it exists, of a sequence of Riemann sums. A theorem by Gradinaru, Nourdin, Russo & Vallois…
We survey several non-absolutely convergent integrals, including the Henstock-Kurzweil and Pfeffer integrals, and use ideas from these theories to investigate the problem of multidimensional Young integration. We further present results on…
In this paper, by using Girsanov's transformation and the property of the corresponding reference stochastic differential equations, we investigate weak existence and uniqueness of solutions and weak convergence of Euler-Maruyama scheme to…
In this paper, we first establish a strong approximation version for the first order limit theorem of some additive functionals related to two non-Markovian Gaussian processes: the fractional Brownian motion (fBm) and the Riemann-Liouville…
We prove existence and uniqueness of the solution of a stochastic shell--model. The equation is driven by an infinite dimensional fractional Brownian--motion with Hurst--parameter $H\in (1/2,1)$, and contains a non--trivial coefficient in…
Using structures of Abstract Wiener Spaces, we define a fractional Brownian field indexed by a product space $(0,1/2] \times L^2(T,m)$, $(T,m)$ a separable measure space, where the first coordinate corresponds to the Hurst parameter of…
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…
Let $B=(B_1(t),\ldots,B_d(t))$ be a $d$-dimensional fractional Brownian motion with Hurst index $\alpha<1/4$. Defining properly iterated integrals of $B$ is a difficult task because of the low H\"older regularity index of its paths. Yet…
This paper reviews and extends some recent results on the multivariate fractional Brownian motion (mfBm) and its increment process. A characterization of the mfBm through its covariance function is obtained. Similarly, the correlation and…
In this paper a new functional integral representation for classical dynamics is introduced. It is achieved by rewriting the Liouville picture in terms of bosonic creation-annihilation operators and utilizing the standard derivation of…
We present decompositions of various positive kernels as integrals or sums of positive kernels. Within this framework we study the reproducing kernel Hilbert spaces associated with the fractional and bi-fractional Brownian motions. As a…
This paper presents a systematic study of the calculus of interval-valued functions and its application to interval differential equations. To this end, first, we introduce new interval arithmetic operations. Under new operations, the space…
A functional limit theorem for the empirical measure-valued process of eigenvalues of a matrix fractional Brownian motion is obtained. It is shown that the limiting measure-valued process is the non-commutative fractional Brownian motion…
We present a high order numerical method for the solution of the Neumann Green's function in two dimensions. For a general closed planar curve, our computational method resolves both the interior and exterior Green's functions with the…
We consider finite element approximations for a one dimensional second order stochastic differential equation of boundary value type driven by a fractional Brownian motion with Hurst index $H\le 1/2$. We make use of a sequence of…
In this paper we study some local and global regularity properties of Fourier series obtained as fractional integrals of modular forms. In particular we characterize the differentiability at rational points, determine their H\"older…
We provide sufficient conditions on the coefficients of a stochastic functional differential equation with bounded memory driven by Brownian motion which guarantee existence and uniqueness of a maximal local and global strong solution for…
The aim of this work is to present the regularity condition (also known in the literature as structure condition) an integro-differential operator may satisfy in order for the domination principle to hold for (sub-,super-) solutions of…
We formulate indefinite integration with respect to an irregular function as an algebraic problem and provide a criterion for the existence and uniqueness of a solution. This allows us to define a good notion of integral with respect to…