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The Lambert W function has utility for solving various exponential and logarithmic equations arranged in the form of $g(x)e^{g(x)}$. Using the Lambert W function and tetration, a variety of categorized inversion formulas are presented.…
Fractional Brownian motion can be represented as an integral of a deterministic kernel w.r.t. an ordinary Brownian motion either on infinite or compact interval. In previous literature fractional L\'evy processes are defined by integrating…
In this paper we revisit the integral functional of geometric Brownian motion $I_t= \int_0^t e^{-(\mu s +\sigma W_s)}ds$, where $\mu\in\mathbb{R}$, $\sigma > 0$, and $(W_s )_s>0$ is a standard Brownian motion. Specifically, we calculate the…
Consider an n-fold integrated Brownian motion. We show that a simple change in time and scale transforms it into a stationary Gaussian process. The collection of stationary processes so constructed not only constitutes an interesting family…
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 fractional Brownian motion processes (fBm) as an alternative model for the turbulent index of refraction. These processes allow to reconstruct most of the refractive index properties, but they are not differentiable. We…
By using Malliavin calculus, Bismut derivative formulae are established for a class of stochastic (functional) differential equations driven by fractional Brownian motions. As applications, Harnack type inequalities and strong Feller…
After some normalization, the logarithms of the ordered singular values of Brownian motions on $GL(N,\mathbb F)$ with $\mathbb F=\mathbb R, \mathbb C$ form Weyl-group invariant Heckman-Opdam processes on $\mathbb R^N$ of type $A_{N-1}$. We…
In this note we prove that the local martingale part of a convex function f of a d-dimensional semimartingale X = M + A can be written in terms of an It^o stochastic integral \int H(X)dM, where H(x) is some particular measurable choice of…
We derive diffusion constants and martingales for senile random walks with the help of a time-change. We provide direct computations of the diffusion constants for the time-changed walks. Alternatively, the values of these constants can be…
We prove the max-martingale conjecture given in recent article with Marc Yor. We show that for a continuous local martingale $(N\_t:t\ge 0)$ and a function $H:R x R\_+\to R$, $H(N\_t,\sup\_{s\leq t}N\_s)$ is a local martingale if and only…
We consider a general class of integro-differential evolution equations which includes the governing equation of the generalized grey Brownian motion and the time- and space-fractional heat equation. We present a general relation between…
In this paper we introduce the concept of conic martingales}. This class refers to stochastic processes having the martingale property, but that evolve within given (possibly time-dependent) boundaries. We first review some results about…
Our aim in this article is to provide explicit computable estimates for the cumulative distribution function (c.d.f.) and the $p$-th order moment of the exponential functional of a fractional Brownian motion (fBM) with drift. Using…
We solve the problem of formulating Brownian motion in a relativistically covariant framework in 1+1 and 3+1 dimensions. We obtain covariant Fokker-Planck equations with (for the isotropic case) a differential operator of invariant…
The paper develops a calculus for a class of real-valued functions having a quadratic variation. The main result is a solution of the representation problem for a class of evolutions having a quadratic variation. The result is applied to…
We consider the solution to a stochastic heat equation. This solution is a random function of time and space. For a fixed point in space, the resulting random function of time, $F(t)$, has a nontrivial quartic variation. This process,…
Let $X$ be a linear diffusion and $f$ a non-negative, Borel measurable function. We are interested in finding conditions on $X$ and $f$ which imply that the perpetual integral functional $$ I^X_\infty(f):=\int_0^\infty f(X_t) dt $$ is…
There exist many explicit evaluations of Dirichlet series. Most of them are constructed via the same approach: by taking products or powers of Dirichlet series with a known Euler product representation. In this paper we derive a result of a…
In this contribution we generalize the classical Fourier Mellin transform [S. Dorrode and F. Ghorbel, Robust and efficient Fourier-Mellin transform approximations for gray-level image reconstruction and complete invariant description,…