Related papers: The Bou\'e--Dupuis formula and the exponential hyp…

In 1998, Bou\'e and Dupuis proved a variational representation for exponentials of bounded Wiener functionals. Since their proof involves arguments related to the weak convergence of probability measures, the boundedness of functionals…

The Bou\'e-Dupuis variational formula gives a representation for log Laplace transforms of bounded measurable functions of a finite dimensional Brownian motion on a compact time interval as an infimum of a suitable cost over a collection of…

The purpose of this paper is to establish a variational representation \log \E [e^{f(B)}] = \sup_h \E [f(B + \int_0^{\cdot} d<B>_s h_s) - 1/2 \int_0^1 h_s \cdot (d<B>_s h_s)] for functionals of the d-dimensional G-Brownian motion B. Here \E…

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…

In this paper, with the help of a result by Matsumoto--Yor (2000), we prove a Girsanov-type formula for a class of anticipative transforms of Brownian motion which possesses exponential functionals as anticipating factors. Our result…

We provide three different characterizations of the space $BV(O,\gamma)$ of the functions of bounded variation with respect to a centred non-degenerate Gaussian measure $ \gamma$ on open domains $O$ in Wiener spaces. Throughout these…

The aim of this paper is to present the new results concerning some functionals of Brownian motion with drift and present their applications in financial mathematics. We find a probabilistic representation of the Laplace transform of…

Let $\gamma_{d}$ be the $d$-dimensional standard Gaussian measure and $\{Q_{t}\}_{t\ge 0}$ the Ornstein-Uhlenbeck semigroup acting on $L^{1}(\gamma_{d})$. We show that the hypercontractivity of $\{Q_{t}\}_{t\ge 0}$ is equivalent to the…

We study the asymptotic behavior of three classes of nonlocal functionals in complete metric spaces equipped with a doubling measure and supporting a Poincar\'e inequality. We show that the limits of these nonlocal functionals are…

Using a stochastic representation provided by Wiener-regularized path integrals for the semigroups generated by certain Berezin-Toeplitz operators, a transformation formula for their resolvents is derived. The key property used in the…

We establish an integration by parts formula for the semi-group in time $T > 0$ of the kinetic Brownian motion in the Euclidean plane together with its speed in the circle. The stochastic differential equation of our kinetic Brownian motion…

Let $B=\{ B_{t}\} _{t\ge 0}$ be a one-dimensional standard Brownian motion, to which we associate the exponential additive functional $A_{t}=\int _{0}^{t}e^{2B_{s}}ds,\,t\ge 0$. Starting from a simple observation of generalized inverse…

Let $(W,H,\mu)$ be the classical Wiener space on $\R^d$. Assume that $X=(X_t(x))$ is a diffusion process satisfying the stochastic differential equation with diffusion and drift coefficients $\sigma: \R^n\to \R^n\otimes \R^d$, $b: \R^n\to…

Explicit sufficient conditions on the hypercontractivity are presented for two classes of functional stochastic partial differential equations driven by, respectively, non-degenerate and degenerate Gaussian noises. Consequently, these…

Let $W$ denote $d$-dimensional Brownian motion. We find an explicit formula for the essential supremum of Hausdorff dimension of $W(E)\cap F$, where $E\subset(0,\infty)$ and $F\subset \mathbf {R}^d$ are arbitrary nonrandom compact sets. Our…

In this paper by calculating carefully the capacities (defined by high order Sobolev norms on the Wiener space) for some functions of Brownian motion, we show that the dyadic approximations of the sample paths of the Brownian motion…

We extend to the vector-valued situation some earlier work of Ciesielski and Roynette on the Besov regularity of the paths of the classical Brownian motion. We also consider a Brownian motion as a Besov space valued random variable. It…

We prove an integral representation result for variational functionals in the space $BV^{\mathcal{B}}$ of functions with bounded $\mathcal{B}$-variation where $\mathcal{B}$ denotes a $k$-th order, $\mathbb{C}$-elliptic, linear homogeneous…

We study the stochastic motion of particles driven by long-range correlated fractional Gaussian noise in a superharmonic external potential of the form $U(x)\propto x^{2n}$ ($n\in\mathbb{N}$). When the noise is considered to be external,…

Suppose -A admits a bounded H-infinity calculus of angle less than pi/2 on a Banach space E with Pisier's property (alpha), let B be a bounded linear operator from a Hilbert space H into the extrapolation space E_{-1} of E with respect to…