Related papers: Functional Equations for the Stochastic Exponentia…
We solve the multiplicative Cauchy functional equation on symmetric cones with respect to two different multiplication algorithms. We impose no regularity assumptions on respective functions.
The martingale expansion provides a refined approximation to the marginal distributions of martingales beyond the normal approximation implied by the martingale central limit theorem. We develop a martingale expansion framework specifically…
This paper examines various aspects related to the Cauchy functional equation $f(x+y)=f(x)+f(y)$, a fundamental equation in the theory of functional equations. In particular, it considers its solvability and its stability relative to…
For a real-valued one dimensional diffusive strict local martingale,, we provide a set of smooth functions in which the Cauchy problem has a unique classical solution under a local H\"older condition. Under the weaker Engelbert-Schmidt…
Explicit solutions of differential equations of complex fractional orders with respect to functions and with continuous variable coefficients are established. The representations of solutions are given in terms of some convergent infinite…
The evaluation of a matrix exponential function is a classic problem of computational linear algebra. Many different methods have been employed for its numerical evaluation [Moler C and van Loan C 1978 SIAM Review 20 4], none of which…
Stochastic Taylor expansions of the expectation of functionals applied to diffusion processes which are solutions of stochastic differential equation systems are introduced. Taylor formulas w.r.t. increments of the time are presented for…
Explicit formulas for the mean and variance of linear stochastic differential equations are derived in terms of an exponential matrix. This result improved a previous one by means of which the mean and variance are expressed in terms of a…
The aim of this note is to characterize all pairs of sufficiently smooth functions for which the mean value in the Cauchy Mean Value Theorem is taken at a point which has a well-determined position in the interval. As an application of this…
We present a systematic method for computing explicit approximations to martingale representations for a large class of Brownian functionals. The approximations are obtained by obtained by computing a directional derivative of the weak…
Several versions of It\^{o}'s formula have been obtained in the context of the functional stochastic calculus. Here, we revisit this topic in two ways. First, by defining a notion of derivative along a functional, we extend the setting of…
The compact explicit expressions for formal exact operator solutions to Cauchy problem for sufficiently general systems of nonlinear differential equations (ODEs and PDEs) in the form of chronological operator exponents are given. The…
The purpose of this note is to give the general solution of two functional equations connected to the Shannon entropy and also to the Tsallis entropy. As a result of this, we present the regular solution of these equations, as well.…
In this paper we consider fractional higher-order stochastic differential equations of the form \begin{align*} \left( \mu + c_\alpha \frac{d^\alpha}{d(-t)^\alpha} \right)^\beta X(t) = \mathcal{E}(t) , \quad t\geq 0,\; \mu>0,\; \beta>0,\;…
This paper is concerned with solution in H\"{o}lder spaces of the Cauchy problem for linear and semi-linear backward stochastic partial differential equations (BSPDEs) of super-parabolic type. The pair of unknown variables are viewed as…
A recent development in the theory of fractional differential equations with variable coefficients has been a method for obtaining an exact solution in the form of an infinite series involving nested fractional integral operators. This…
We formulate stochastic partial differential equations on Riemannian manifolds, moving surfaces, general evolving Riemannian manifolds (with appropriate assumptions) and Riemannian manifolds with random metrics, in the variational setting…
We study the three-dimensional incompressible Euler equations subject to stochastic forcing. We develop a concept of dissipative martingale solutions, where the nonlinear terms are described by generalised Young measures. We construct these…
We present general results on exponential decay of finite energy solutions to stationary nonlinear Schr\"odinger equations.
The expressions of solutions for general $n\times m$ matrix-valued inhomogeneous linear stochastic differential equations are derived. This generalizes a result of Jaschke (2003) for scalar inhomogeneous linear stochastic differential…