Related papers: Functional Equations for the Stochastic Exponentia…
We give sufficient criteria for the Dol\'eans-Dade exponential of a stochastic integral with respect to a counting process local martingale to be a true martingale. The criteria are adapted particularly to the case of counting processes and…
For non-anticipative functionals, differentiable in Chitashvili's sense, the It\^o formula for cadlag semimartingales is proved. Relations between different notions of functional derivatives are established.
In this paper, we introduce differential exponential maps in Cartesian differential categories, which generalizes the exponential function $e^x$ from classical differential calculus. A differential exponential map is an endomorphism which…
In the paper we offer a functional-discrete method for solving the Cauchy problem for the first order ordinary differential equations (ODEs). This method (FD-method) is in some sense similar to the Adomian Decomposition Method. But it is…
We develop a kind of fractional calculus and theory of relaxation and diffusion equations associated with operators in the time variable, of the form $(Du)(t)=\frac{d}{dt}\int\limits_0^tk(t-\tau)u(\tau)\,d\tau -k(t)u(0)$ where $k$ is a…
In the paper, a linear differential equation with variable coefficients and a Caputo fractional derivative is considered. For this equation, a Cauchy problem is studied, when an initial condition is given at an intermediate point that does…
A numerical approach for the approximation of inertial manifolds of stochastic evolutionary equations with multiplicative noise is presented and illustrated. After splitting the stochastic evolutionary equations into a backward and a…
Typically, a stochastic model relates stochastic "inputs" and, perhaps, controls to stochastic "outputs". A general version of the Yamada-Watanabe and Engelbert theorems relating existence and uniqueness of weak and strong solutions of…
For the linear partial differential equation $P(\partial_x,\partial_t)u=f(x,t)$, where $x\in\mathbb{R}^n,\;t\in\mathbb{R}^1$, with $P(\partial_x,\partial_t)$ is $\prod^m_{i=1}(\frac{\partial}{\partial{t}}-a_iP(\partial_x))$ or…
We discuss the relationships between some classical representations of the fractional Brownian motion, as a stochastic integral with respect to a standard Brownian motion, or as a series of functions with independent Gaussian coefficients.…
The problem of root mean square approximation of a square integrable function by finite linear combinations of exponential functions is considered. It is subdivided into linear and nonlinear parts. The linear approximation problem is…
Aichinger's equation is used to give simple proofs of several well-known characterizations of polynomial functions as solutions of certain functional equations. Concretely, we use that Aichinger's equation characterizes polynomial functions…
We review various aspects of the characteristic initial value problem for the Einstein equations, presenting new approaches to some of the issues arising.
This article studies the Cauchy problem for the Boltzmann equation with stochastic kinetic transport. Under a cut-off assumption on the collision kernel and a coloring hypothesis for the noise coefficients, we prove the global existence of…
This paper is devoted to the study of generalised time-fractional evolution equations involving Caputo type derivatives. Using analytical methods and probabilistic arguments we obtain well-posedness results and stochastic representations…
In this paper, we consider a $L^\infty$ functional derivative estimate for the first spatial derivative of bounded classical solutions $u:\mathbb{R}\times [0,T]\to\mathbb{R}$ to the Cauchy problem for scalar semi-linear parabolic partial…
Via a covariance representation based on characteristic functions, a known elementary proof of the Gaussian concentration inequality is presented. A few other applications are briefly mentioned.
In the present paper we discuss the general facts, concerning the Schlesinger system: the (\tau)-function, the local factorization of solutions of Fuchsian equations and holomorphic deformations. We introduce the terminology "isoprincipal"…
Functional equations (FE) arise quite naturally in the analysis of stochastic systems of different kinds : queueing and telecommunication networks, random walks, enumeration of planar lattice walks, etc. Frequently, the object is to…
Based on the analysis of a certain class of linear operators on a Banach space, we provide a closed form expression for the solutions of certain linear partial differential equations with non-autonomous input, time delays and stochastic…