Related papers: A Meyer-It\^o Formula for Stable Processes via Fra…

K. It\^{o} characterised in \cite{ito} zero-mean stationary Gauss Markov-processes evolving on a class of infinite-dimensional spaces. In this work we extend the work of It\^{o} in the case of Hilbert spaces: Gauss-Markov families that are…

A subordinate Brownian motion is a L\'evy process which can be obtained by replacing the time of the Brownian motion by an independent subordinator. The infinitesimal generator of a subordinate Brownian motion is $-\phi(-\Delta)$, where…

This paper investigates an inverse source problem for space-time fractional diffusion equations from a posteriori interior measurements. The uniqueness result is established by the memory effect of fractional derivatives and the unique…

In this paper we discuss existence and uniqueness for a one-dimensional time inhomogeneous stochastic differential equation directed by an $\mathbb{F}$-semimartingale $M$ and a finite cubic variation process $\xi$ which has the structure…

Let $X(t,\omega),$ $t \in \textit{R}$ be a symmetric stable process with index $\alpha \in (1,2]$ and $a_n$ be the Fourier-Jacobi coefficients of $f \in L^p,$ where $p \geq \alpha.$ For $\gamma, \delta> 0,$ $t \in [-1,1],$ define…

This paper investigates an inverse source problem for a multi-term time-fractional diffusion equation with Caputo derivatives. The source term is separable as \(f(x)g(t)\), with the unknown spatial component \(f(x)\) reconstructed from an…

In this work, the conformable Bateman Lagrangian for the damped harmonic oscillator system is proposed using the conformable derivative concept. In other words, the integer derivatives are replaced by conformable derivatives of order…

This paper presents a global, coordinate-free formulation of the Fokker-Planck equation on Riemannian manifolds. In the Stratonovich formulation, the infinitesimal generator is expressed intrinsically through Lie derivatives, and its…

We study stability of the eigenvalues of the generator of a one dimensional reversible diffusion process satisfying some natural conditions. The proof is based on Stein's method. In particular, these results are applied to the Normal…

In this work, an inverse problem in the fractional diffusion equation with random source is considered. Statistical moments are used of the realizations of single point observation $u(x_0,t,\omega).$ We build the representation of the…

Consider a sequence X_k=\sum_{j=0}^{\infty}c_j\xi_{k-j}, k\geq 1, where c_j, j\geq 0, is a sequence of constants and \xi_j, -\infty <j<\infty, is a sequence of independent identically distributed (i.i.d.) random variables (r.v.s) belonging…

We develop a direct Lyapunov method for the almost sure open-loop stabilizability and asymptotic stabilizability of controlled degenerate diffusion processes. The infinitesimal decrease condition for a Lyapunov function is a new form of…

The present paper continues the study of infinite dimensional calculus via regularization, started by C. Di Girolami and the second named author, introducing the notion of "weak Dirichlet process" in this context. Such a process $\X$,…

Under proper scaling and distributional assumptions, we prove the convergence in the Skorokhod space endowed with the M_1-topology of a sequence of stochastic integrals of a deterministic function driven by a time-changed symmetric…

We start by defining a subordinator by means of the lower-incomplete gamma function. It can be considered as an approximation of the stable subordinator, easier to be handled thank to its finite activity. A tempered version is also…

We study dynamical reversibility in stationary stochastic processes from an information theoretic perspective. Extending earlier work on the reversibility of Markov chains, we focus on finitary processes with arbitrarily long conditional…

Let $\mathfrak{g}'\subset \mathfrak{g}$ be the pair of Lie algebras of either symplectic or orthogonal infinitesimal endomorphisms of the complex vector spaces $\mathbb{C}^{N-2}\subset \mathbb{C}^N$ and $U_q(\mathfrak{g}')\subset…

The long-term distributions of trajectories of a flow are described by invariant densities, i.e. fixed points of an associated transfer operator. In addition, global slowly mixing structures, such as almost-invariant sets, which partition…

We derive an Ito stochastic differential equation for entropy production in nonequilibrium Langevin processes. Introducing a random-time transformation, entropy production obeys a one-dimensional drift-diffusion equation, independent of the…

The evolution of a continuous time Markov process with a finite number of states is usually calculated by the Master equation - a linear differential equations with a singular generator matrix. We derive a general method for reducing the…