Related papers: Weierstrass Bridges

In this paper, we study the stochastic Hamiltonian flow in Wasserstein manifold, the probability density space equipped with $L^2$-Wasserstein metric tensor, via the Wong--Zakai approximation. We begin our investigation by showing that the…

We analyze common lifts of stochastic processes to rough paths/rough drivers-valued processes and give sufficient conditions for the cocycle property to hold for these lifts. We show that random rough differential equations driven by such…

For any real-valued stochastic process $X$ with c\'rdl\'rg paths we define non-empty family of processes which have locally finite total variation, have jumps of the same order as the process $X$ and uniformly approximate its paths on…

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 index properties, but they are not differentiable. We overcome the…

Let $B=\{(B_{t}^{1},..., B_{t}^{d}), t\geq 0\}$ be a $d$-dimensional fractional Brownian motion with Hurst parameter $H$ and let $R_{t}=% \sqrt{(B_{t}^{1})^{2}+... +(B_{t}^{d})^{2}}$ be the fractional Bessel process. It\^{o}'s formula for…

We propose a generalization of the classical M/M/1 queue process. The resulting model is derived by applying fractional derivative operators to a system of difference-differential equations. This generalization includes both non-Markovian…

In this article, we present a general methodology for stochastic control problems driven by the Brownian motion filtration including non-Markovian and non-semimartingale state processes controlled by mutually singular measures. The main…

We study a system of partial differential equations with integer and fractional derivatives arising in the study of forced oscillatory motion of a viscoelastic rod. We propose a new approach considering a quotient of relations appearing in…

This paper contributes to the study of relative martingales. Specifically, for a closed random set $H$, they are processes null on $H$ which decompose as $M=m+v$, where $m$ is a c\`adl\`ag uniformly integrable martingale and, $v$ is a…

In Gaussian graphical models, conditional independence and partial correlations are natural inferential targets for understanding direct relationships in multivariate data. No comparable framework exists for spatial processes, where…

A quantum state can be written in phase space, but the resulting object is not generally the probability density of a positive stochastic process on ordinary phase space. We spell this out for Wigner dynamics. If a positive phase-space…

The influence functional method of Feynman and Vernon is used to obtain a quantum master equation for a Brownian system subjected to a Levy stable random force. The corresponding classical transport equations for the Wigner function are…

We show that every separable Gaussian process with integrable variance function admits a Fredholm representation with respect to a Brownian motion. We extend the Fredholm representation to a transfer principle and develop stochastic…

This article presents various weak laws of large numbers for the so-called realised covariation of a bivariate stationary stochastic process which is not a semimartingale. More precisely, we consider two cases: Bivariate moving average…

The article presents new entropic continuity bounds for conditional expectations and conditional covariance matrices. These bounds are expressed in terms of the relative entropy between different coupling distributions. Our approach…

Since the classical work of L\'evy, it is known that the local time of Brownian motion can be characterized through the limit of level crossings. While subsequent extensions of this characterization have primarily focused on Markovian or…

We implement gradient-based variational inference routines for Wishart and inverse Wishart processes, which we apply as Bayesian models for the dynamic, heteroskedastic covariance matrix of a multivariate time series. The Wishart and…

We consider Weierstra\ss\ and Takagi-van der Waerden functions with critical degree of roughness. In this case, the functions have vanishing $p^{\text{th}}$ variation for all $p>1$ but are also nowhere differentiable and hence not of…

We prove the transfer principle for fractional Ornstein-Uhlenbeck processes, i.e., we construct a Brownian motion that has the same filtration as the fractional Ornstein-Uhlenbeck process and then represent the fractional Ornstein-Uhlenbeck…

The paper obtains the general form of the cross-covariance function of vector fractional Brownian motion with correlated components having different self-similarity indices.