Related papers: A Counterexample in Ito Integration Theory

Fatou's lemma states under appropriate conditions that the integral of the lower limit of a sequence of functions is not greater than the lower limit of the integrals. This note describes similar inequalities when, instead of a single…

The representation theorem is obtained for functionals of non-Markov processes and their first exit times from bounded domains. These functionals are represented via solutions of backward parabolic Ito equations. As an example of…

We study inequalities between general integral moduli of continuity of a function and the tail integral of its Fourier transform. We obtain, in particular, a refinement of a result due to D. B. H. Cline [2] (Theorem 1.1 below). We note that…

An analogue of D. Waterman's result on the summability of the Fourier series for functions of bounded \Lambda-variation by the Ces\'aro methods of negative order is obtained in multidimensional case. It is proved that, unlike…

In this expository paper we describe the pathwise behaviour of the integral functional $\int_0^t f(Y_u)\,\dd u$ for any $t\in[0,\zeta]$, where $\zeta$ is (a possibly infinite) exit time of a one-dimensional diffusion process $Y$ from its…

In the theory of time scales, given $\mathbb{T}$ a time scale with at least two distinct elements, an integration theory is developed using ideas already well known as Riemann sums. Another, more daring, approach is to treat an integration…

In this paper, we consider Caputo type fractional stochastic time-delay system with permutable matrices. We derive stochastic analogue of variation of constants formula via a newly defined delayed Mittag-Leffer type matrix function. Thus,…

Extending It\^o's formula to non-smooth functions is important both in theory and applications. One of the fairly general extensions of the formula, known as Meyer-It\^o, applies to one dimensional semimartingales and convex functions.…

Let $W_0(\mathbb R)$ be the Wiener Banach algebra of functions representable by the Fourier integrals of Lebesgue integrable functions. It is proven in the paper that, in particular, a trigonometric series $\sum\limits_{k=-\infty}^\infty…

In a private communication, K. Ono conjectured that any mock theta function of weight 1/2 or 3/2 can be congruent modulo a prime $p$ to a weakly holomorphic modular form for just a few values of $p$. In this paper we describe when such a…

In this paper we establish the associativity property of the pathwise It\^o integral in a functional setting for continuous integrators. Here, associativity refers to the computation of the It\^o differential of an It\^o integral, by means…

The Implicit and Inverse Function Theorems are special cases of a general Implicit/Inverse Function Theorem which can be easily derived from either theorem. The theorems can thus be easily deduced from each other via the generalized…

Let $U(\mathbb T)$ be the space of all continuous functions on the circle $\mathbb T$ whose Fourier series converges uniformly. Salem's well-known example shows that a product of two functions in $U(\mathbb T)$ does not always belongs to…

Processes which arise as solutions to stochastic differential equations involving the local time (SDELTs), such as skew Brownian motion, are frequent sources of inspiration in theory and applications. Existence and uniqueness results for…

A simple axiomatic characterization of the general (infinite dimensional, noncommutative) Ito algebra is given and a pseudo-Euclidean fundamental representation for such algebra is described. The notion of Ito B*-algebra, generalizing the…

This paper is devoted to a construction of the stochastic It\^o integral with respect to infinite dimensional cylindrical Wiener process. The construction given is an alternative one to that introduced by DaPrato and Zabczyk [3]. The…

An empirical algorithm is used here to study the stochastic and multifractal nature of nonlinear time series. A parameter can be defined to quantitatively measure the deviation of the time series from a Wiener process so that the…

Let $Y$ denote a $D$-class symmetric association scheme with $D \geq 3$, and suppose $Y$ is almost-bipartite P- and Q-polynomial. Let $x$ denote a vertex of $Y$ and let $T=T(x)$ denote the corresponding Terwilliger algebra. We prove that…

Here is a sample of the results proved in this paper: Let $f:{\bf R}\to {\bf R}$ be a continuous function, let $\rho>0$ and let $\omega:[0,\rho[\to [0,+\infty[$ be a continuous increasing function such that $\lim_{\xi\to…

A generalized It${\hat {\rm o}}$ formula for time dependent functions of two-dimensional continuous semi-martingales is proved. The formula uses the local time of each coordinate process of the semi-martingale, left space and time first…