Related papers: A martingale approach to noncommutative stochastic…

An integration by parts formula is the foundation for stochastic analysis on path spaces over a (finite dimensional) Riemannian manifold or over $R^n$, from which we may deduce the operator $d$ is closable and define the Laplacian operator…

This paper considers the problem of constructing finite-dimensional state space realizations for stochastic processes that can be represented as the outputs of a certain type of a causal system driven by a continuous semimartingale input…

Let $\tilde{N}\_{t}$ be a standard compensated Poisson process on $[0,1]$. We prove a new characterization of anticipating integrals of the Skorohod type with respect to $\tilde{N}$, and use it to obtain several counterparts to well…

In this paper we construct a Markov process which has as invariant measure the fractional Edwards measure based on a $d$-dimensional fractional Brownian motion, with Hurst index $H$ in the case of $Hd=1$. We use the theory of classical…

We show an It\^ o's formula for nondegenerate Brownian martingales $X_t=\int_0^t u_s dW_s$ and functions $F(x,t)$ with locally integrable derivatives in $t$ and $x$. We prove that one can express the additional term in It\^o's s formula as…

We briefly review the problem of Brownian motion and describe some intriguing facets. The problem is first treated in its original form as enunciated by Einstein, Langevin, and others. Then, utilizing the problem of Brownian motion as a…

We provide a nonparametric method for the computation of instantaneous multivariate volatility for continuous semi-martingales, which is based on Fourier analysis. The co-volatility is reconstructed as a stochastic function of time by…

We introduce a new class of estimators for the linear response of steady states of stochastic dynamics. We generalize the likelihood ratio approach and formulate the linear response as a product of two martingales, hence the name…

Unlike many deterministic PDEs, stochastic equations are not amenable to the classical variational theory of Euler-Lagrange. In this paper, we show how self-dual variational calculus leads to solutions of various stochastic partial…

Given a fractional Brownian motion \,\,$(B_{t}^{H})_{t\geq 0}$,\, with Hurst parameter \,$> 1/2$\,\,we study the properties of all solutions of \,\,: {equation} X_{t}=B_{t}^{H}+\int_0^t X_{u}d\mu(u), \;\; 0\leq t\leq 1{equation} A different…

We construct quantum stochastic integrals for the integrator being a martingale in a von Neumann algebra, and the integrand -- a suitable process with values in the same algebra, as densely defined operators affiliated with the algebra. In…

In this note we prove an existence and uniqueness result for the solution of multidimensional stochastic delay differential equations with normal reflection. The equations are driven by a fractional Brownian motion with Hurst parameter…

We introduce a framework for studying pathwise time regularity and numerical approximation of $L^0$-valued stochastic evolution equations. At the core of our framework are two Burkholder--Davis--Gundy type inequalities accommodating It\^o…

The paper studies a non-linear transformation between Brownian martingales, which is given by the inverse of the pricing operator in the mathematical finance terminology. Subsequently, the solvability of systems of equations corresponding…

We prove noncommutative martingale inequalities associated with convex functions. More precisely, we obtain $\Phi$-moment analogues of the noncommutative Burkholder inequalities and the noncommutative Rosenthal inequalities for any convex…

We propose a stochastic interpretation of spacetime non-commutativity starting from the path integral formulation of quantum mechanical commutation relations. We discuss how the (non-)commutativity of spacetime is inherently related to the…

We present a way of introducing joint distibution function and its marginal distribution functions for non-compatible observables. Each such marginal distribution function has the property of commutativity. Models based on this approach can…

A new extension of the sub-fractional Brownian motion, and thus of the Brownian motion, is introduced. It is a linear combination of a finite number of sub-fractional Brownian motions, that we have chosen to call the mixed sub-fractional…

For a series of Markov processes we prove stochastic duality relations with duality functions given by orthogonal polynomials. This means that expectations with respect to the original process (which evolves the variable of the orthogonal…

We develop a general framework for extracting highly uniform bounds on local stability for stochastic processes in terms of information on fluctuations or crossings. This includes a large class of martingales: As a corollary of our main…