Related papers: Cylindrical Martingale-Valued Measures, Stochastic…
We prove an extension of the Stein-Weiss weighted estimates for fractional integrals, in the context of Lp spaces with different integrability properties in the radial and the angular direction. In this way, the classical estimates can be…
We introduce the notions of L(H)-valued norms and Banach spaces with respect to L(H)-valued norms. In particular, we introduce Hilbert spaces with respect to L(H)-valued inner products. In addition, we provide several fundamental examples…
Cubic invariants for two-dimensional degenerate Hamiltonian systems are considered by using variables of separation of the associated St\"ackel problems with quadratic integrals of motion. For the superintegrable St\"ackel systems the cubic…
We introduce and discuss L\'evy-type cylindrical martingale problems on separable reflexive Banach spaces. Our main observations are the following: Cylindrical martingale problems have a one-to-one relation to weak solutions of stochastic…
This article establishes an asymptotic theory for volatility estimation in an infinite-dimensional setting. We consider mild solutions of semilinear stochastic partial differential equations and derive a stable central limit theorem for the…
This work employs variational techniques to revisit and expand the construction and analysis of extreme value processes. These techniques permit a novel study of spatial statistics of the location of minimizing events. We develop integral…
We consider convolution-type stochastic Volterra equations with additive Hilbert-valued fractional Brownian motion, $0<H<1$. We find the weak solution to this stochastic Volterra equation, and study its stochastic integral part, the…
Consider a BV function on a Riemannian manifold. What is its differential? And what about the Hessian of a convex function? These questions have clear answers in terms of (co)vector/matrix valued measures if the manifold is the Euclidean…
By using the theory of analytic vectors and manifolds modelled on normed spaces, we provide a rigorous symplectic differential geometric approach to $t$-dependent Schr\"odinger equations on separable (possibly infinite-dimensional) Hilbert…
We provide a set of probabilistic laws for estimating the quadratic variation of continuous semimartingales with realized range-based variance -- a statistic that replaces every squared return of realized variance with a normalized squared…
This work is focused on constructing space-time covariance functions through a hierarchical mixture approach that can serve as building blocks for capturing complex dependency structures. This hierarchical mixture approach provides a…
In this paper we introduce a variant of Burkholder's martingale transform associated with two martingales with respect to different filtrations. Even though the classical martingale techniques cannot be applied, we show that the discussed…
Variational integrators are derived for structure-preserving simulation of stochastic Hamiltonian systems with a certain type of multiplicative noise arising in geometric mechanics. The derivation is based on a stochastic discrete…
By using the integration by parts formula of a Markov operator, the closability of quadratic forms associated to the corresponding invariant probability measure is proved. The general result is applied to the study of semilinear SPDEs,…
In this paper, we are concerned with stochastic Volterra equations with singular kernels and H\"older continuous coefficients. We first establish the well-posedness of these equations by utilising the Yamada-Watanabe approach. Then, we aim…
We define multiple stochastic integrals with respect to c\`{a}dl\`{a}g martingales and prove moment bounds and chaos expansions, which allow to work with them in a way similar to Wiener stochastic integrals. In combination with the…
Let $(S,d)$ be a compact metric space and let $m$ be a Borel probability measure on $(S,d)$. We shall prove that, if $(S,d,m)$ is a $RCD(K,\infty)$ space, then the stochastic value function satisfies the viscous Hamilton-Jacobi equation,…
Probabilistic models based on continuous latent spaces, such as variational autoencoders, can be understood as uncountable mixture models where components depend continuously on the latent code. They have proven to be expressive tools for…
Using methods from symplectic topology, we prove existence of invariant variational measures associated to the flow $\phi_H$ of a Hamiltonian $H\in C^{\infty}(M)$ on a symplectic manifold $(M,\omega)$. These measures coincide with Mather…
In this paper, we establish $\mathcal B$-valued variational inequalities for differential operators, ergodic averages and symmetric diffusion semigroups under the condition that Banach space $\mathcal B$ has martingale cotype property.…