Related papers: Quasi-invariant theorem on the Gaussian path space
Let (S(t)) be a one-parameter family S = (S(t)) of positive integral operators on a locally compact space L. For a possibly non-uniform partition of [0,1] define a measure on the path space C([0,1],L) by using a) S(dt) for the transition…
Gaussian processes occupy one of the leading places in modern statistics and probability theory due to their importance and a wealth of strong results. The common use of Gaussian processes is in connection with problems related to…
We present a new technique, based on semivariogram methodology, for obtaining point estimates for use in prior modeling for solving Bayesian inverse problems. This method requires a connection between Gaussian processes with covariance…
We discuss the relationships between some classical representations of the fractional Brownian motion, as a stochastic integral with respect to a standard Brownian motion, or as a series of functions with independent Gaussian coefficients.…
A strong quasi-invariance principle and a finite-dimensional integration by parts formula as in the Bismut approach to Malliavin calculus are obtained through a suitable application of Lie's symmetry theory to autonomous stochastic…
Fractional Sobolev spaces, also known as Besov or Slobodetzki spaces, arise in many areas of analysis, stochastic analysis in particular. We prove an embedding into certain q-variation spaces and discuss a few applications. First we show…
This paper is concerned with Random walk approximations of the Brownian motion on the Affine group Aff(R). We are in particular interested in the case where the innovations are discrete. In this framework, the return probability of the walk…
We continue the study on the transport properties of the Gaussian measures on Sobolev spaces under the dynamics of the cubic fourth order nonlinear Schr\"odinger equation. By considering the renormalized equation, we extend the…
We introduce a variational theory for processes adapted to the multi-dimensional Brownian motion filtration. The theory provides a differential structure which describes the infinitesimal evolution of Wiener functionals at very small…
We prove transportation-cost inequalities for the law of SDE solutions driven by general Gaussian processes. Examples include the fractional Brownian motion, but also more general processes like bifractional Brownian motion. In case of…
This paper gives a brief introduction to some important fractional and multifractional Gaussian processes commonly used in modelling natural phenomena and man-made systems. The processes include fractional Brownian motion (both standard and…
We construct a class of iterated stochastic integrals with respect to Brownian motion on an abstract Wiener space which allows for the definition of Brownian motions on a general class of infinite-dimensional nilpotent Lie groups based on…
We prove limit theorems for the weighted quadratic variation of trifractional Brownian motion and $n$-th order fractional Brownian motion. Furthermore, a sufficient condition for the $L^P$-convergence of the weighted quadratic variation for…
Fractional Brownian motion belongs to a class of long memory Gaussian processes that can be represented as linear functionals of an infinite dimensional Markov process. This representation leads naturally to: - An efficient algorithm to…
We consider a stochastic process $Y$ defined by an integral in quadratic mean of a deterministic function $f$ with respect to a Gaussian process $X$, which need not have stationary increments. For a class of Gaussian processes $X$, it is…
In this paper, using a very general Cameron--Storvick theorem on the Wiener space $C_0[0,T]$, we establish various integration by parts formulas involving generalized analytic Feynman integrals, generalized analytic Fourier--Feynman…
The stochastic rotational invariance of an integration by parts formula inspired by the Bismut approach to Malliavin calculus is proved in the framework of the Lie symmetry theory of stochastic differential equations. The non-trivial effect…
One way to interpret smoothness of a measure in infinite dimensions is quasi-invariance of the measure under a class of transformations. Usually such settings lack a reference measure such as the Lebesgue or Haar measure, and therefore we…
We prove several versions of Driver's integration by parts formula for the horizontal Wiener measure on a totally geodesic Riemannian foliation and prove that the horizontal Wiener measure has a quasi-invariance property with respect to…
This paper is devoted to establish an invariance principle where the limit process is a multifractional Gaussian process with a multifractional function which takes its values in $(1/2,1)$. Some properties, such as regularity and local…