Related papers: Set-valued stochastic integrals for convoluted L\'…
In this article we study a class of stochastic functional differential equations driven by L\'{e}vy processes (in particular, $\alpha$-stable processes), and obtain the existence and uniqueness of Markov solutions in small time intervals.…
Memory-driven stochastic dynamics arise naturally in many applications, and stochastic Volterra equations (SVEs) offer a flexible framework for modeling such systems. Their convolution structure with Volterra kernels endows the dynamics…
We study monotone and convex stochastic orders for processes with independent increments. Our contributions are twofold: First, we relate stochastic orders of the Poisson component to orders of their (generalized) L\'evy measures. The…
Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than a decade. One of the most well-known and widely studied problems is that of estimation of the quadratic…
The aim of this note is to provide some results for stochastic convolutions corresponding to stochastic Volterra equations in separable Hilbert space. We study convolution of the form $W^{\Psi}(t):=\int_0^t S(t-\tau)\Psi(\tau)dW(\tau)$,…
In this work we introduce a theory of stochastic integration with respect to general cylindrical semimartingales defined on a locally convex space $\Phi$. Our construction of the stochastic integral is based on the theory of tensor products…
In the present paper, several properties concerning generalized derivatives of multifunctions implicitly defined by set-valued inclusions are studied by techniques of variational analysis. Set-valued inclusions are problems formalizing the…
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 study sums of independent and identically distributed random velocities in special relativity. We show that the resulting one-dimensional velocity distributions are not only stable under relativistic velocity addition but define a…
The objects under investigation are the stochastic integrals with respect to free Levy processes. We define such integrals for square-integrable integrands, as well as for a certain general class of bounded integrands. Using the product…
We use the martingale convergence method to get the weak convergence theorem on general functionals of partial sums of independent heavy-tailed random variables. The limiting process is the stochastic integral driven by $\alpha-$stable…
In this paper, we derive comparison results for terminal values of $d$-dimensional special semimartingales and also for finite-dimensional distributions of multivariate L\'{e}vy processes. The comparison is with respect to nondecreasing,…
In this paper, we establish existence, uniqueness, and regularity properties of the solutions to multi-dimensional backward stochastic Volterra integral equations (BSVIEs), whose (possibly random) generator reflects nonlinear dependence on…
We derive an integration by parts formula for functionals of determinantal processes on compact sets, completing the arguments of [4]. This is used to show the existence of a configuration-valued diffusion process which is non-colliding and…
We consider stochastic volatility dynamics driven by a general H\"older continuous Volterra-type noise and with unbounded drift. For these so-called SVV-models, we consider the explicit computation of quadratic hedging strategies. While the…
We investigate the space-time regularity of the local time associated to Volterra-L\'evy processes, including Volterra processes driven by $\alpha$-stable processes for $\alpha\in(0,2]$. We show that the spatial regularity of the local time…
Inferring microbial community structure based on temporal metagenomics data is an important goal in microbiome studies. The deterministic generalized Lotka-Volterra differential (GLV) equations have been used to model the dynamics of…
The article is devoted to stochastic processes with values in finite- and infinite-dimensional vector spaces over infinite fields $\bf K$ of zero characteristics with non-trivial non-archimedean norms. For different types of stochastic…
In this work stochastic integration with respect to cylindrical Levy processes with weak second moments is introduced. It is well known that a deterministic Hilbert-Schmidt operator radonifies a cylindrical random variable, i.e. it maps a…
We consider here convolution operators, in the Caputo sense, with non-singular kernels. We prove that the solutions to some integro-differential equations with such operators (acting on the space variable) coincide with the transition…