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We introduce multi-kangaroo Markov processes and provide a general procedure for evaluating a certain type of stochastic functionals. We calculate analytically the large deviation properties. Applications include zero-crossing statistics…
Malliavin Calculus is about Sobolev-type regularity of functionals on Wiener space, the main example being the Ito map obtained by solving stochastic differential equations. Rough path analysis is about strong regularity of solution to…
We introduce a stochastic fractional calculus. As an application, we present a stochastic fractional calculus of variations, which generalizes the fractional calculus of variations to stochastic processes. A stochastic fractional…
This paper is concerned with a compositional approach for constructing finite Markov decision processes of interconnected discrete-time stochastic control systems. The proposed approach leverages the interconnection topology and a notion of…
As an alternative to the well-known methods of "chaining" and "bracketing" that have been developed in the study of random fields, a new method, which is based on a stochastic maximal inequality derived by using It\^o's formula and on a new…
The calculation of the decay rate of a metastable state in the path-integral formulation of stochastic processes is revisited. Previous derivations of this rate were achieved at the cost of a step that is difficult to justify…
In this paper we propose a new approach to realizability interpretations for nonstandard arithmetic. We deal with nonstandard analysis in the context of (semi)intuitionistic realizability, focusing on the Lightstone-Robinson construction of…
This paper introduces several new classes of mathematical structures that have close connections with physics and with the theory of dynamical systems. The most general of these structures, called indivisible stochastic processes,…
This paper provides a semiparametric model of estimating states of the volatility defined as the squared diffusion coefficient of a stochastic differential equation. Without assuming any functional form of the volatility function, we…
In this article, the existence and uniqueness about the solution for a class of stochastic fractional-order differential equation systems are investigated, where the fractional derivative is described in Caputo sense. The 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…
The paper concerns itself with establishing large deviation principles for a sequence of stochastic integrals and stochastic differential equations driven by general semimartingales in infinite-dimensional settings. The class of…
The dynamics of interacting quantum systems in the presence of disorder is studied and an exact representation for disorder-averaged quantities via Ito stochastic calculus is obtained. The stochastic integral representation affords many…
A mathematical framework is developed for the analysis of causal fermion systems in the infinite-dimensional setting. It is shown that the regular spacetime point operators form a Banach manifold endowed with a canonical Fr\'echet-smooth…
By decoupling forward and backward stochastic trajectories, we construct a family of martingales and work theorems for both overdamped and underdamped Langevin dynamics. Our results are made possible by an alternative derivation of work…
Statistical thermodynamics delivers the probability distribution of the equilibrium state of matter through the constrained maximization of a special functional, entropy. Its elegance and enormous success have led to numerous attempts to…
We develop a pure Monte Carlo method to compute $E(g(X_T))$ where $g$ is a bounded and Lipschitz function and $X_t$ an Ito process. This approach extends a previously proposed method to the general multidimensional case with a SDE with…
We prove an existence and uniqueness theorem for solutions of multidimensional, time dependent, stochastic differential equations driven simultaneously by a multidimensional fractional Brownian motion with Hurst parameter H>1/2 and a…
We develop a notion of nonlinear expectation --G-expectation-- generated by a nonlinear heat equation with infinitesimal generator G. We first study multi-dimensional G-normal distributions. With this nonlinear distribution we can introduce…
We develop a stochastic model for Lagrangian velocity as it is observed in experimental and numerical fully developed turbulent flows. We define it as the unique statistically stationary solution of a causal dynamics, given by a stochastic…