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Fractional Brownian motion is a Gaussian stochastic process with stationary, long-time correlated increments and is frequently used to model anomalous diffusion processes. We study numerically fractional Brownian motion confined to a finite…
This paper provides the time-dependent $L^2$-martingale representation of the forward stochastic integral where the driving noise is the Riemann-Liouville fractional Brownian motion with parameter $\frac{1}{2} < H < 1$ and the integrand is…
The first passage time process of a L\'evy subordinator with heavy-tailed L\'evy measure has long-range dependent paths. The random fluctuations that appear under two natural schemes of summation and time scaling of such stochastic…
We revise the Levy's construction of Brownian motion as a simple though still rigorous approach to operate with various Gaussian processes. A Brownian path is explicitly constructed as a linear combination of wavelet-based "geometrical…
We prove necessary optimality conditions, in the class of continuous functions, for variational problems defined with Jumarie's modified Riemann-Liouville derivative. The fractional basic problem of the calculus of variations with free…
We study the long time behavior of a Brownian particle moving in an anomalously diffusing field, the evolution of which depends on the particle position. We prove that the process describing the asymptotic behaviour of the Brownian particle…
We expand the classic variational formulation of $-\log\mathbb{E}\left[e^{-f}\right]$ to the case where f depends on a diffusion, and not only a on Brownian motion, while decreasing the integrability hypothesis on f. We also give an…
This paper studies the law of any power of the integral of geometric Brownian motion over any finite time interval. As its main results, two integral representations for this law are derived. This is by enhancing the Laplace transform…
This is a guide to the mathematical theory of Brownian motion and related stochastic processes, with indications of how this theory is related to other branches of mathematics, most notably the classical theory of partial differential…
In this paper we investigate a variational discretization for the class of mechanical systems in presence of symmetries described by the action of a Lie group which reduces the phase space to a (non-trivial) principal bundle. By introducing…
We develop a convergent variational perturbation theory for the frequency of time-periodic solutions of nonlinear dynamical systems. The power of the theory is illustrated by applying it to the Duffing oscillator.
We derive a large deviation principle for families of random variables in the basin of attraction of spectrally positive stable distributions by proving a uniform version of the Tauberian theorem for Laplace-Stieltjes transforms. The main…
In this note we introduce some nonlinear extremal nonlocal operators that approximate the, so called, truncated Laplacians. For these operators we construct representation formulas that lead to the construction of what, with an abuse of…
This paper addresses the question of how Brownian-like motion can arise from the solution of a deterministic differential delay equation. To study this we analytically study the bifurcation properties of an apparently simple differential…
Fractional Brownian motion can be represented as an integral of a deterministic kernel w.r.t. an ordinary Brownian motion either on infinite or compact interval. In previous literature fractional L\'evy processes are defined by integrating…
The probabilistic interpretation of Laplace transforms is used to help to describe the Laplace Transform $L(s)$ of improper random variables. In particular, busy periods in queueing models are examined. The value of $L(0)$ is explained in…
The Dynamical Gaussian Process Latent Variable Models provide an elegant non-parametric framework for learning the low dimensional representations of the high-dimensional time-series. Real world observational studies, however, are often…
In this paper, a study of random times on filtered probability spaces is undertaken. The main message is that, as long as distributional properties of optional processes up to the random time are involved, there is no loss of generality in…
We consider an SDE in R^m of the type dX(t)=a(X(t))dt+dU(t) with a L\'evy process U and study the problem for the distribution of a solution to be regular in various senses. We do not impose any specific conditions on the L\'evy measure of…
A large deviation function mathematically characterizes the statistical property of atypical events. Recently, in non-equilibrium statistical mechanics, large deviation functions have been used to describe universal laws such as the…