Related papers: Riemann-Skorohod and Stratonovich integrals for Ga…

Let $\mu$ be a general stochastic measure, where we assume for $\mu$ only $\sigma$-additivity in probability and continuity of paths. We prove that the symmetric integral $\int_{[0,T]}f(\mu_t, t)\circ\,{\rm d}\mu_t$ is well defined. For…

The article is devoted to the expansions of iterated Stratonovich stochastic integrals on the basis of the method of generalized multiple Fourier series that converge in the sense of norm in Hilbert space $L_2([t, T]^k),$ $k\in\mathbb{N}.$…

In previous works, Bardina and Rovira (2023) constructed a family of processes that converge strongly towards Brownian motion, defined from renewal processes, are constructed. In this paper we prove that some of these processes can be…

We prove a functional law of iterated logarithm for the following kind of anticipating stochastic differential equations $$\xi^u_t=X_0^u+\frac{1}{\sqrt{\log\log u}}\sum_{j=1}^k \int_0^{t} A_j^u(\xi^u_s)\circ dW_{s}^j+ \int_0^{t}…

We show that the Collins-Soper-Sterman resummation approach to the derivation of the Dokshitzer-Gribov-Lipatov-Altarelli-Parisi equation is gauge invariant. The special gauge-dependent parton distribution function employed in the…

In this paper, we study rough path properties of stochastic integrals of It\^{o}'s type and Stratonovich's type with respect to $G$-Brownian motion. The roughness of $G$-Brownian Motion is estimated and then the pathwise Norris lemma in…

We introduce a new interpretation of sparse variational approximations for Gaussian processes using inducing points, which can lead to more scalable algorithms than previous methods. It is based on decomposing a Gaussian process as a sum of…

The normalised partial sums of values of a nonnegative multiplicative function over divisors with appropriately restricted sizes of a random permutation from the symmetric group define trajectories of a stochastic process. We prove a…

A vector-valued version of the Girsanov theorem is presented, for a scalar process with respect to a Banach-valued measure. Previously, a short discussion about the Birkhoff-type integration is outlined, as for example integration by…

Exponential tightness of a family of Skorohod integrals is studied in this paper. We first provide a counterexample to illustrate that in general the exponential tightness with speed $\epsilon$ similar to It\^o integral does not hold, even…

We study the asymptotic behavior of the $\nu$-symmetric Riemman sums for functionals of a self-similar centered Gaussian process $X$ with increment exponent $0<\alpha<1$. We prove that, under mild assumptions on the covariance of $X$, the…

In this small note we explicit the relation between Ito and Stratonovich integrals when conditional measure flow components are present in the integrands. The `correction' term involves Lions-type measure derivatives and clarifies which…

The aim of this paper is to establish some new inequalities similar to the Ostrowski's inequalities which are more generalized than the inequalities of Dragomir and Cerone. The current article obtains bounds for the deviation of a function…

Derived from the results in [Giang et al.: \emph{Convolutions for the Fourier transforms with geometric variables and applications}, Math. Nachr. 283(12) (2010), 1758--1770], in this paper, we devoted to studying the boundedness properties…

Under the framework of G-expectation and G-Brownian motion, we introduce It\^o's integral for stochastic processes without assuming quasi-continuity. Then we can obtain It\^o's integral on stopping time interval. This new formulation…

We present a new construction of a Skorohod embedding, namely, given a probability measure mu with zero expectation and finite variance, we construct an integrable stopping time T adapted to a filtration F_t, such that W_t has the law mu,…

Recently, two different approaches were put forward to extend the supersymmetry method in random matrix theory from Gaussian ensembles to general rotation invariant ensembles. These approaches are the generalized Hubbard-Stratonovich…

We show that every separable Gaussian process with integrable variance function admits a Fredholm representation with respect to a Brownian motion. We extend the Fredholm representation to a transfer principle and develop stochastic…

The problem of the Taylor-Ito and Taylor-Stratonovich expansions of the Ito stochastic processes in a neighborhood of a fixed moment of time is considered. The classical forms of the Taylor-Ito and Taylor-Stratonovich expansions are…

We consider a class of functions for which the multiple Stratonovich stochastic integral or equivalent iterated Stratonovich stochastic integral with square integrable weights is defined by the orthogonal expansion. The equality of the…