Related papers: Weak convergence of stochastic integrals

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…

We find an explicit expression for the cross-covariance between stochastic integral processes with respect to a $d$-dimensional fractional Brownian motion (fBm) $B_t$ with Hurst parameter $H>1/2$, where the integrands are vector fields…

We first state a special type of It\^o formula involving stochastic integrals of both standard and fractional Brownian motions. Then we use Doss-Sussman transformation to establish the link between backward doubly stochastic differential…

We consider $n$ independent, identically distributed one-dimensional Brownian motions, $B_j(t)$, where $B_j(0)$ has a rapidly decreasing, smooth density function $f$. The empirical quantiles, or pointwise order statistics, are denoted by…

We construct and study the weak solution to stochastic differential equation $dX(t)=-b(X(t))dt+\sqrt{2}dW(t)$, $X_0=x$, for every $x \in \mathbb R^d$, $d \geq 3$, with $b$ in the class of weakly form-bounded vector fields, containing, as…

For a class of stochastic models with Gaussian and rough mean-reverting volatility that embeds the genuine rough Stein-Stein model, we study the weak approximation rate when using a Euler type scheme with integrated kernels. Our first…

We prove a sufficient set of conditions for a sequence of finite measures on the space of cadlag measure-valued paths to converge to the canonical measure of super-Brownian motion in the sense of convergence of finite-dimensional…

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…

For a strictly stationary sequence of nonnegative regularly varying random variables $(X_{n})$ we study functional weak convergence of partial maxima processes $M_{n}(t) = \bigvee_{i=1}^{\lfloor nt \rfloor}X_{i},\,t \in [0,1]$ in the space…

We prove that in any metric space $(X,d)$ the singular integral operators {equation*} T^k_{\mu,\ve}(f)(x)=\int_{X\setminus B(x,\varepsilon)}k(x,y)f(y)d\mu (y).{equation*} converge weakly in some dense subspaces of $L^2(\mu)$ under minimal…

For H\"older continuous functions $W(t,x)$ and $\phi_t$, we define nonlinear integral $\int_a^b W(dt, \phi_t)$ in various senses, including It\^o-Skorohod and pathwise. We study their properties and relations. The stochastic flow in a time…

In this paper the solutions $u_{\nu}=u_{\nu}(x,t)$ to fractional diffusion equations of order $0<\nu \leq 2$ are analyzed and interpreted as densities of the composition of various types of stochastic processes. For the fractional equations…

We prove the convergence of $ \nN $-particle systems of Brownian particles with logarithmic interaction potentials onto a system described by the infinite-dimensional stochastic differential equation (ISDE). % For this proof we present two…

The theory of one-dimensional stochastic differential equations driven by Brownian motion is classical and has been largely understood for several decades. For stochastic differential equations with jumps the picture is still incomplete,…

This paper studies the weak and strong solutions to the stochastic differential equation $ dX(t)=-\frac12 \dot W(X(t))dt+d\mathcal{B}(t)$, where $(\mathcal{B}(t), t\ge 0)$ is a standard Brownian motion and $W(x)$ is a two sided Brownian…

We consider the time discretization of fractional stochastic wave equation with Gaussian noise, which is negatively correlated. Major obstacles to design and analyze time discretization of stochastic wave equation come from the…

We study a one-dimensional Brownian motion conditioned on a self-repelling behaviour. Given a nondecreasing positive function f(t), consider the measures mu_t obtained by conditioning a Brownian path so that L_s< f(s), for all s<t, where…

We investigate numerical approximations for the stochastic Burgers equation driven by an additive cylindrical fractional Brownian motion with Hurst parameter $H \in (\frac{1}{2}, 1)$. To discretize the continuous problem in space, a…

We consider the paths of a Gaussian random process $x(t)$, $x(0)=0$ not exceeding a fixed positive level over a large time interval $(0,T)$, $T\gg 1$. The probability $p(T)$ of such event is frequently a regularly varying function at…

We study well-posedness of sweeping processes with stochastic perturbations generated by a fractional Brownian motion and convergence of associated numerical schemes. To this end, we first prove new existence, uniqueness and approximation…