Related papers: Wick integrals
The paper deals with some properties of set-valued functions having a bounded Riesz p-variation. Set-valued integrals of a Young type for such multifunctions are introduced. Selection results and properties of such setvalued integrals are…
We consider equidistant approximations of stochastic integrals driven by H\"older continuous Gaussian processes of order $H>\frac12$ with discontinuous integrands involving bounded variation functions. We give exact rate of convergence in…
This paper deals with stochastic integrals of form $\int_0^T f(X_u)d Y_u$ in a case where the function $f$ has discontinuities, and hence the process $f(X)$ is usually of unbounded $p$-variation for every $p\geq 1$. Consequently,…
Using the Feynman path integral representation of quantum mechanics it is possible to derive a model of an electron in a random system containing dense and weakly-coupled scatterers, see [Proc. Phys. Soc. 83, 495-496 (1964)]. The main goal…
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 finite-dimensional integrals in a way that elucidates the mathematical meaning behind the formal manipulations of path integrals occurring in quantum field theory. This involves a proper understanding of how Wick's theorem allows…
The so-called Hadamard fractional Brownian motion, as defined in Beghin et al. (2025) by means of Hadamard fractional operators, is a Gaussian process which shares some properties with standard Brownian motion (such as the one-dimensional…
Let G={G(x), x\in R_+}, G(0)=0, be a mean zero Gaussian process with $E(G(x)-G(y))^2=\sigma ^2(x-y) $. Let $ \rho (x)= \frac12{d^{2}\over dx^2}\sigma^2(x)$, $x\ne 0 $. When $\rho^{k}$ is integrable at zero and satisfies some additional…
We prove a functional central limit theorem for integrals $\int_W f(X(t))\, dt$, where $(X(t))_{t\in\mathbb{R}^d}$ is a stationary mixing random field and the stochastic process is indexed by the function $f$, as the integration domain $W$…
The stochastic rotational invariance of an integration by parts formula inspired by the Bismut approach to Malliavin calculus is proved in the framework of the Lie symmetry theory of stochastic differential equations. The non-trivial effect…
A variational Perturbation theory based on the functional integral approach is formulated for many-particle systems. Using the variational action obtained through Jensen-Peierls' inequality, a perturbative expansion scheme for the…
Fractional Brownian motions(fBMs) are not semimartingales so the classical theory of It\^o integral can't apply to fBMs. Wick integration as one of the applications of Malliavin calculus to stochastic analysis is a fine definition for fBMs.…
We present a method to calculate integrals over monomials of matrix elements with invariant measures in terms of Wick contractions. The method gives exact results for monomials of low order. For higher--order monomials, it leads to an error…
We introduce a technique to merge two biased Brownian motions into a single regular process. The outcome follows a stochastic differential equation with a constant diffusion coefficient and a non-linear drift. The emerging stochastic…
We examine the numerical approximation of a quasilinear stochastic differential equation (SDE) with multiplicative fractional Brownian motion. The stochastic integral is interpreted in the Wick-It\^o-Skorohod (WIS) sense that is well…
This paper presents a new approach to the analysis of mixed processes \[X_t=B_t+G_t,\qquad t\in[0,T],\] where $B_t$ is a Brownian motion and $G_t$ is an independent centered Gaussian process. We obtain a new canonical innovation…
The Malliavin integration-by-parts formula is a key ingredient to develop stochastic analysis on the Wiener space. In this article we show that a suitable integration-by-parts formula also characterizes a wide class of Gaussian processes,…
Let ${\mathscr L}^H(x,t)=2H\int_0^t\delta(B^H_s-x)s^{2H-1}ds$ be the weighted local time of fractional Brownian motion $B^H$ with Hurst index $1/2<H<1$. In this paper, we use Young integration to study the integral of determinate functions…
A Wick rotation in the lapse (not in time) is introduced that interpolates between Riemannian and Lorentzian metrics on real manifolds admitting a codimension-one foliation. The definition refers to a fiducial foliation but covariance under…
The paper studies stochastic integration with respect to Gaussian processes and fields. It is more convenient to work with a field than a process: by definition, a field is a collection of stochastic integrals for a class of deterministic…