Related papers: Functional integration by parts formulae for stoch…
Stieltjes integral theorem is more commonly known by the phrase 'integration by parts' and enables rearrangement of an otherwise intractable integral to a more amenable form; often permitting completion of an integral in closed form.…
Inverse problems are ubiquitous because they formalize the integration of data with mathematical models. In many scientific applications the forward model is expensive to evaluate, and adjoint computations are difficult to employ; in this…
In this paper, we consider Caputo type fractional stochastic time-delay system with permutable matrices. We derive stochastic analogue of variation of constants formula via a newly defined delayed Mittag-Leffer type matrix function. Thus,…
Geophysical methods provide a cost-effective way to characterize the subsurface for hydrogeological projects, but they rely on solving an inverse problem. Traditionally, deterministic approaches are used, which face challenges due to…
We show that the centered discrete Hilbert transform on integers applied to a function can be written as the conditional expectation of a transform of stochastic integrals, where the stochastic processes considered have jump components. The…
In this paper, we study the $\frac{1}{H}$-variation of stochastic divergence integrals $X_t = \int_0^t u_s {\delta}B_s$ with respect to a fractional Brownian motion $B$ with Hurst parameter $H < \frac{1}{2}$. Under suitable assumptions on…
In this paper I give an evaluation of a functional integral by means of a series in functional derivatives, first of all we propose a differential equation of first order and solve it by iterative methods, to obtain a series for the…
Multidimensional integration by parts formulas apply under the standard assumption that one of the functions is continuous and the other has bounded Hardy-Krause variation. Motivated by recently developed results in the probabilistic…
Splitting methods are widely used for solving initial value problems (IVPs) due to their ability to simplify complicated evolutions into more manageable subproblems which can be solved efficiently and accurately. Traditionally, these…
The paper focuses on discrete-type approximations of solutions to non-homogeneous stochastic differential equations (SDEs) involving fractional Brownian motion (fBm). We prove that the rate of convergence for Euler approximations of…
We give stationary estimates for the derivative of the expectation of a non-smooth function of bounded variation f of the workload in a G/G/1/$\infty$ queue, with respect to a parameter influencing the distribu- tion of the input process.…
Motivated by applications to stochastic programming, we introduce and study the expected-integral functionals, which are mappings given in an integral form depending on two variables, the first a finite dimensional decision vector and the…
This article is concerned with stochastic differential equations driven by a $d$ dimensional fractional Brownian motion with Hurst parameter $H>1/4$, understood in the rough paths sense. Whenever the coefficients of the equation satisfy a…
We consider additive functionals of stationary Markov processes and show that under Kipnis-Varadhan type conditions they converge in rough path topology to a Stratonovich Brownian motion, with a correction to the Levy area that can be…
We derive an Ito-type change-of-variables formula for Volterra Gaussian processes (including fractional Brownian motion with any Hurst parameter), based on the operator factorization framework. The Ito correction is expressed as a Stieltjes…
We develop a nonanticipative calculus for functionals of a continuous semimartingale, using an extension of the Ito formula to path-dependent functionals which possess certain directional derivatives. The construction is based on a pathwise…
We study the strong consistency and asymptotic normality of a least squares estimator of the drift coefficient in complex-valued Ornstein-Uhlenbeck processes driven by fractional Brownian motion, extending the results of Chen, Hu, Wang…
In this paper, we consider a modified Levenberg--Marquardt method for solving an ill-posed inverse problem where the forward mapping is not G\^ateaux differentiable. By relaxing the standard assumptions for the classical smooth setting, we…
We study the forward investment performance process (FIPP) in an incomplete semimartingale market model with closed and convex portfolio constraints, when the investor's risk preferences are of the power form. We provide necessary and…
Empirical Colebrook equation from 1939 is still accepted as an informal standard to calculate friction factor during the turbulent flow through pipes from smooth with almost negligible relative roughness to the very rough inner surface. The…