Related papers: Stochastic Calculus and Anticommuting Variables
(Replacement because mailer changed `hat' for supercript into something weird. The macro `\sp' has been used in place of the `hat' character in this revised version.) Fermionic Brownian paths are defined as paths in a space para\-metr\-ised…
An anticommuting analogue of Brownian motion, corresponding to fermionic quantum mechanics, is developed, and combined with classical Brownian motion to give a generalised Feynman-Kac-It\^o formula for paths in geometric supermanifolds.…
We study different possibilities to apply the principles of rough paths theory in a non-commutative probability setting. First, we extend previous results obtained by Capitaine, Donati-Martin and Victoir in Lyons' original formulation of…
We explore a differential calculus on the algebra of smooth functions on a manifold. The former is `noncommutative' in the sense that functions and differentials do not commute, in general. Relations with bicovariant differential calculus…
An approach to analysis on path spaces of Riemannian manifolds is described. The spaces are furnished with `Brownian motion' measure which lies on continuous paths, though differentiation is restricted to directions given by tangent paths…
A peculiar feature of It\^o's calculus is that it is an integral calculus that gives no explicit derivative with a systematic differentiation theory counterpart, as in elementary calculus. So, can we define a pathwise stochastic derivative…
In this work, we generalise the stochastic local time space integration introduced in \cite{Ei00} to the case of Brownian sheet. %We develop a stochastic local time-space calculus with respect to the Brownian sheet. This allows us to prove…
We present a new approach to noncommutative stochastic calculus that is, like the classical theory, based primarily on the martingale property. Using this approach, we introduce a general theory of stochastic integration and quadratic…
Lecture notes for a master-level mathematics course on martingales and stochastic calculus, held at the University of Orl\'eans, France. With corrected exercises. Contents: Discrete-time martingales, stopping times, convergence theorems.…
Following the approach and the terminology introduced in [A. Deya and R. Schott, On the rough paths approach to non-commutative stochastic calculus, J. Funct. Anal., 2013], we construct a product L{\'e}vy area above the $q$-Brownian motion…
Motivated by application to quantum physics, anticommuting analogues of Wiener measure and Brownian motion are constructed. The corresponding Ito integrals are defined and the existence and uniqueness of solutions to a class of stochastic…
The book deals with a stochastic formulation of path integration in real time, by rotating the_space_ variables over exp(i pi/4). Preliminary chapters deal with quantum and classical mechanics, probability theory and stochastic calculus,…
This paper introduces the path derivatives, in the spirit of Dupire's functional It\^o calculus, for the controlled paths in the rough path theory with possibly non-geometric rough paths. The theory allows us to deal with rough integration…
It is shown that under a certain condition on a semimartingale and a time-change, any stochastic integral driven by the time-changed semimartingale is a time-changed stochastic integral driven by the original semimartingale. As a direct…
Stochastic integration \textit{wrt} Gaussian processes has raised strong interest in recent years, motivated in particular by its applications in Internet traffic modeling, biomedicine and finance. The aim of this work is to define and…
We pursue our investigations, initiated in [8], about stochastic integration with respect to the non-commutative fractional Brownian motion (NC-fBm). Our main objective in this paper is to compare the pathwise constructions of [8] with a…
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…
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…
Brownian motion on manifolds with non-trivial diffusion coefficient can be constructed by stochastic development of Euclidean Brownian motions using the fiber bundle of linear frames. We provide a comprehensive study of paths for such…
The construction of invariants of three-dimensional manifolds with a triangulated boundary, proposed earlier by the author for the case when the boundary consists of not more than one connected component, is generalized to any number of…