Related papers: Stochastic Calculus and Anticommuting Variables
Within the context of rough path analysis via fractional calculus, we show how variability can be used to prove the existence of integrals with respect to H\"older continuous multiplicative functionals in the case of Lipschitz coefficients…
A theory of differential equations driven by a non-differentiable path has recently been developed by Lyons. We develop an alternative approach to this theory, using (modified Euler approximations), and investigate its applicability to…
We introduce an original approach to geometric calculus in which we define derivatives and integrals on functions which depend on extended bodies in space--that is, paths, surfaces, and volumes etc. Though this theory remains to be fully…
These notes follow my articles [1, 6], and give some new important details. We propose here a new combinatorial method of encoding of measure spaces with measure preserving transformations, (or groups of transformations) in order to give…
Let $B=(B_1(t),..,B_d(t))$ be a $d$-dimensional fractional Brownian motion with Hurst index $\alpha\le 1/4$, or more generally a Gaussian process whose paths have the same local regularity. Defining properly iterated integrals of $B$ is a…
In this paper, we introduce the paths space $\mathcal C_0^{\mathrm{gBm}}$ which is consists of generalized Brownian motion path-valued continuous functions on $[0,T]$. We next present several relevant examples of the paths space integral.…
We study a notion of local time for a continuous path, defined as a limit of suitable discrete quantities along a general sequence of partitions of the time interval. Our approach subsumes other existing definitions and agrees with the…
Most of the known models describing the fundamental interactions have a gauge freedom. In the standard path integral, it is necessary to "fix the gauge" in order to avoid integrating over unphysical degrees of freedom. Gauge independence…
In a 2006 article (\cite{A1}), Allouba gave his quadratic covariation differentiation theory for It\^o's integral calculus. He defined the derivative of a semimartingale with respect to a Brownian motion as the time derivative of their…
Canonical BRST quantization of the topological particle defined by a Morse function h is described. Stochastic calculus, using Brownian paths which implement the WKB method in a new way providing rigorous tunnelling results even in curved…
In this book, we introduce a new approach of sublinear expectation to deal with the problem of probability and distribution model uncertainty. We a new type of (robust) normal distributions and the related central limit theorem under…
We establish a simultaneous generalization of It\^o's theory of stochastic and Lyons' theory of rough differential equations. The interest in such a unification comes from a variety of applications, including pathwise stochastic filtering,…
This work is devoted to deriving the Onsager-Machlup action functional for a class of stochastic differential equations with (non-Gaussian) L\'{e}vy process as well as Brownian motion in high dimensions. This is achieved by applying the…
We develop a Fourier approach to rough path integration, based on the series decomposition of continuous functions in terms of Schauder functions. Our approach is rather elementary, the main ingredient being a simple commutator estimate,…
We establish a new scale of $p$-variation estimates for martingale paraproducts, martingale transforms, and It\^o integrals, of relevance in rough paths theory, stochastic, and harmonic analysis. As an application, we introduce rough…
From the path integral formalism for price fluctuations with non-Gaussian distributions I derive the appropriate stochastic calculus replacing Ito's calculus for stochastic fluctuations.
In this expository article, we explain how to use localization to compute Gromov-Witten invariants of smooth toric varieties and orbifold Gromov-Witten invariants of smooth toric Deligne-Mumford stacks.
Optimal paths for the classical Onsager-Machlup function determining most probable paths between points on a manifold are only explicitly identified for specific processes, for example the Riemannian Brownian motion. This leaves out large…
We review the derivation of the Atiyah-Singer and Callias index theorems using the recently developed localization method to calculate exactly the relevant supersymmetric path integrals. (Talk given at the III International Conference on…
Motivated by string theory connection, a covariant procedure for perturbative calculation of the partition function of the two-dimensional generalized $\sigma$-model is considered. The importance of a consistent regularization of the…