Related papers: Finite dimensional Realizations of Stochastic Equa…

Since the introduction of Dyson's Brownian motion in early 1960's, there have been a lot of developments in the investigation of stochastic processes on the space of Hermitian matrices. Their properties, especially, the properties of their…

We extend the functional Breuer-Major theorem by Nourdin and Nualart (2020) to the space of rough paths. The proof of tightness combines the multiplication formula for iterated Malliavin divergences, due to Furlan and Gubinelli (2019), with…

We investigate mild solutions for stochastic evolution equations driven by a fractional Brownian motion (fBm) with Hurst parameter H in (1/3, 1/2] in infinite-dimensional Banach spaces. Using elements from rough paths theory we introduce an…

We quantize the Friedberg-Lee-Pang-Ren (FLPR) model within the framework of Batalin-Fradkin-Vilkovisky (BFV) formalism. We construct the nilpotent Becchi-Rouet-Stora-Tyutin (BRST) charges using constraints and the fermionic gauge-fixing…

We propose some numerical schemes for forward-backward stochastic differential equations (FBSDEs) based on a new fundamental concept of transposition solutions. These schemes exploit time-splitting methods for the variation of constants…

We propose an alternative approach on the existence of affine realizations for HJM interest rate models. It is applicable to a wide class of models, and simultaneously it is conceptually rather comprehensible. We also supplement some known…

The rough Heston model is a very popular recent model in mathematical finance; however, the lack of Markov and semimartingale properties poses significant challenges in both theory and practice. A way to resolve this problem is to use…

We propose a robust numerical framework for PDE-constrained shape optimization and Willmore-driven surface hole filling. To address two central challenges -- slow progress in flat energy landscapes, which can trigger premature stagnation at…

This thesis report deals with the 1D Hubbard model and the quantum objects that diagonalize the normal ordered Hubbard hamiltonian, among those the so called PseudoFermions (PFs). These PFs have no residual energy interactions, are eta-spin…

It is well-known that for a one dimensional stochastic differential equation driven by Brownian noise, with coefficient functions satisfying the assumptions of the Yamada-Watanabe theorem \cite{yamada1,yamada2} and the Feller test for…

We study single-variable approaches for describing stochastic dynamics with small inertia. The basic models we deal with describe passive Brownian particles and phase elements (phase oscillators, rotators, superconducting Josephson…

In this paper, we study the existence and uniqueness of a class of stochastic differential equations driven by fractional Brownian motions with arbitrary Hurst parameter $H\in (0,1)$. In particular, the stochastic integrals appearing in the…

The goal of this paper is to derive a formula for the finite dimensional joint characteristic function (the Fourier transform of the finite dimensional distribution) of the coupled process ${(W_{t},L_{t}^{A}):t\in \lbrack 0,\infty)}$, where…

In this thesis, we extend the recently introduced theory of stochastic modified equations (SMEs) for stochastic gradient optimization algorithms. In Ch. 3 we study time-inhomogeneous SDEs driven by Brownian motion. For certain SDEs we prove…

Much effort has been done to control the "false discovery rate" (FDR) when $m$ hypotheses are tested simultaneously. The FDR is the expectation of the "false discovery proportion" $\text{FDP}=V/R$ given by the ratio of the number of false…

The article presents results on existence and uniqueness of mild solutions to a class of non linear neutral stochastic functional differential equations (NSFDEs) driven by Fractional Brownian motion in a Hilbert space with non-Lipschitzian…

In this paper, we study the small finitistic dimension of a commutative ring from the viewpoint of finitistic flat homological algebra. Using the class $FPR(R)$ of modules admitting finite projective resolutions, we investigate the…

We study the discrete-time approximation for solutions of quadratic forward back- ward stochastic differential equations (FBSDEs) driven by a Brownian motion and a jump process which could be dependent. Assuming that the generator has a…

In this paper we study a class of infinite horizon fully coupled forward-backward stochastic differential equations (FBSDEs), that are stimulated by various continuous time future expectations models with random coefficients. Under standard…

In this paper we introduce a definition of a multi-dimensional fractional Brownian motion of Hurst index $H \in (0, 1)$ under volatility uncertainty (in short G-fBm). We study the properties of such a process and provide first results about…