Related papers: On a relation between stochastic integration and g…

We develop a stochastic calculus that makes it easy to capture a variety of predictable transformations of semimartingales such as changes of variables, stochastic integrals, and their compositions. The framework offers a unified treatment…

We investigate the role of coherence and Markovianity in finding an answer to the question whether the outcomes of a projectively measured quantum stochastic process are compatible with a classical stochastic process. For this purpose we…

We review several competing chaining methods to estimate the supremum, the diameter of the range or the modulus of continuity of a stochastic process in terms of tail bounds of their two-dimensional distributions. Then we show how they can…

A path-integral quantization method is proposed for dynamical systems whose classical equations of motion do \textit{not} necessarily follow from the action principle. The key new notion behind this quantization scheme is the Lagrange…

Geometrical formulation of classical mechanics with forces that are not necessarily potential-generated is presented. It is shown that a natural geometrical "playground" for a mechanical system of point particles lacking Lagrangian and/or…

An approach for the description of stochastic systems is derived. Some of the variables in the system are studied forward in time, others backward in time. The approach is based on a perturbation expansion in the strength of the coupling…

We develop a stochastic parametrization, based on a `simple' deterministic model for the dynamics of steady longshore currents, that produces ensembles that are statistically consistent with field observations of these currents. Unlike…

We study large deviations for the current of one-dimensional stochastic particle systems with periodic boundary conditions. Following a recent approach based on an earlier result by Jensen and Varadhan, we compare several candidates for…

By using stochastic calculus for two-parameter processes and chaos expansion into multiple Wiener-It\^o integrals, we define a 2D-stochastic current over the Brownian sheet. This concept comes from geometric measure theory. We also study…

Transition probabilities for stochastic systems can be expressed in terms of a functional integral over paths taken by the system. Evaluating the integral by the saddle point method in the weak-noise limit leads to a remarkable mapping…

We construct an explicit one-to-one correspondence between non-relativistic stochastic processes and solutions of the Schrodinger equation and between relativistic stochastic processes and solutions of the Klein-Gordon equation. The…

This review provides a pedagogic and self-contained introduction to master equations and to their representation by path integrals. We discuss analytical and numerical methods for the solution of master equations, keeping our focus on…

Functional integrals are central to modern theories ranging from quantum mechanics and statistical thermodynamics to biology, chemistry, and finance. In this work we present a new method for calculating functional integrals based on a…

Path integrals play a crucial role in describing the dynamics of physical systems subject to classical or quantum noise. In fact, when correctly normalized, they express the probability of transition between two states of the system. In…

We introduce in this work a concept of rough driver that somehow provides a rough path-like analogue of an enriched object associated with time-dependent vector fields. We use the machinery of approximate flows to build the integration…

We examine the relation between a stochastic version of the rough path integral with the symmetric-Stratonovich integral in the sense of regularization. Under mild regularity conditions in the sense of Malliavin calculus, we establish…

We study the stochastic thermodynamics of an overdamped harmonic chain, which can be viewed equivalently as a 1D Rouse chain or as an approximate model of single file diffusion. We discuss mainly two levels of description of this system:…

We prove under suitable hypotheses that convergence of integral varifolds implies convergence of associated mod 2 flat chains and subsequential convergence of associated integer-multiplicity rectifiable currents. The convergence results…

The integral with respect to a multidimensional stochastic measure, for which we assume only $\sigma$-additivity in probability, is studied. The continuity and differentiability of its realizations are established.

For a mixed stochastic differential equation containing both Wiener process and a H\"older continuous process with exponent $\gamma>1/2$, we prove a stochastic viability theorem. As a consequence, we get a result about positivity of…