Related papers: On some exponential integral functionals of BM($\m…
In this paper, we prove an exponential integral formula for the Fourier transform of Bessel functions over complex numbers, along with a radial exponential integral formula. The former will enable us to develop the complex spectral theory…
We introduce a one parameter deformation of the Zwegers' $\mu$-function as the image of $q$-Borel and $q$-Laplace transformations of a fundamental solution for the $q$-Hermite-Weber equation. We further give some formulas for our…
The leading asymptotic behaviour of the Humbert functions $\Phi_2$, $\Phi_3$, $\Xi_2$ of two variables is found, when the absolute values of the two independent variables become simultaneosly large. New integral representations of these…
We consider an integral transform given by $T_{\nu} f(s) := \pi \int_0^\infty rs J_{\nu}(r s)^2 f(r) \, dr$, where $J_{\nu}$ denotes the Bessel function of the first kind of order $\nu$. As shown by Walther (2002,…
We prove change of variables formulas [It\^o formulas] for functions of both arithmetic and geometric averages of geometric fractional Brownian motion. They are valid for all convex functions, not only for smooth ones. These change of…
This paper studies the law of any power of the integral of geometric Brownian motion over any finite time interval. As its main results, two integral representations for this law are derived. This is by enhancing the Laplace transform…
This manuscript introduces a generalization of the Mellin integral transform within the framework of weighted fractional calculus with respect to an increasing function. The proposed transform is much more suitable for working with…
We consider the asymptotic expansion of Kr\"atzel's integral \[F_{p,\nu}(x)=\int_0^\infty t^{\nu-1} e^{-t^p-x/t}\,dt\qquad (|\arg\,x|<\pi/2),\] for $p>0$ as $|x|\to \infty$ in the sector $|\arg\,x|<\pi/2$ employing the method of steepest…
We investigate the integral \[\int_0^\infty \cosh^\mu\!t\,K_\nu(z\cosh t)\,dt \qquad \Re(z)>0,\] where $K$ denotes the modified Bessel function, for non-negative integer values of the parameters $\mu$ and $\nu$. When the integers are of…
New index transforms are investigated, which contain as the kernel products of the Bessel and modified Bessel functions. Mapping properties and invertibility in Lebesgue spaces are studied for these operators. Relationships with the…
Let $\{b_H(t),t\in\mathbb{R}\}$ be the fractional Brownian motion with parameter $0<H<1$. When $1/2<H$, we consider diffusion equations of the type \[X(t)=c+\int_0^t\sigma\bigl(X(u)\bigr)\mathrm {d}b_H(u)+\int _0^t\mu\bigl(X(u)\bigr)\mathrm…
We establish a general semiparametric Bernstein-von Mises theorem for Bayesian nonparametric priors based on continuous observations in a periodic reversible multidimensional diffusion model. We consider a wide range of functionals…
Using a transference result, several inequalities of approximation by entire functions of exponential type in $\mathcal{C}(\mathbf{R})$, the class of bounded uniformly continuous functions defined on $\mathbf{R}:=\left( -\infty ,+\infty…
Motivated by the new Laplace transforms for the Kummer's confluent hypergeometric functions $_1F_1$ obtained recently by Kim et al. [Math $\&$ Comput. Modelling, 55 (2012), pp. 1068--1071], the authors aim is to establish so far unknown…
We investigate the unique stationary measure of a positive recurrent reflecting Brownian motion in the upper half-plane, where the direction of reflection is constant on each half-axis. The Laplace transform of the stationary distribution…
We prove a stochastic formula for the Gaussian relative entropy in the spirit of Borell's formula for the Laplace transform. As an application, we give unified and short proofs of a number of functional inequalities.
Motivated from studies on anomalous diffusion, we show that the memory function $M(t)$ of complex materials, that their creep compliance follows a power law, $J(t)\sim t^q$ with $q\in \mathbb{R}^+$, is the fractional derivative of the Dirac…
In this paper, we obtain the analytical solutions of Laplace transforms based some novel integrals with suitable convergence conditions, by using hypergeometric approach (some algebraic properties of Pochhammer symbol and classical…
Let $(X, \mathscr{L}, \lambda)$ and $(Y, \mathscr{M}, \mu)$ be finite measure spaces for which there exist $A \in \mathscr{L}$ and $B \in \mathscr{M}$ with either $0 < \lambda(A) < 1 < \lambda(X)$ and $0 < \mu(B) < \mu(Y)$, or the other way…
The Laplace transform of partial sums of the square of a non-centered Gauss-Markov process, conditioning on its starting point, is explicitly computed. The parameters of multiplicative ergodicity are deduced.