Related papers: On Skorohod spaces as universal sample path spaces

In this paper, we propose and assess several stochastic parametrizations for data-driven modelling of the two-dimensional Euler equations using coarse-grid SPDEs. The framework of Stochastic Advection by Lie Transport (SALT) [Cotter et al.,…

For a solution to a (possibly nonlinear) Fokker-Planck equation (FPE) the powerful superposition principle renders a probability measure on path space with one dimensional time marginals equal to this solution, and additionally solving the…

Extreme-value theory for random vectors and stochastic processes with continuous trajectories is usually formulated for random objects all of whose univariate marginal distributions are identical. In the spirit of Sklar's theorem from…

General theorems on the closability and quasi-regularity of non-local Markovian symmetric forms on probability spaces $(S, {\cal B}(S), \mu)$, with $S$ Fr{\'e}chet spaces such that $S \subset {\mathbb R}^{\mathbb N}$, ${\cal B}(S)$ is the…

The goal of this paper is to develop a general method to establish conditional ergodicity of infinite-dimensional Markov chains. Given a Markov chain in a product space, we aim to understand the ergodic properties of its conditional…

We provide a general construction of time-consistent sublinear expectations on the space of continuous paths. It yields the existence of the conditional G-expectation of a Borel-measurable (rather than quasi-continuous) random variable, a…

We study a category of probability spaces and measure-preserving Markov kernels up to almost sure equality. This category contains, among its isomorphisms, mod-zero isomorphisms of probability spaces. It also gives an isomorphism between…

Sample Space Reducing (SSR) processes are simple stochastic processes that offer a new route to understand scaling in path-dependent processes. Here we define a cascading process that generalises the recently defined SSR processes and is…

This paper concerns discrete-time infinite-horizon stochastic control systems with Borel state and action spaces and universally measurable policies. We study optimization problems on strategic measures induced by the policies in these…

We study the existence, uniqueness and approximation of solutions of stochastic differential equations with constraints driven by processes with bounded p-variation. Our main tool are new estimates showing Lipschitz continuity of the…

We will give a proof of the following fact. If $\mathfrak{A}_1$ and $\mathfrak{A}_2$, $\tilde \eta_1$ and $\tilde \eta_2$, $\xi_1$ and $\xi_2$ are two examples of filtered probability spaces, time homogeneous compensated Poisson random…

We study the convergence of centered and normalized sums of i.i.d. random elements of the space $\mathcal{D}$ of c{{\'a}}dl{{\'a}}g functions endowed with Skorohod's $J\_1$ topology, to stable distributions in $\mathcal D$. Our results are…

This paper proposes a new notion of typical sequences on a wide class of abstract alphabets (so-called standard Borel spaces), which is based on approximations of memoryless sources by empirical distributions uniformly over a class of…

We consider filtering for a continuous-time, or asynchronous, stochastic system where the full distribution over states is too large to be stored or calculated. We assume that the rate matrix of the system can be compactly represented and…

The stochastic theory of relativistic quantum mechanics presented here is modelled on the one that has been proposed previously and that was claimed to be a promising substitute to the orthodox theory in the non-relativistic domain. So it…

In this paper, we establish the existence of a stochastic flow of Sobolev diffeomorphisms \[\mathbb{R}^d\ni x\quad\longmapsto\quad\phi_{s,t}(x)\in \mathbb{R}^d,\qquad s,t\in\mathbb{R}\] for a stochastic differential equation (SDE) of the…

The well-known factorization theorem of Lozanovski{\u \i} may be written in the form $L^{1}\equiv E\odot E^{\prime}$, where $\odot $ means the pointwise product of Banach ideal spaces. A natural generalization of this problem would be the…

We construct Skorokhod decompositions for diffusions with singular drift and reflecting boundary behavior on open subsets of $\mathbb R^d$ with $C^2$-smooth boundary except for a sufficiently small set. This decomposition holds almost…

An improved version of the functional limit theorem is proved establishing weak convergence of random walks generated by compound doubly stochastic Poisson processes (compound Cox processes) to L{\'e}vy processes in the Skorokhod space…

This paper develops an asymptotic expansion technique in momentum space for stochastic filtering. It is shown that Fourier transformation combined with a polynomial-function approximation of the nonlinear terms gives a closed recursive…