Related papers: On Skorohod spaces as universal sample path spaces

The standard small-time functional central limit theorem of semimartingales has been established in (Gerhold, S., Kleinert, M., Porkert, P., and Shkolnikov, M. (2015). Small time central limit theorems for semimartingales with applications.…

In this article, we derive a Stratonovich and Skorohod type change of variables formula for a multidimensional Gaussian process with low H\"older regularity (typically lower than 1/4). To this aim, we combine tools from rough paths theory…

In this article, we develop a new approach to functional quantization, which consists in discretizing only a finite subset of the Karhunen-Lo\`eve coordinates of a continuous Gaussian semimartingale $X$. Using filtration enlargement…

In this article, the following results are obtained: the process of a randomly wandering particle having a size and a continuous trajectory of motion is considered; (b) based on the study of this probabilistic process, a derivation of the…

Directed topology is a refinement of standard topology, where spaces may have non-reversible paths. It has been put forward as a candidate approach to the analysis of concurrent processes. Recently, a wealth of different frameworks for,…

In this paper, we obtain stability results for martingale representations in a very general framework. More specifically, we consider a sequence of martingales each adapted to its own filtration, and a sequence of random variables…

We study a fairly general class of time-homogeneous stochastic evolutions driven by noises that are not white in time. As a consequence, the resulting processes do not have the Markov property. In this setting, we obtain constructive…

We consider cost minimizing stopping time solutions to Skorokhod embedding problems, which deal with transporting a source probability measure to a given target measure through a stopped Brownian process. PDEs and a free boundary problem…

In this article we define and study a stochastic process on Galoisian covers of compact manifolds. The successive positions of the process are defined recursively by picking a point uniformly in the Dirichlet domain of the previous one. We…

We consider classes T of topological spaces (referred to as T-spaces) that are stable under continuous images and frequently under arbitrary products. A local T-space has for each point a neighborhood base consisting of subsets that are…

In this work, we investigate the existence of a factorization for a unital completely positive map, between non-commutative probability space which do not change the expectation values of the events. These maps are called in literature…

We study necessary and sufficient criteria for global survival of discrete or continuous-time branching Markov processes. We relate these to several definitions of generalised principle eigenvalues for elliptic operators due to Berestycki…

We consider continuous-time sparse stochastic processes from which we have only a finite number of noisy/noiseless samples. Our goal is to estimate the noiseless samples (denoising) and the signal in-between (interpolation problem). By…

An infinite system of point particles placed in $\mathds{R}^d$ is studied. Its constituents perform random jumps with mutual repulsion described by a translation-invariant jump kernel and interaction potential, respectively. The pure states…

This paper is devoted to the well-posedness of stochastic nonlinear Schr\"odinger equations in the energy space H1(Rd), which is a natural continuation of our recent work [1]. We consider both focusing and defocusing nonlinearities and…

We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…

A topological space $X$ is $\mathbb R^{\omega_1}$-factorizable if any continuous function $f\colon X\to \mathbb R^{\omega_1}$ factors through a continuous function from $X$ to a second-countable space. It is shown that a Tychonoff space $X$…

Motivated by engineering applications such as resource allocation in networks and inventory systems, we consider average-reward Reinforcement Learning with unbounded state space and reward function. Recent works studied this problem in the…

In this paper we develop an $L_2$-theory for stochastic partial differential equations driven by L\'evy processes. The coefficients of the equations are random functions depending on time and space variables, and no smoothness assumption of…

Stochastic methods are ubiquitous to a variety of fields, ranging from Physics to Economy and Mathematics. In many cases, in the investigation of natural processes, stochasticity arises every time one considers the dynamics of a system in…