Related papers: Integration by parts formula for locally smooth la…

Long memory processes driven by L\'evy noise with finite second-order moments have been well studied in the literature. They form a very rich class of processes presenting an autocovariance function which decays like a power function. Here,…

We prove an integration by parts formula on the law of the reflecting Brownian motion $X:=|B|$ in the positive half line, where $B$ is a standard Brownian motion. In other terms, we consider a perturbation of $X$ of the form $X^\epsilon =…

In this paper a Malliavin calculus for L\'evy processes based on a family of true derivative operators is developed. The starting point is an extension to L\'evy processes of the pioneering paper by Carlen and Pardoux [8] for the Poisson…

The paper suggests a way of stochastic integration of random integrands with respect to fractional Brownian motion with the Hurst parameter H> 1/2. The integral is defined initially on the processes that are "piecewise" predictable on a…

In line with the methodology introduced in our recent article for formulating probabilistic representations of integration by parts involving killed diffusion, we establish an integration by parts formula for the first exit time of…

We establish an integration by parts formula based on jumps times in an abstract framework in order to study the regularity of the law for processes solution of stochastic differential equations with jumps.

The question of the volatility roughness is interpreted in the framework of a data-reconstructed fractional volatility model, where volatility is driven by fractional noise. Some examples are worked out and also, using Malliavin calculus…

In some applications, one is interested in reconstructing a function $f$ from its Fourier series coefficients. The problem is that the Fourier series is slowly convergent if the function is non-periodic, or is non-smooth. In this paper, we…

Determinantal and permanental processes are point processes with a correlation function given by a determinant or a permanent. Their atoms exhibit mutual attraction of repulsion, thus these processes are very far from the uncorrelated…

The proliferation of computing devices has brought about an opportunity to deploy machine learning models on new problem domains using previously inaccessible data. Traditional algorithms for training such models often require data to be…

In this note we consider stochastic differential equations driven by fractional Brownian motions (fBm) with Hurst parameter $H>1/3$. We prove that the corresponding modified Euler scheme and its Malliavin derivatives are integrable,…

The Malliavin derivative for a L\'evy process $(X_t)$ can be defined on the space $\DD_{1,2}$ using a chaos expansion or in the case of a pure jump process also via an increment quotient operator \cite{sole-utzet-vives}. In this paper we…

Affine processes play an important role in mathematical finance and other applied areas due to their tractable structure. In the present article, we derive probabilistic representations and integration by parts (IBP) formulas for…

By means of the Malliavin calculus, integral representations for the likelihood function and for the derivative of the log-likelihood function are given for a model based on discrete time observations of the solution to equation…

Using fractional calculus we define integrals of the form $% \int_{a}^{b}f(x_{t})dy_{t}$, where $x$ and $y$ are vector-valued H\"{o}lder continuous functions of order $\displaystyle \beta \in (\frac13, \frac12)$ and $f$ is a continuously…

We consider stochastic integration with respect to fractional Brownian motion (fBm) with $H < 1/2$. The integral is constructed as the limit, where it exists, of a sequence of Riemann sums. A theorem by Gradinaru, Nourdin, Russo & Vallois…

Integration by parts plays a crucial role in mathematical analysis, e.g., during the proof of necessary optimality conditions in the calculus of variations and optimal control. Motivated by this fact, we construct a new, right-weighted…

The stochastic partial differential equation analyzed in this work is the Cahn-Hilliard equation perturbed by an additive fractional white noise (fractional in time and white in space). We work in the case of one spatial dimension and apply…

In this present paper, we introduce and study a dynamical systems involving fractional derivative operator and nonlocal condition, which is constituted of a fractional evolution equation and a time-dependent variational inequality, and is…

Analogue to the well-known Langevin Monte Carlo method, in this article we provide a method to sample from a target distribution \(\pi\) by simulating a solution of a stochastic differential equation. Hereby, the stochastic differential…