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

A cylindrical Levy process does not enjoy a cylindrical version of the semi-martingale decomposition which results in the need to develop a completely novel approach to stochastic integration. In this work, we introduce a stochastic…

Calibration of large-scale differential equation models to observational or experimental data is a widespread challenge throughout applied sciences and engineering. A crucial bottleneck in state-of-the art calibration methods is the…

In this paper we study rough differential equations driven by Gaussian rough paths from the viewpoint of Malliavin calculus. Under mild assumptions on coefficient vector fields and underlying Gaussian processes, we prove that solutions at a…

Let $f(n)$ be a strongly additive complex valued arithmetic function. Under mild conditions on $f$, we prove the following weighted strong law of large numbers: if $ X,X_1,X_2,... $ is any sequence of integrable i.i.d. random variables,…

In the preceding articles we considered fractional integral transforms involving one real scalar variable, one real matrix variable and real scalar multivariable case. In the present paper we consider the multivariable case when the…

In this paper we provide a rigorous mathematical foundation for continuous approximations of a class of systems with piece-wise continuous functions. By using techniques from the theory of differential inclusions, the underlying piece-wise…

In the present work, an attempted was made to develop a numerical algorithm by the use of new orthogonal hybrid functions formed from hybrid of piecewise constant orthogonal sample-and-hold functions and piecewise linear orthogonal…

This survey paper discusses the history of approximation formulas for n-th order derivatives by integrals involving orthogonal polynomials. There is a large but rather disconnected corpus of literature on such formulas. We give some results…

Given a random variable $F$ regular enough in the sense of the Malliavin calculus, we are able to measure the distance between its law and almost any continuous probability law on the real line. The bounds are given in terms of the…

We prove multidimensional integration by parts formulas for generalized fractional derivatives and integrals. The new results allow us to obtain optimality conditions for multidimensional fractional variational problems with Lagrangians…

Several versions of It\^{o}'s formula have been obtained in the context of the functional stochastic calculus. Here, we revisit this topic in two ways. First, by defining a notion of derivative along a functional, we extend the setting of…

In this work we present a new approach on studying dynamical systems. Combining the two ways of expressing the uncertainty, using probabilistic theory and credibility theory, we have research the generalized fractional hybrid equations. We…

We present a new tool to compute the number $\phi_\A (\b)$ of integer solutions to the linear system $$ \x \geq 0 \qquad \A \x = \b $$ where the coefficients of $\A$ and $\b$ are integral. $\phi_\A (\b)$ is often described as a \emph{vector…

Malliavin calculus is implemented in the context of [M. Hairer, A theory of regularity structures, Invent. Math. 2014]. This involves some constructions of independent interest, notably an extension of the structure which accomodates a…

We present a package to perform partial fraction decompositions of multivariate rational functions. The algorithm allows to systematically avoid spurious denominator factors and is capable of producing unique results also when being applied…

In this note we investigate the partial Fourier series on a product of two compact Lie groups. We give necessary and sufficient conditions for a sequence of partial Fourier coefficients to define a smooth function or a distribution. As…

Error bounds are derived for sampling and estimation using a discretization of an intrinsically defined Langevin diffusion with invariant measure $\text{d}\mu_\phi \propto e^{-\phi} \mathrm{dvol}_g $ on a compact Riemannian manifold. Two…

For degenerate stochastic differential equations driven by fractional Brownian motions with Hurst parameter $H>1/2$, the derivative formulas are established by using Malliavin calculus and coupling method, respectively. Furthermore, we find…

We give a extensive account of a recent new way of applying the Dirichlet form theory to random Poisson measures. The main application is to obtain existence of density for thelaws of random functionals of L\'evy processes or solutions of…

The soft and collinear singularities of general scalar and tensor one-loop N-point integrals are worked out explicitly. As a result a simple explicit formula is given that expresses the singular part in terms of 3-point integrals. Apart…