相关论文: Stochastic integrals and conditional full support

Probabilistic and stochastic behavior are omnipresent in computer controlled systems, in particular, so-called safety-critical hybrid systems, because of fundamental properties of nature, uncertain environments, or simplifications to…

Given a Gaussian stationary increment processes with spectral density, we show that a Wick-Ito integral with respect to this process can be naturally obtained using Hida's white noise space theory. We use the Bochner-Minlos theorem to…

This article introduces and solves a general class of fully coupled forward-backward stochastic dynamics by investigating the associated system of functional differential equations. As a consequence, we are able to solve many different…

Fractional kinetic equations are investigated in order to describe the various phenomena governed by anomalous reaction in dynamical systems with chaotic motion. Many authors have provided solutions for various families of fractional…

In this paper, we study a class of zero-sum two-player stochastic differential games with the controlled stochastic differential equations and the payoff/cost functionals of recursive type. As opposed to the pioneering work by Fleming and…

This paper studies the winding of a continuously differentiable Gaussian stationary process $f:\mathbb{R}\to\mathbb{C}$ in the interval $[0,T]$. We give formulae for the mean and the variance of this random variable. The variance is shown…

We first state a special type of It\^o formula involving stochastic integrals of both standard and fractional Brownian motions. Then we use Doss-Sussman transformation to establish the link between backward doubly stochastic differential…

This paper considers a new fuzzy fractional differential variational inequality with integral boundary conditions comprising a fuzzy fractional differential inclusion with integral boundary conditions and a variational inequality in…

For any real-valued stochastic process $X$ with c\'rdl\'rg paths we define non-empty family of processes which have locally finite total variation, have jumps of the same order as the process $X$ and uniformly approximate its paths on…

We present an innovating sensitivity analysis for stochastic differential equations: We study the sensitivity, when the Hurst parameter~$H$ of the driving fractional Brownian motion tends to the pure Brownian value, of probability…

This paper is concerned with the backward stochastic differential equations whose generator is a weighted fractional Brownian field: $Y_t=\xi+\int_t^T Y_s W (ds,B_s) -\int_t^T Z_sdB_s$, $0\le t\le T$, where $W$ is a $(d+1)$-parameter…

We here establish the higher fractional differentiability for solutions to a class of obstacle problems with non-standard growth conditions. We deal with the case in which the solutions to the obstacle problems satisfy a variational…

By the approximation method introduced in \cite{FYW}, the existence and uniqueness are proved for a class of distribution-dependent stochastic functional differential equations (DDSFDEs). Moreover, combining the Harnack and shift-Harnack…

Submodular functions are known to satisfy various forms of fractional subadditivity. This work investigates the conditions for equality to hold exactly or approximately in the fractional subadditivity of submodular functions. We establish…

In this paper we study a family of nonlinear (conditional) expectations that can be understood as a stochastic process with uncertain parameters. We develop a general framework which can be seen as a version of the martingale problem method…

In this article we are concerned with the study of the existence and uniqueness of pathwise mild solutions to evolutions equations driven by a H\"older continuous function with H\"older exponent in $(1/3,1/2)$. Our stochastic integral is a…

In this paper, we establish the existence and uniqueness of fully coupled forward-backward stochastic differential equations (FBSDEs in short) driven by anomalous sub-diffusions $B_{L_t}$ under suitable monotonicity conditions on the…

We show sufficient and necessary conditions, in terms of some partial differential equations with variable coefficients, for a quaternionic function to admit a continuous derivative in a open set in the sense of C. Schwartz.

We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the price…

We investigate the Cauchy problem for a semilinear spatio--temporal fractional diffusion equation with a time-dependent forcing term: \[ \partial_t^\alpha u + (-\Delta)^{\mathsf{s}} u = |u|^p + t^{\sigma}\,\mathbf{w}(x), \quad (t,x) \in…