相关论文: Generalized covariation and extended Fukushima dec…
This paper discusses a new notion of quadratic variation and covariation for Banach space valued processes (not necessarily semimartingales) and related It\^o formula. If $\X$ and $\Y$ take respectively values in Banach spaces $B_{1}$ and…
This article focuses on a new concept of quadratic variation for processes taking values in a Banach space $B$ and a corresponding covariation. This is more general than the classical one of M\'etivier and Pellaumail. Those notions are…
We provide a suitable framework for the concept of finite quadratic variation for processes with values in a separable Banach space $B$ using the language of stochastic calculus via regularizations, introduced in the case $B= \R$ by the…
The motivation of this paper is to prove verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion term, in the case that the value function is assumed to be continuous…
The present paper continues the study of infinite dimensional calculus via regularization, started by C. Di Girolami and the second named author, introducing the notion of weak Dirichlet process in this context. Such a process X, taking…
We present a novel family of continuous, linear time-frequency transforms adaptable to a multitude of (nonlinear) frequency scales. Similar to classical time-frequency or time-scale representations, the representation coefficients are…
This paper addresses the study and characterizations of variational convexity of extended-real-valued functions on Banach spaces. This notion has been recently introduced by Rockafellar, and its importance has been already realized and…
A class of stochastic processes, called "weak Dirichlet processes", is introduced and its properties are investigated in detail. This class is much larger than the class of Dirichlet processes. It is closed under C^1$-transformations and…
We investigate the conditional distributions of two Banach space valued, jointly Gaussian random variables. In particular, we show that these conditional distributions are again Gaussian and that their means and covariances can be…
In this paper, we establish $\mathcal B$-valued variational inequalities for differential operators, ergodic averages and symmetric diffusion semigroups under the condition that Banach space $\mathcal B$ has martingale cotype property.…
We study dynamic fluctuations in non-disordered finite dimensional ferromagnetic systems quenched to the critical point and the low-temperature phase. We investigate the fluctuations of two two-time quantities, called $\chi$ and $C$, the…
Let $B^H$ be a fractional Brownian motion with Hurst index $0<H<1/2$. In this paper we study the {\it generalized quadratic covariation} $[f(B^H),B^H]^{(W)}$ defined by $$ [f(B^H),B^H]^{(W)}_t=\lim_{\epsilon\downarrow…
In this work cylindrical Wiener processes on Banach spaces are defined by means of cylindrical stochastic processes, which are a well considered mathematical object. This approach allows a definition which is a simple straightforward…
Decay processes $B\rightarrow D_{\left(s\right)}^{\left(*\right)}h$ ($h=\pi,\rho$) are studied in the framework of the confined covariant quark model using the na\"{i}ve factorization assumption. We observe that the theoretical results on…
Based on a student research project this article gives a short review on Wishart processes. A Wishart procces is a matrix valued continuous time stochastic process with a marginal Wishart distribution. The Wishart distribution is a matrix…
The concept of bounded variation has been generalized in many ways. In the frame of functions taking values in Banach space, the concept of bounded semivariation is a very important generalization. The aim of this paper is to provide an…
We study estimation and prediction of Gaussian processes with covariance model belonging to the generalized Cauchy (GC) family, under fixed domain asymptotics. Gaussian processes with this kind of covariance function provide separate…
In this paper we present multivariate space-time fractional Poisson processes by considering common random time-changes of a (finite-dimensional) vector of independent classical (non-fractional) Poisson processes. In some cases we also…
Let $B^{a,b}$ be a weighted fractional Brownian motion with indices $a,b$ satisfying $a>-1,-1<b<0,|b|<1+a$. In this paper, motivated by the asymptotic property $$ E[(B^{a,b}_{s+\varepsilon}-B^{a,b}_s)^2] =O(\varepsilon^{1+b})\not\sim…
In this paper we develop new applications of variational analysis and generalized differentiation to the following optimization problem and its specifications: given n closed subsets of a Banach space, find such a point for which the sum of…