相关论文: G-expectations in infinite dimensional spaces and …
We give an extension of de Finetti's concept of coherence to unbounded (but real-valued) random variables that allows for gambling in the presence of infinite previsions. We present a finitely additive extension of the Daniell integral to…
We revisit the geodesic approach to ideal hydrodynamics and present a related geometric framework for Newton's equations on groups of diffeomorphisms and spaces of probability densities. The latter setting is sufficiently general to include…
We consider initial value problems for differential-algebraic equations in a possibly infinite-dimensional Hilbert space. Assuming a growth condition for the associated operator pencil, we prove existence and uniqueness of solutions for…
H\"older estimates for second derivatives are proved for solutions of fully nonlinear parabolic equations in two space variables. Related techniques extend the regularity theory for fully nonlinear parabolic equations in higher dimensions.
In this paper, we introduce the concept of hyperbolic valued random variables, their expectation and moments. We develop the hyperbolic analogue of Binomial and Poisson distributions. We study some of the properties of expectation on the…
This paper develops a variational inference framework for control of infinite dimensional stochastic systems. We employ a measure theoretic approach which relies on the generalization of Girsanov's theorem, as well as the relation between…
A suitable notion of weak solution to infinite-dimensional rate-independent systems, called Inertial Balanced Viscosity (IBV) solution, is introduced. The key feature of such notion is that the energy dissipated at jump discontinuities…
This paper puts forward a new generalized polynomial dimensional decomposition (PDD), referred to as GPDD, comprising hierarchically ordered measure-consistent multivariate orthogonal polynomials in dependent random variables. Unlike the…
We introduce the concept of Gaussian integral isoperimetric transference and show how it can be applied to obtain a new class of sharp Sobolev-Poincar\'{e} inequalities with constants independent of the dimension. In the special case of…
We investigate the probabilistic and analytic properties of Volterra processes constructed as pathwise integrals of deterministic kernels with respect to the H\"older continuous trajectories of Hilbert-valued Gaussian processes. To this…
The main objective of this paper and the accompanying one \cite{ETZ2} is to provide a notion of viscosity solutions for fully nonlinear parabolic path-dependent PDEs. Our definition extends our previous work \cite{EKTZ}, focused on the…
The paper deals with the order statistics and empirical mathematical expectation (which is also called the estimate of mathematical expectation in the literature) in the case of infinitely increasing random variables. The Kolmogorov concept…
Properties of an infinite system of nonlinearly coupled ordinary differential equations are discussed. This system models some properties present in the equations of motion for an inviscid fluid such as the skew symmetry and the…
In this paper a new class of generalized backward doubly stochastic differential equations is investigated. This class involves an integral with respect to an adapted continuous increasing process. A probabilistic representation for…
This paper considers linear rational expectations models in the frequency domain. The paper characterizes existence and uniqueness of solutions to particular as well as generic systems. The set of all solutions to a given system is shown to…
The purpose of this paper is to establish a variational representation \log \E [e^{f(B)}] = \sup_h \E [f(B + \int_0^{\cdot} d<B>_s h_s) - 1/2 \int_0^1 h_s \cdot (d<B>_s h_s)] for functionals of the d-dimensional G-Brownian motion B. Here \E…
A finite horizon optimal stopping problem for an infinite dimensional diffusion $X$ is analyzed by means of variational techniques. The diffusion is driven by a SDE on a Hilbert space $\mathcal{H}$ with a non-linear diffusion coefficient…
In this work we consider infinite dimensional extensions of some finite dimensional Gaussian geometric functionals called the Gaussian Minkowski functionals. These functionals appear as coefficients in the probability content of a tube…
The classical law of the iterated logarithm (LIL for short)as fundamental limit theorems in probability theory play an important role in the development of probability theory and its applications. Strassen (1964) extended LIL to large…
This paper introduces a notion of viscosity solutions for second order elliptic Hamilton-Jacobi-Bellman (HJB) equations with infinite delay associated with infinite-horizon optimal control problems for stochastic differential equations with…