相关论文: It\^o-Wiener expansion for functionals of the Arra…
In this paper we study the structure of square integrable functionals measurable with respect to coalescing stochastic flows. The case of $L^2$ space generated by the process $\eta(\cdot)=w(\min(\tau,\cdot)),$ where $w$ is a Brownian motion…
In the paper we consider the point measure that corresponds to Arratia flow. The central limit theorem of the multiple integrals with respect to this measure was obtained.
In this article we study existence of pathwise stochastic integrals with respect to a general class of $n$-dimensional Gaussian processes and a wide class of adapted integrands. More precisely, we study integrands which are functions that…
We introduce the notion of {\em covariance measure structure} for square integrable stochastic processes. We define Wiener integral, we develop a suitable formalism for stochastic calculus of variations and we make Gaussian assumptions only…
We show that if $n$ functionally independent commutative quadratic in momenta integrals for the geodesic flow of a Riemannian or pseudo-Riemannian metric on an $n$-dimensional manifold are simultaneously diagonalisable at the tangent space…
Extending previous work [arXiv:1408.0628] by the first author we present a variant of the Arratia flow, which consists of a collection of coalescing Brownian motions starting from every point of the unit interval. The important new feature…
The constructive martingale representation theorem of functional It\^o calculus is extended, from the space of square integrable martingales, to the space of local martingales. The setting is that of an augmented filtration generated by a…
The article contains description of the functionals from the family of coalescing Brownian particles. New type of the stochastic integral is introduced and used.
We derive representations for finite-dimensional densities of the point processed associated with an Arratia flow with drift in terms of conditional expectations of the stochastic exponentials appearing in the analog of the Girsanov theorem…
The article is devoted to the expansions of iterated Ito stochastic integrals based on generalized multiple Fourier series converging in the sense of norm in the space $L_2([t, T]^k),$ $k\in\mathbb{N}.$ The method of generalized multiple…
Path dependence is omnipresent in many disciplines such as engineering, system theory and finance. It reflects the influence of the past on the future, often expressed through functionals. However, non-Markovian problems are often…
We establish It\^o's formula along flows of probability measures associated with general semimartingales; this generalizes existing results for flows of measures on It\^o processes. Our approach is to first establish It\^o's formula for…
Theorems and explicit examples are used to show how transformations between self-similar sets (general sense) may be continuous almost everywhere with respect to stationary measures on the sets and may be used to carry well known flows and…
The article is devoted to a new proof of the expansion for iterated Ito stochastic integrals with respect to the components of a multidimensional Wiener process. The above expansion is based on Hermite polynomials and generalized multiple…
In this note we extend the main results of [2] and [8], which concern the weak convergence of the $n$-point motions of smooth Harris flows to those of the Arratia flow, to the case when the covariance functions of these Harris flows…
We give a comprehensive account of an analytic approach to spectral flow along paths of self-adjoint Breuer-Fredholm operators in a type $I_{\infty}$ or $II_\infty$ von Neumann algebra ${\mathcal N}$. The framework is that of {\it odd…
Extending It\^o's formula to non-smooth functions is important both in theory and applications. One of the fairly general extensions of the formula, known as Meyer-It\^o, applies to one dimensional semimartingales and convex functions.…
We develop a gradient-flow theory for time-dependent functionals defined in abstract metric spaces. Global well-posedness and asymptotic behavior of solutions are provided. Conditions on functionals and metric spaces allow to consider the…
This paper is devoted to the construction of stochastic flows of measurable mappings in a locally compact separable metric space (M, $\rho$). We propose a new construction that produces strong measurable continuous modifications for certain…
We construct a pathwise calculus for functionals of integer-valued measures and use it to derive an martingale representation formula with respect to a large class of integer-valued random measures. Using these results, we extend the…