相关论文: Quaternionic stochastic areas
In this paper, a class of statistics based on high frequency observations of oscillating and skew Brownian motion is considered. Their convergence rate towards the local time of the underlying process is obtained in form of a functional…
Fractional Brownian motion belongs to a class of long memory Gaussian processes that can be represented as linear functionals of an infinite dimensional Markov process. This representation leads naturally to: - An efficient algorithm to…
This paper studies the first hitting times of generalized Poisson processes $N^f(t)$, related to Bernstein functions $f$. For the space-fractional Poisson processes, $N^\alpha(t)$, $t>0$ (corresponding to $f= x^\alpha$), the hitting…
We demonstrate two examples of stochastic processes whose lifts to geometric rough paths require a renormalisation procedure to obtain convergence in rough path topologies. Our first example involves a physical Brownian motion subject to a…
The goal of this paper is to establish a relation between characteristic polynomials of $N\times N$ GUE random matrices $\mathcal{H}$ as $N\to\infty$, and Gaussian processes with logarithmic correlations. We introduce a regularized version…
Several sets of quaternionic functions are described and studied with respect to hyperholomorphy, addition and (non commutative) multiplication, on open sets of $\mathbb H$. The aim is to get a local function theory.
This paper introduces a quaternionic analogue of toric geometry by developing the theory of local $Q^n := Sp(1)^n$-actions on 4n-dimensional manifolds, modeled on the regular representation. We identify obstructions that measure the failure…
Brownian motion is the only random process which is Gaussian, stationary and Markovian. Dropping the Markovian property, i.e. allowing for memory, one obtains a class of processes called fractional Brownian motion, indexed by the Hurst…
This article offers sharp spatial and temporal mean-square regularity results for a class of semi-linear parabolic stochastic partial differential equations (SPDEs) driven by infinite dimensional fractional Brownian motion with the Hurst…
Approximations of fractional Brownian motion using Poisson processes whose parameter sets have the same dimensions as the approximated processes have been studied in the literature. In this paper, a special approximation to the…
The present article is devoted to a fine study of the convergence of renormalized weighted quadratic and cubic variations of a fractional Brownian motion $B$ with Hurst index $H$. In the quadratic (resp. cubic) case, when $H<1/4$ (resp.…
This note is devoted to show how to push forward the algebraic integration setting in order to treat differential systems driven by a noisy input with H\"older regularity greater than 1/4. After recalling how to treat the case of ordinary…
We investigate the Local Asymptotic Property for fractional Brownian models based on discrete observations contaminated by a Gaussian moving average process. We consider both situations of low and high-frequency observations in a unified…
We investigate a system of Brownian particles weakly bound by attractive parity-symmetric potentials that grow at large distances as $V(x) \sim |x|^\alpha$, with $0 < \alpha < 1$. The probability density function $P(x,t)$ at long times…
In this paper, we will evaluate integrals that define the conditional expectation, variance and characteristic function of stochastic processes with respect to fractional Brownian motion (fBm) for all relevant Hurst indices, i.e. $H \in…
Quadratic Hamiltonians are important in quantum field theory and quantum statistical mechanics. Their general studies, which go back to the sixties, are relatively incomplete for the fermionic case studied here. Following Berezin, they are…
We study the large-time behaviour of Brownian particles moving through a viscous medium in a confined potential, and which are further subjected to position-dependent driving forces that are periodic in time. We focus on the case where…
We consider a Brownian particle in a harmonic trap. The location of the trap is modulated according to an Ornstein-Uhlenbeck process. We investigate the fluctuation of the work done by the modulated trap on the Brownian particle in a given…
Denote by $Sp(k,l)$ the quaternionic symplectic group of signature $(k,l)$. We study the deformation rigidity of the embedding $Sp(k,l) \times Sp(1) \hookrightarrow H$, where $H$ is either $Sp(k+1,l)$ or $Sp(k,l+1)$, this is done by…
We study a rough differential equation driven by fractional Brownian motion with Hurst parameter $H$ $(1/4<H \le 1/2)$. Under H\"ormander's condition on the coefficient vector fields, the solution has a smooth density for each fixed time.…