相关论文: On Riemann-Liouville type operators, BMO, gradient…

Pricing of the lookback options using the Clark-Ocone formula for the underlying assets driven by stochastic L\'evy processes requires computing the Malliavin derivatives of their maximum or minimum on the Wiener-Poisson space and their…

We introduce a framework for studying pathwise time regularity and numerical approximation of $L^0$-valued stochastic evolution equations. At the core of our framework are two Burkholder--Davis--Gundy type inequalities accommodating It\^o…

In this paper we study the existence of a unique solution for linear stochastic differential equations driven by a L\'evy process, where the initial condition and the coefficients are random and not necessarily adapted to the underlying…

We consider non-local Ornstein-Uhlenbeck (OU) operators that correspond to Ornstein-Uhlenbeck processes driven by L\'evy processes. These are ergodic Markov processes and the OU operator is in general non-normal in the $L^2$ space weighted…

In this note we derive large-scale regularity properties of solutions to second-order linear elliptic equations with random coefficients on the half- space with homogeneous Neumann boundary data; it is a companion to arXiv:1604.02717 in…

We connect boundary conditions for one-sided pseudo-differential operators with the generators of modified one-sided L\'evy processes. On one hand this allows modellers to use appropriate boundary conditions with confidence when restricting…

For addressing optimisation tasks on finite dimensional quantum systems, we give a comprehensive account of the foundations of gradient flows on Riemannian manifolds including new developments: we extend former results from Lie groups such…

We connect boundary conditions for one-sided pseudo-differential operators with the generators of modified one-sided L\'evy processes. On one hand this allows modellers to use appropriate boundary conditions with confidence when restricting…

The paper studies a class of Ornstein-Uhlenbeck processes on the classical Wiener space. These processes are associated with a diffusion type Dirichlet form whose corresponding diffusion operator is unbounded in the Cameron-Martin space. It…

In this paper, we consider function-indexed normalized weighted integrated periodograms for equidistantly sampled multivariate continuous-time state space models which are multivariate continuous-time ARMA processes. Thereby, the sampling…

Approximation theory is a substantial field of mathematical analysis that emerged in the 19th century and has been developed by mathematicians across the globe ever since. Its importance has increased over time, as it provides solutions to…

For the approximation and simulation of twofold iterated stochastic integrals and the corresponding L\'{e}vy areas w.r.t. a multi-dimensional Wiener process, we review four algorithms based on a Fourier series approach. Especially, the very…

Criteria for the fulfillment of inequalities in weighted smoothness function spaces of Besov type with Riemann-Liouville operators of natural orders on the real axis and semi-axes are found. The obtained estimates are refined under…

We consider a method for the approximation of iterated stochastic integrals of arbitrary multiplicity $k$ $(k\in \mathbb{N})$ with respect to the infinite-dimensional $Q$-Wiener process using the mean-square approximation method of iterated…

In this paper, we study the Cauchy problem for backward stochastic partial differential equations (BSPDEs) involving fractional Laplacian operator. Firstly, by employing the martingale representation theorem and the fractional heat kernel,…

This paper aims to provide a consistent, finite-valued, and mathematically well-defined reformulation of the Feynman path-integral measure for quantum fields obtained by studying the Wiener stochastic process in the infinite-dimensional…

In this paper, we introduce the notion of generalized $\epsilon$-stationarity for a class of nonconvex and nonsmooth composite minimization problems on compact Riemannian submanifold embedded in Euclidean space. To find a generalized…

Let $X$ be a separable Hilbert space endowed with a non-degenerate centred Gaussian measure $\gamma$ and let $\lambda_1$ be the maximum eigenvalue of the covariance operator associated with $\gamma$. The associated Cameron--Martin space is…

This paper studies the numerical approximation for McKean-Vlasov stochastic differential equations driven by L\'evy processes. We propose a tamed-adaptive Euler-Maruyama scheme and consider its strong convergence in both finite and infinite…

In this paper we study the domain of stable processes, stable-like processes and more general pseudo- and integro-differential operators which naturally arise both in analysis and as infinitesimal generators of L\'evy- and L\'evy-type…