相关论文: Riemann-Skorohod and Stratonovich integrals for Ga…

In this paper we introduce a new fractional integral that generalizes six existing fractional integrals, namely, Riemann-Liouville, Hadamard, Erd\'elyi-Kober, Katugampola, Weyl and Liouville fractional integrals in to one form. Such a…

We give a short proof that the ergodic sums of $\mathcal{C}^1$ observables for a $\mathcal{C}^1$ flow on $\mathbb{T}^2$ admitting a closed transversal curve whose Poincar\'e map has constant type rotation number have growth deviating at…

We consider Neumann problem for linear elliptic equations involving integro-differential operators of Levy-type. We show that suitably defined viscosity solutions have probabilistic representations given in terms of the reflected stochastic…

In this paper, we study the $\frac{1}{H}$-variation of stochastic divergence integrals $X_t = \int_0^t u_s {\delta}B_s$ with respect to a fractional Brownian motion $B$ with Hurst parameter $H < \frac{1}{2}$. Under suitable assumptions on…

One constructs new operations of pull-back and push-forward on valuations on manifolds with respect to submersions and immersions. A general Radon type transform on valuations is introduced using these operations and the product on…

The article is devoted to the expansion of iterated Stratonovich stochastic integrals of second multiplicity into the double series of products of standard Gaussian random variables. The proof of expansion is based on the application of…

Standard sparse pseudo-input approximations to the Gaussian process (GP) cannot handle complex functions well. Sparse spectrum alternatives attempt to answer this but are known to over-fit. We suggest the use of variational inference for…

The main purpose of this paper is to derive the closed form solution the sequence $(g_n)_{n\in \mathbb{N}}$ of integro-difference equations that is defined recursively as follows: \begin{align*} g_1(x) & = \chi_{(-1/2, 1/2)} (x), g_{n+1}(x)…

Let $I_{s,k,r}(X)$ denote the number of integral solutions of the modified Vinogradov system of equations $$x_1^j+\ldots +x_s^j=y_1^j+\ldots +y_s^j\quad (\text{$1\le j\le k$, $j\ne r$}),$$ with $1\le x_i,y_i\le X$ $(1\le i\le s)$. By…

The paper deals with some properties of set-valued functions having a bounded Riesz p-variation. Set-valued integrals of a Young type for such multifunctions are introduced. Selection results and properties of such setvalued integrals are…

Using the Feynman-Kac and Cameron-Martin-Girsanov formulas, we obtain a generalized integral fluctuation theorem (GIFT) for discrete jump processes by constructing a time-invariable inner product. The existing discrete IFTs can be derived…

We introduce a reversible Markovian coagulation-fragmentation process on the set of partitions of $\{1,\ldots,L\}$ into disjoint intervals. Each interval can either split or merge with one of its two neighbors. The invariant measure can be…

We present a class of algorithms based on rational Krylov methods to compute the action of a generalized matrix function on a vector. These algorithms incorporate existing methods based on the Golub-Kahan bidiagonalization as a special…

We study the short-time asymptotical behavior of stochastic flows on \mathbb{R} in the \sup-norm. The results are stated in terms of a Gaussian process associated with the covariation of the flow. In case the Gaussian process has a…

This paper first summarizes the foundations of stochastic calculus via regularization and constructs through this procedure It\^o and Stratonovich integrals. In the second part, a survey and new results are presented in relation with finite…

A distributional equation as a criterion for invariant measures of Markov processes associated to L\'evy-type operators is established. This is obtained via a characterization of infinitesimally invariant measures of the associated…

We construct explicit jointly invariant measures for the periodic KPZ equation (and therefore also the stochastic Burgers' and stochastic heat equations) for general slope parameters and prove their uniqueness via a one force--one solution…

Asymptotic expansion of the distribution of a perturbation $Z_n$ of a Skorohod integral jointly with a reference variable $X_n$ is derived. We introduce a second-order interpolation formula in frequency domain to expand a characteristic…

For rescaled additive functionals of the sine-process, upper bounds are obtained for their speed of convergence to the Gaussian distribution with respect to the Kolmogorov-Smirnov metric. Under scaling with coefficient $R$ the…

In this paper we study the numerical quadrature of a stochastic integral, where the temporal regularity of the integrand is measured in the fractional Sobolev-Slobodeckij norm in $W^{\sigma,p}(0,T)$, $\sigma \in (0,2)$, $p \in [2,\infty)$.…