相关论文: Ito formula for free stochastic integrals
For a L\'evy process $\xi=(\xi_t)_{t\geq0}$ drifting to $-\infty$, we define the so-called exponential functional as follows \[{\rm{I}}_{\xi}=\int_0^{\infty}e^{\xi_t} dt.\] Under mild conditions on $\xi$, we show that the following…
We prove an interpolation theorem for bounded free holomorphic functions.
The calculation of the decay rate of a metastable state in the path-integral formulation of stochastic processes is revisited. Previous derivations of this rate were achieved at the cost of a step that is difficult to justify…
We consider a multidimensional Ito semimartingale regularly sampled on [0,t] at high frequency $1/\Delta_n$, with $\Delta_n$ going to zero. The goal of this paper is to provide an estimator for the integral over [0,t] of a given function of…
In this work, we derive sufficient and necessary conditions for the existence of a weak and mild solution of an abstract stochastic Cauchy problem driven by an arbitrary cylindrical Levy process. Our approach requires to establish a…
A classification of the ways in which an element of a free group can be expressed as a product of commutators or as a product of squares is given. This is then applied to some particular classes of elements. Finally, a question about…
We find a L\'evy-Khinchin formula for radial functions on free groups. As a corollary we obtain a linear bound on the growth of radial, conditionally negative definite functions on free groups of two or more generators.
We generalize a previous result concerning free martingale polynomials for the stationary free Jacobi process of parameters $\lambda \in ]0.1], \theta = 1/2$. Hopelessly, apart from the case $\lambda = 1$, the polynomials we derive are no…
An integral formula is developed which applies to an essentially arbitrary function. An application is made to the Riemann zeta function.
A Trotter product formula is established for unitary quantum stochastic processes governed by quantum stochastic differential equations with constant bounded coefficients.
In the deterministic realm, both differential equations and symmetry generators are geometrical objects, and behave properly under changes of coordinates; actually this property is essential to make symmetry analysis independent of the…
The method of brackets is an procedure to evaluate definite integrals. It is based on a small number of operational rules. The flexibility of this method is illustrated with the evaluation of an integral involving the Bessel K0 function and…
We show an It\^ o's formula for nondegenerate Brownian martingales $X_t=\int_0^t u_s dW_s$ and functions $F(x,t)$ with locally integrable derivatives in $t$ and $x$. We prove that one can express the additional term in It\^o's s formula as…
We find necessary and sufficient conditions for almost sure finiteness of integral functionals of spectrally positive L\'evy processes. Via Lamperti type transforms, these results can be applied to obtain new integral tests on extinction…
This paper is complete proof of one method for obtaining the generalized Ito-Wentzell formula, its basic idea was announced earlier in a pre-print (arXiv:1309.3038v1). This proof sets the approach which uses the Ito formula and the…
The article is devoted to optimization of the mean-square approximation procedures for iterated Ito stochastic integrals of multiplicities 1 to 5. The mentioned stochastic integrals are part of strong numerical methods with convergence…
We obtain definite integrals for products of associated Legendre functions with Bessel functions, associated Legendre functions, and Chebyshev polynomials of the first kind using orthogonality and integral transforms.
The classical notion of L\'evy process is generalized to one that takes as its values probabilities on a first order model equipped with a commutative semigroup. This is achieved by applying a convolution product on definable probabilities…
We derive an It\^o's-type formula for the one dimensional stochastic heat equation driven by a space-time white noise. The proof is based on elementary properties of the $\mathcal{S}$-transform and on the explicit representation of the…
We consider free multiple stochastic measures in the combinatorial framework of the lattice of all diagonals of an n-dimensional space. In this free case, one can restrict the analysis to only the noncrossing diagonals. We give definitions…