相关论文: Ito formula for free stochastic integrals
Generalized product formulas and index transforms, involving products of Whittaker's functions of different indices are established and investigated. The corresponding inversion formulas are found. Particular cases cover index transforms…
We prove change of variables formulas [It\^o formulas] for functions of both arithmetic and geometric averages of geometric fractional Brownian motion. They are valid for all convex functions, not only for smooth ones. These change of…
We show how the integral formula of Poisson for holomorphic functions on the right half plane can be used to quickly evaluate certain integrals from the Table of Gradshteyn and Ryzhik. In addition, we prove a version of this formula for…
We find approximate solutions of partial integro-differential equations, which arise in financial models when defaultable assets are described by general scalar L\'evy-type stochastic processes. We derive rigorous error bounds for the…
The problem of the Taylor-Ito and Taylor-Stratonovich expansions of the Ito stochastic processes in a neighborhood of a fixed moment of time is considered. The classical forms of the Taylor-Ito and Taylor-Stratonovich expansions are…
In this work, we present a comprehensive theory of stochastic integration with respect to arbitrary cylindrical L\'evy processes in Hilbert spaces. Since cylindrical L\'evy processes do not enjoy a semi-martingale decomposition, our…
We use the theory of regularity structures to develop an It\^o formula for $u$, the solution of the one dimensional stochastic heat equation driven by space-time white noise with periodic boundary conditions. In particular for any smooth…
We study the invariance of stochastic differential equations under random diffeomorphisms, and establish the determining equations for random Lie-point symmetries of stochastic differential equations, both in Ito and in Stratonovich form.…
For non-anticipative functionals, differentiable in Chitashvili's sense, the It\^o formula for cadlag semimartingales is proved. Relations between different notions of functional derivatives are established.
Various recent results on quantum L\'evy processes are presented. The first part provides an introduction to the theory of L\'evy processes on involutive bialgebras. The notion of independence used for these processes is tensor…
In this work we introduce a theory of stochastic integration for operator-valued integrands with respect to some classes of cylindrical martingale-valued measures in Hilbert spaces. The integral is constructed via the radonification of…
In this paper we established the condition for a curve to satisfy stochas- tic fractional HP (Hamilton-Pontryagin) equations. These equations are described using It^o integral. We have also considered the case of stochastic fractional…
We consider the Hodge filtration on the sheaf of meromorphic functions along free divisors for which the logarithmic comparison theorem holds. We describe the Hodge filtration steps as submodules of the order filtration on a cyclic…
We study the local (in time) expansion of a continuous-time process and its conditional moments, including the process' characteristic function. The expansions are conducted by using the properties of the (time-extended) Ito signature, a…
We develop the integral calculus for quasi-standard smooth functions defined on the ring of Fermat reals. The approach is by proving the existence and uniqueness of primitives. Besides the classical integral formulas, we show the…
We discuss stochastic derivations, stochastic Hamiltonians and the flows that they generate, algebraic fluctuaion-dissipation theorems, etc., in a language common to both classical and quantum algebras. It is convenient to define distinct…
The product formula for evaluating products of skew polynomials is used to construct a class of rings. As an application, we present a method of evaluating quotients of skew polynomials.
We investigate Bochner integrabilities of generalized Wiener functionals. We further formulate an It\^o formula for a diffusion in a distributional setting, and apply to investigate differentiability-index $s$ and integrability-index $p…
The paper is discussing infinite divisibility in the setting of operator-valued boolean, free and, more general, c-free independences. Particularly, using Hilbert bimodules and non-commutative functions techniques, we obtain analogues of…
An index transform, involving the square of Whittaker's function is introduced and investigated. The corresponding inversion formula is established. Particular cases cover index transforms of the Lebedev type with products of the modified…