相关论文: A Stochastic Heisenberg Inequality

In this paper we introduce a variant of Burkholder's martingale transform associated with two martingales with respect to different filtrations. Even though the classical martingale techniques cannot be applied, we show that the discussed…

We introduce a stochastic fractional calculus. As an application, we present a stochastic fractional calculus of variations, which generalizes the fractional calculus of variations to stochastic processes. A stochastic fractional…

An estimation method is proposed for a wide variety of discrete time stochastic processes that have an intractable likelihood function but are otherwise conveniently specified by an integral transform such as the characteristic function,…

We introduce a Bernstein-type inequality which serves to uniformly control quadratic forms of gaussian variables. The latter can for example be used to derive sharp model selection criteria for linear estimation in linear regression and…

In this paper, we introduce the notion of quaternion shearlet transform- which is an extension of the ordinary shearlet transform. Firstly, we study the fundamental properties of quaternion shearlet transforms and then establish some basic…

In this paper, we introduce the notion of Quaternion Linear Canonical Stockwell Transform which is an extension of the Linear Canonical Transform. We establish some inequalities like Heisenberg's Inequality and logarithmic inequality for…

We provide a nonparametric method for the computation of instantaneous multivariate volatility for continuous semi-martingales, which is based on Fourier analysis. The co-volatility is reconstructed as a stochastic function of time by…

In this article, we introduce the notion of stochastic symmetry of a differential equation. It consists in a stochastic flow that acts over a solution of a differential equation and produces another solution of the same equation. In the…

We consider a Markov process $X$ associated to a nonnecessarily symmetric Dirichlet form $\mathcal{E}$. We define a stochastic integral with respect to a class of additive functionals of zero quadratic variation and then we obtain an…

We develop a stochastic calculus that makes it easy to capture a variety of predictable transformations of semimartingales such as changes of variables, stochastic integrals, and their compositions. The framework offers a unified treatment…

In this paper, we provide the Heisenberg's inequality and the Hardy's theorem for the two-sided quaternion Fourier transform.

We introduce a transform on the class of stochastic exponentials for d-dimensional Brownian motions. Each stochastic exponential generates another stochastic exponential under the transform. The new exponential process is often merely a…

In this paper we define a new type of quadratic variation for cylindrical continuous local martingales on an infinite dimensional spaces. It is shown that a large class of cylindrical continuous local martingales has such a quadratic…

At the recent QSCP XIX, the author claimed a procedure of using a scaled Fourier transform (the scaling being determined by the detailed interaction and particle mass for a harmonic oscillator) to achieve simultaneous resolution of position…

A stochastic calculus is given for processes described by stochastic integrals with respect to fractional Brownian motions and Rosenblatt processes somewhat analogous to the stochastic calculus for It\^{o} processes. These processes for…

This report investigates the main definitions and fundamental properties of the fractional two-sided quaternionic Dunkl transform in two dimensions. We present key results concerning its structure and emphasize its connections to classical…

We propose a transfer principle to study the adapted 2-Wasserstein distance between stochastic processes. First, we obtain an explicit formula for the distance between real-valued mean-square continuous Gaussian processes by introducing the…

We construct a pathwise calculus for functionals of integer-valued measures and use it to derive an martingale representation formula with respect to a large class of integer-valued random measures. Using these results, we extend the…

Dzhaparidze and Spreij [5] showed that the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same approximation is valid for a special class of continuous stochastic processes. This…

We define a scalar valued Fourier transform for functions on the Heisenberg group and establish some of its basic properties like inversion formula, Plancherel theorem and Riemann-Lebesgue lemma. We also restate certain well known theorems…