相关论文: A Generalized It$\hat {\rm o}$'s Formula in Two-Di…

One-dimensional and two-dimensional integrals containing $E_b(-u)$ and $E_{\alpha ,\beta }\left(\delta x^{\gamma }\right)$ are considered. $E_b(-u)$ is the Mittag-Leffler function and the integral is taken over the rectangle $0 \leq x <…

We define an integral, the distributional integral of functions of one real variable, that is more general than the Lebesgue and the Denjoy-Perron-Henstock-Kurzweil integrals, and which allows the integration of functions with…

Three concepts of local times for deterministic c{\`a}dl{\`a}g paths are developed and the corresponding pathwise Tanaka--Meyer formulae are provided. For semimartingales, it is shown that their sample paths a.s. satisfy all three pathwise…

We show that Hashimoto transformation is applicable to the one dimensional stochastic Landau-Lifshitz-Gilbert (LLG) equation and transforms it to the stochastic generalized heat equation with nonlocal (in space) interaction.

Given a reference filtration $\mathbb{F}$, we develop in this work a generic method for computing the semimartingale decomposition of $\mathbb{F}$-martingales in some specific enlargements of $\mathbb{F}$. This method is then applied to the…

Based on an extension of the martingale comparison method some comparison results for path-dependent functions of semimartingales are established. The proof makes essential use of the functional It\^o calculus. A main tool is an extension…

We prove a rough It\^o formula for path-dependent functionals of $\alpha$-H\"older continuous paths for $\alpha\in(0,1)$. Our approach combines the sewing lemma and a Taylor approximation in terms of path-dependent derivatives.

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 solve the gl(1|2) generalized model by means of the algebraic Bethe ansatz. The resulting eigenvalue of the transfer matrix and the Bethe ansatz equations depend on three complex functions, called the parameters of the generalized model.…

Here, we study both analytically and numerically, an integral $Z(\sigma,r)$ related to the mean value of a generalized moment of Riemann's zeta function. Analytically, we predict finite, but discontinuous values and verify the prediction…

In this paper, we apply the saddle-point method in conjunction with the theory of the N$\ddot{o}$rlund-Rice integrals to derive a precise asymptotic formula for the generalized Li coefficients established by Omar and Mazhouda. Actually, for…

The time-ordered exponential of a time-dependent matrix $\mathsf{A}(t)$ is defined as the function of $\mathsf{A}(t)$ that solves the first-order system of coupled linear differential equations with non-constant coefficients encoded in…

We consider two approaches for obtain of the generalized Ito-Wentzell formula: the first way uses the generalized Ito's formula; the second one is based on a concept of kernel functions for integral invariants.

In this paper, we establish the It\^o-Wentzell-Lions formulae for flows of both full and conditional measures on general semimartingales. This generalizes the existing works on flows of measures on It\^o processes. The key technical…

We propose a method to construct the stochastic integral simultaneously under a non-dominated family of probability measures. Path-by-path, and without referring to a probability measure, we construct a sequence of Lebesgue-Stieltjes…

We consider a 2D stochastic modified Swift-Hohenberg equations with multiplicative noise and periodic boundary. First, we establish the existence of local and global martingale and pathwise solutions in the regular Sobolev space $H^{2m}$…

The present paper is an extension of Fadle-Touzi (2024). Following the same methodology, merely based on Taylor expansions, we establish the It\^o and It\^o-Wentzell formulae for flows of conditional distributions of general…

Consider the solution of the free time-dependent Schr\"odinger equation with initial data f. It is shown by Sj\"ogren and Sj\"olin (1989) that there exists f in the Sobolev space H^s(R^d), s=d/2 such that tangential convergence can not be…

In this paper, algorithms are developed for computing the Stirling transform and the inverse Stirling transform; specifically, we investigate a class of sequences satisfying a two-term recurrence. We derive a general identity which…

The explicit integrability of second order ordinary differential equations invariant under time-translation and rescaling is investigated. Quadratic systems generated from the linearisable version of this class of equations are analysed to…