相关论文: A chaotic representation property of the multidime…
This paper contributes to the study of relative martingales. Specifically, for a closed random set $H$, they are processes null on $H$ which decompose as $M=m+v$, where $m$ is a c\`adl\`ag uniformly integrable martingale and, $v$ is a…
Suppose that $X_1, \ldots , X_n$ are continuous semimartingales that are reversible and have nondegenerate crossings. Then the corresponding rank processes can be represented by generalized Stratonovich integrals, and this representation…
The paper discusses a family of Markov processes that represent many particle systems, and their limiting behaviour when the number of particles go to infinity. The first part concerns model of biological systems: a model for sympatric…
The aim of this paper is to study some continuous-time bivariate Markov processes arising from group representation theory. The first component (level) can be either discrete (quasi-birth-and-death processes) or continuous (switching…
In the present paper, we study the chaotic representation property for certain families of square integrable martingales. For this purpose, we introduce the notion of compensated-covariation stability of such families. The chaotic…
We introduce a variational theory for processes adapted to the multi-dimensional Brownian motion filtration. The theory provides a differential structure which describes the infinitesimal evolution of Wiener functionals at very small…
We study the local regularity and multifractal nature of the sample paths of jump diffusion processes, which are solutions to a class of stochastic differential equations with jumps. This article extends the recent work of Barral {\it et…
We treat the class of universal Markov processes on the d-dimensional Euklidean space which do not depend on random. For these, as well as for several subclasses, we prove criteria whether a function f, defined on the positive half-line,…
For a class of stochastic differential equations with reflection for which a certain ${\mathbb{L}}^p$ continuity condition holds with $p>1$, it is shown that any weak solution that is a strong Markov process can be decomposed into the sum…
We construct a family of non-Gaussian martingales the marginals of which are all Gaussian. We give the predictable quadratic variation of these processes and show they do not have continuous paths. These processes are Markovian and…
In the development of stochastic integration and the theory of semimartingales, Markov processes have been a constant source of inspiration. Despite this historical interweaving, it turned out that semimartingales should be considered the…
A novel and efficient algorithm based on the Wiener chaos expansion is proposed for the stochastic Maxwell equations driven by Wiener process. The proposed algorithm can reduce the original stochastic system to the deterministic case and…
This paper is devoted the the study of the mean field limit for many-particle systems undergoing jump, drift or diffusion processes, as well as combinations of them. The main results are quantitative estimates on the decay of fluctuations…
In this paper, we introduce the notion of Bi-entangled hidden Markov processes. These are hidden quantum processes where the hidden processes themselves exhibit entangled Markov process, and the observable processes also exhibit…
A characterization of mixed Poisson processes in terms of disintegrations is proven. As a consequence some further characterizations of such processes via claim interarrival processes, martingales and claim measures are obtained. Some…
Dunkl processes are generalizations of Brownian motion obtained by using the differential-difference operators known as Dunkl operators as a replacement of spatial partial derivatives in the heat equation. Special cases of these processes…
We establish the existence of weak martingale solutions to a class of second order parabolic stochastic partial differential equations. The equations are driven by multiplicative jump type noise, with a non-Lipschitz multiplicative…
Stochastic processes are shown to emerge from the time evolution of complex quantum systems. Using parametric, banded random matrix ensembles to describe a quantum chaotic environment, we show that the dynamical evolution of a particle…
This paper presents a general approach to linear stochastic processes driven by various random noises. Mathematically, such processes are described by linear stochastic differential equations of arbitrary order (the simplest non-trivial…
From the point of view of stochastic analysis the Caputo and Riemann-Liouville derivatives of order $\al \in (0,2)$ can be viewed as (regularized) generators of stable L\'evy motions interrupted on crossing a boundary. This interpretation…