Existence for stochastic sweeping process with fractional Brownian motion [PDF]
, 2022 This paper is devoted to the study of a convex stochastic sweeping process with fractional Brownian by time delay. The approach is based on discretizing stochastic functional differential inclusions.
BENMANSOUR, Safia +2 more
core +1 more source
Existence and topological structure of solution sets for φ-Laplacian impulsive stochastic differential systems [PDF]
, 2018 In this article, we present results on the existence and the topological structure of the solution set for initial-value problems relating to the first-order impulsive differential equation with infinite Brownian motions are proved. The approach is based
FERHAT, Mohamed, BLOUHI, Tayeb
core +1 more source
A family of integral representations for the brownian variables [PDF]
, 2003 . – The natural filtration of a real Brownian motion and its excursion filtration are sharing a fundamental property: the property of integral representation. As a consequence, every Brownian variable admits two distinct integral representations. We show
Eisenbaum, Nathalie +3 more
core +1 more source
The efficient hedging problem for American options
, 2011 American options, Convex risk functionals, Fatou convergence, Worst stopping, Expected shortfall, 91B28, 90C39, 60H05, G13, G11,
MULINACCI, SABRINA, Sabrina Mulinacci
core +1 more source
An extension of the stochastic sewing lemma and applications to fractional stochastic calculus
Forum of Mathematics, SigmaWe give an extension of Lê’s stochastic sewing lemma. The stochastic sewing lemma proves convergence in $L_m$ of Riemann type sums $\sum _{[s,t] \in \pi } A_{s,t}$ for an adapted two-parameter stochastic process A, under certain conditions ...
Toyomu Matsuda, Nicolas Perkowski
doaj +1 more source
Behavior with respect to the Hurst index of the Wiener Hermite integrals and application to SPDEs
, 2019 International audienceWe consider the Wiener integral with respect to a d-parameter Hermite process with Hurst multi-index H = (H 1 , .., H d) ∈ 1 2 , 1 d and we analyze the limit behavior in distribution of this object when the components of H tend to 1
Tudor, Ciprian A., Slaoui, Meryem
core +1 more source
Multiple G-Stratonovich integral in G-expectation space
Open MathematicsThe Stratonovich integral represents a fundamental concept in stochastic calculus. In this article, we first propose a novel approach inspired by the multidimensional G-Itô formula, establishing a multiple G-Stratonovich integral within the G-expectation
Fei Shaojin
doaj +1 more source
On the weak convergence of multiparameter stochastic integrals
Open MathematicsIn this paper we provide sufficient conditions for sequences of stochastic processes of the form ∫ [0,t] f n(u)θ n(u)du, to weakly converge, in the space of continuous functions over a closed interval, to integrals with respect to the Brownian motion, ∫ [
Bardina Xavier, Boukfal Salim
doaj +1 more source
Probability structure preserving and absolute continuity [PDF]
, 2002 . – The concept of probability structure preserving mapping is introduced. The idea is applied to define stochastic integral for fractional Brownian motion (fBm) and to obtain an anticipative Girsanov theorem for fBm.
Hu, Yaozhong, Yaozhong Hu
core
Multiple stochastic integral expansions of arbitrary Poisson jump times functionals
, 1999 We compute the Wiener-Poisson expansion of square-integrable functionals of a finite number of Poisson jump times in series of multiple Poisson stochastic integrals. Key words: Fock space, Poisson process, Wiener chaos.
Nicolas Privault
core +1 more source