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Stochastic integral of Hitsuda–Skorokhod type on the extended Fock space
Ukrainian Mathematical Journal, 2009We review some recent results related to stochastic integrals of the Hitsuda–Skorokhod type acting on the extended Fock space and its riggings.
N. A. Kachanovsky, V. A. Tesko
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Extended Thorin classes and stochastic integrals
Lithuanian Mathematical Journal, 2007Extended Thorin classes T ϰ (R d ), ϰ > 0, of infinitely divisible probability laws on R d are defined and analytically characterized in [6]. Using general results from [8] and [9], in this paper, we derive a stochastic integral representation of these classes.
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On Solutions of Integral Equations with an Extended Stochastic Integral
Theory of Probability & Its Applications, 1996The article is devoted to the integral equations of the second kind with the extended (Skorokhod) stochastic integral. It is proved, that in some cases the generalized solution in the Hida sense can be considered as a usual random process without finite second moment.
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Itô Formula for an Extended Stochastic Integral with Nonanticipating Kernel
Theory of Probability & Its Applications, 1995Soit \(\Omega = C_0 ([0,1])\), \(P\) la mesure de Wiener et \(\mathfrak F\) la tribu des boréliens de \(\Omega\) complétée pour \(P\), \((W_t)_{t \in [0,1]}\) un mouvement brownien réel standard. Si \(F \in \mathbb{L}^2 (\Omega)\), on peut développer \(F\) en série d'intégrales itérées \(F = \sum^\infty_{k = 0} I_k (f_k)\).
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On a certain property of paths of extended stochastic integrals
Siberian Mathematical Journal, 1993The Skorokhod construction for an extended stochastic integral and derivative by using the multiple Itô integration is generalized to random variables and processes with infinite second moment. The standard result about the squared variation of Itô stochastic integrals is modified for this generalization.
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International Journal of Robust and Nonlinear Control, 2019
SummaryThis paper investigates the issues of stochastic stability and extended dissipativity analysis for uncertain neutral systems with semi‐Markovian jumping parameters. A new criterion about the stochastic stability and extended dissipativity of uncertain neutral systems with semi‐Markovian jumping parameters is obtained based on the new Lyapunov ...
Tao Wu +3 more
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SummaryThis paper investigates the issues of stochastic stability and extended dissipativity analysis for uncertain neutral systems with semi‐Markovian jumping parameters. A new criterion about the stochastic stability and extended dissipativity of uncertain neutral systems with semi‐Markovian jumping parameters is obtained based on the new Lyapunov ...
Tao Wu +3 more
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An extended stochastic integral for non-Gaussian measures in locally convex spaces
Russian Mathematical Surveys, 1986The logarithmic derivative of a measure along a vector (operator) field in a locally convex space is defined. The class of measures with square- integrable logarithmic derivative is described. The formula of Gauss- Ostrogradskij and the theorem of the image measure differentiability are formulated.
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2016
Whereas Multi-Agent Based Simulation MABS is emerging as a reference approach for complex system simulation, the event-driven approach of Discrete-Event Simulation DES is the most used approach in the simulation mainstream. In this paper we elaborate on two intuitions: i event-based systems and multi-agent systems are amenable of a coherent ...
MONTAGNA, SARA +2 more
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Whereas Multi-Agent Based Simulation MABS is emerging as a reference approach for complex system simulation, the event-driven approach of Discrete-Event Simulation DES is the most used approach in the simulation mainstream. In this paper we elaborate on two intuitions: i event-based systems and multi-agent systems are amenable of a coherent ...
MONTAGNA, SARA +2 more
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Infinite Dimensional Analysis, Quantum Probability and Related Topics, 2008
Using a general approach that covers the cases of Gaussian, Poissonian, Gamma, Pascal and Meixner measures, we consider an extended stochastic integral and construct elements of a Wick calculus on parametrized Kondratiev-type spaces of generalized functions; consider the interconnection between the extended stochastic integration and the Wick calculus;
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Using a general approach that covers the cases of Gaussian, Poissonian, Gamma, Pascal and Meixner measures, we consider an extended stochastic integral and construct elements of a Wick calculus on parametrized Kondratiev-type spaces of generalized functions; consider the interconnection between the extended stochastic integration and the Wick calculus;
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1990
An integral expansion is obtained which reduces under explicitly given conditions to the density gradient expansion for the number density p(r,t) of stochastic particles. Explicit coefficients in terms of moments are calculated up to and including the fourth order, corresponding to the super- Burnett approximation.
G. Cavalleri, G. Mauri
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An integral expansion is obtained which reduces under explicitly given conditions to the density gradient expansion for the number density p(r,t) of stochastic particles. Explicit coefficients in terms of moments are calculated up to and including the fourth order, corresponding to the super- Burnett approximation.
G. Cavalleri, G. Mauri
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