Results 1 to 10 of about 1,064 (85)
Clark-Ocone type formulas in the Meixner white noise analysis
Karpatsʹkì Matematičnì Publìkacìï, 2013 In the classical Gaussian analysis the Clark-Ocone formula allows to reconstruct an integrand if we know the Ito stochastic integral. This formula can be written in the form$$F=\mathbf EF+\int\mathbf E\big\{\partial_t F|_{\mathcal F_t}\big\}dW_t,$$where ...
N. A. Kachanovsky
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Karpatsʹkì Matematičnì Publìkacìï, 2014 The operators of stochastic differentiation, which are closely related with the extended Skorohod stochastic integral and with the Hida stochastic derivative, play an important role in the classical (Gaussian) white noise analysis.
M.M. Dyriv, N.A. Kachanovsky
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Karpatsʹkì Matematičnì Publìkacìï, 2016 The operators of stochastic differentiation, which are closely related with the extended Skorohod stochastic integral and with the Hida stochastic derivative, play an important role in the classical (Gaussian) white noise analysis.
N.A. Kachanovsky
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On extended stochastic integrals with respect to Lévy processes
Karpatsʹkì Matematičnì Publìkacìï, 2013 Let $L$ be a Levy process on $[0,+\infty)$. In particular cases, when $L$ is a Wiener or Poisson process, any square integrable random variable can be decomposed in a series of repeated stochastic integrals from nonrandom functions with respect to $L ...
N.A. Kachanovsky
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Stochastic Differential Games in a Non-Markovian Setting [PDF]
, 2005 Stochastic differential games are considered in a non-Markovian setting. Typically, in stochastic differential games the modulating process of the diffusion equation describing the state flow is taken to be Markovian.
Bayraktar, Erhan, Poor, H. Vincent
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A Donsker delta functional approach to optimal insider control and applications to finance [PDF]
, 2015 We study \emph{optimal insider control problems}, i.e. optimal control problems of stochastic systems where the controller at any time $t$ in addition to knowledge about the history of the system up to this time, also has additional information related ...
Draouil, Olfa, Øksendal, Bernt
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Stochastic Analysis of Gaussian Processes via Fredholm Representation [PDF]
, 2016 We show that every separable Gaussian process with integrable variance function admits a Fredholm representation with respect to a Brownian motion. We extend the Fredholm representation to a transfer principle and develop stochastic analysis by using it.
Sottinen, Tommi, Viitasaari, Lauri
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Fractional Hida Malliavin Derivatives and Series Representations of Fractional Conditional Expectations [PDF]
, 2015 We represent fractional conditional expectations of a functional of fractional Brownian motion as a convergent series in L^2 space. When the target random variable is some function of a discrete trajectory of fractional Brownian motion, we obtain a ...
Jin, Sixian +2 more
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Hochschild Cohomology Theories in White Noise Analysis [PDF]
, 2008 We show that the continuous Hochschild cohomology and the differential Hochschild cohomology of the Hida test algebra endowed with the normalized Wick product are the same.Comment: This is a contribution to the Special Issue on Deformation Quantization,
Léandre, Rémi
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On the equivalence of probability spaces [PDF]
, 2016 For a general class of Gaussian processes $W$, indexed by a sigma-algebra $\mathscr F$ of a general measure space $(M,\mathscr F, \sigma)$, we give necessary and sufficient conditions for the validity of a quadratic variation representation for such ...
Alpay, Daniel +2 more
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