Fractional Brownian motion (fBm) is a centered self-similar Gaussian process with stationary increments, which depends on a parameter $H\in (0,1)$ called the Hurst index. In this conference we will survey some recent advances in the stochastic calculus with respect to fBm. In the particular case $H=1/2$, the process is an ordinary Brownian motion, but otherwise it is not a semimartingale and Itô calculus cannot be used. Different approaches have been introduced to construct stochastic integrals with respect to fBm:...

This work is concerned with the study of stochastic processes which are continuous in probability, over various parameter spaces, from the point of view of approximation and extension. A stochastic version of the classical theorem of Mergelyan on polynomial approximation is shown to be valid for subsets of the plane whose boundaries are sets of rational approximation. In a similar vein, one can obtain a version in the context of continuity in probability of the theorem of Arakelyan on the uniform...

The paper solves the problem of minimization of the Kullback divergence between a partially known and a completely known probability distribution. It considers two probability distributions of a random vector $(u_1,x_1,...,u_T,x_T)$ on a sample space of $2T$ dimensions. One of the distributions is known, the other is known only partially. Namely, only the conditional probability distributions of $x_{\tau }$ given $u_1,x_1,...,u_{\tau -1},x_{\tau -1},u_{\tau }$ are known for $\tau =1,...,T$. Our objective is to determine the remaining conditional probability distributions of $u_{\tau }$ given $u_1,x_1,...,u_{\tau -1},x_{\tau -1}$ such...

Let H be a separable real Hilbert space and let E be a separable real Banach space. We develop a general theory of stochastic convolution of ℒ(H,E)-valued functions with respect to a cylindrical Wiener process ${W_t^H}_{t\in [0,T]}$ with Cameron-Martin space H. This theory is applied to obtain necessary and sufficient conditions for the existence of a weak solution of the stochastic abstract Cauchy problem (ACP) $d{X}_t=A{X}_{t}dt+Bd{W}_t^H$ (t∈ [0,T]), $X_0=0$ almost surely, where A is the generator of a $C_0$-semigroup ${S\left(t\right)}_{t\ge 0}$ of bounded linear operators on...

In this continuation of the preceding paper (Part I), we consider a sequence ${\left(Fₙ\right)}_{n\ge 0}$ of i.i.d. random Lipschitz mappings → , where is a proper metric space. We investigate existence and uniqueness of invariant measures, as well as recurrence and ergodicity of the induced stochastic dynamical system (SDS) $X{ₙ}^x=Fₙ\circ ...\circ F₁\left(x\right)$ starting at x ∈ . The main results concern the case when the associated Lipschitz constants are log-centered. Principal tools are local contractivity, as considered in detail in Part I, the Chacon-Ornstein...

Consider a proper metric space and a sequence ${\left(Fₙ\right)}_{n\ge 0}$ of i.i.d. random continuous mappings → . It induces the stochastic dynamical system (SDS) $X{ₙ}^x=Fₙ\circ ...\circ F₁\left(x\right)$ starting at x ∈ . In this and the subsequent paper, we study existence and uniqueness of invariant measures, as well as recurrence and ergodicity of this process. In the present first part, we elaborate, improve and complete the unpublished work of Martin Benda on local contractivity, which merits publicity and provides an important tool for studying stochastic...

Let $H$ be a Hilbert space and $E$ a Banach space. We set up a theory of stochastic integration of $ℒ(H,E)$-valued functions with respect to $H$-cylindrical Liouville fractional Brownian motion with arbitrary Hurst parameter $0<\beta <1$. For $0<\beta <\frac{1}{2}$ we show that a function $\Phi :(0,T)\to ℒ(H,E)$ is stochastically integrable with respect to an $H$-cylindrical Liouville fractional Brownian motion if and only if it is stochastically integrable with respect to an $H$-cylindrical fractional Brownian motion. We apply our results to stochastic evolution equations...

We consider non-degenerate SDEs with a β-Hölder continuous and bounded drift term and driven by a Lévy noise L which is of α-stable type. If β > 1 - α/2 and α ∈ [1,2), we show pathwise uniqueness and existence of a stochastic flow. We follow the approach of [Priola, Osaka J. Math. 2012] improving the assumptions on the noise L. In our previous paper L was assumed to be non-degenerate, α-stable and symmetric. Here we can also recover relativistic and truncated stable processes and some classes...

We present a probabilistic model of the microscopic scenario of dielectric relaxation. We prove a limit theorem for random sums of a special type that appear in the model. By means of the theorem, we show that the presented approach to relaxation phenomena leads to the well known Havriliak-Negami empirical dielectric response provided the physical quantities in the relaxation scheme have heavy-tailed distributions. The mathematical model, presented here in the context of dielectric relaxation, can...

The paper is devoted to a connection between stochastic invariance in infinite dimensions and a consistency question of mathematical finance. We derive necessary and sufficient conditions for stochastic invariance of Nagumo’s type for stochastic equations with additive noise. They are applied to Ornstein-Uhlenbeck processes and to specific financial models. The case of evolution equations with general noise is discussed also and a comparison with recent results obtained by geometric methods is presented...

Let $X_1,X_2,...$ be a sequence of independent and identically distributed random variables with continuous distribution function F(x). Denote by X(1,k),X(2,k),... the kth record values corresponding to $X_1,X_2,...$ We obtain some stochastic comparison results involving the random kth record values X(N,k), where N is a positive integer-valued random variable which is independent of the $X_i$.