Self-similarity and fractional Brownian motion on Lie groups.
Semi-additive functionals and cocycles in the context of self-similarity
Kernel functions of stable, self-similar mixed moving averages are known to be related to nonsingular flows. We identify and examine here a new functional occuring in this relation and study its properties. To prove its existence, we develop a general result about semi-additive functionals related to cocycles. The functional we identify, is helpful when solving for the kernel function generated by a flow. Its presence also sheds light on the previous results on the subject.
Semi-group methods in stochastic control
Semigroups associated with generalized Brownian functional.
Semimartingale decomposition of convex functions of continuous semimartingales by brownian perturbation
In this note we prove that the local martingale part of a convex function f of a d-dimensional semimartingale X = M + A can be written in terms of an Itô stochastic integral ∫H(X)dM, where H(x) is some particular measurable choice of subgradient ∇ f ( x ) off at x, and M is the martingale part of X. This result was first proved by Bouleau in [N. Bouleau, C. R. Acad. Sci. Paris Sér. I Math. 292 (1981) 87–90]. Here we present a new treatment of the problem. We first prove the result for x10ff65;...
Semimartingales à deux indices
Semimartingales à deux indices
Semimartingales and measure preserving flows
Semi-martingales and rough paths theory.
Semi-martingales dans les espaces homogènes
Semimartingales et valeur absolue
Semimartingales in predictable random open sets
Semi-stable probability measures on
Séparabilité optionnelle, d'après Doob
Separabilities of a gaussian Radon measure
Separability of random functions
Séparation d'une sur- et d'une sous-martingale par une martingale
Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation
In this paper we solve the basic fractional analogue of the classical linear-quadratic Gaussian regulator problem in continuous-time with partial observation. For a controlled linear system where both the state and observation processes are driven by fractional Brownian motions, we describe explicitly the optimal control policy which minimizes a quadratic performance criterion. Actually, we show that a separation principle holds, i.e., the optimal control separates into two stages based on optimal...
Sequences of independent identically distributed functions in rearrangement invariant spaces
A new set of sufficient conditions under which every sequence of independent identically distributed functions from a rearrangement invariant (r.i.) space on [0,1] spans there a Hilbertian subspace are given. We apply these results to resolve open problems of N. L. Carothers and S. L. Dilworth, and of M. Sh. Braverman, concerning such sequences in concrete r.i. spaces.
Séries de variables aléatoires gaussiennes à valeurs dans . Application aux produits d’espaces de Wiener abstraits