Non-symmetric approximations for manifold-valued semimartingales
Non-symmetric hitting distributions on the hyperbolic half-plane and subordinated perpetuities.
We study the law of functionals whose prototype is ∫0+∞ eBs(ν) dWs(μ),where B(ν) and W(μ) are independent Brownian motions with drift. These functionals appear naturally in risk theory as well as in the study of in variant diffusions on the hyperbolic half-plane. Emphasis is put on the fact that the results are obtained in two independent, very different fashions (invariant diffusions on the hyperbolic half-plane and Bessel processes).
Normal martingales and polynomial families
Wiener and compensated Poisson processes, as normal martingales, are associated to classical sequences of polynomials, namely Hermite polynomials for the first one and Charlier polynomials for the second. The problem studied in this paper is to find if there exist other normal martingales which are associated to classical sequences of polynomials. Privault, Solé and Vives [5] solved this problem via the quantum Kabanov formula under some assumptions on the normal martingales considered. We solve...
Normalized stochastic integrals in topological vector spaces
Note on the selection properties of set-valued semimartingales
Set-valued semimartingales are introduced as an extension of the notion of single-valued semimartingales. For such multivalued processes their semimartingale selection properties are investigated.
Notes on the Wiener semigroup and renormalization