In this note we prove that the Local Time at zero for a multiparametric Wiener process belongs to the Sobolev space Dk - 1/2 - ε,2 for any ε > 0. We do this computing its Wiener chaos expansion. We see also that this expansion converges almost surely. Finally, using the same technique we prove similar results for a renormalized Local Time for the autointersections of a planar Brownian motion.
We consider an elliptic operator associated to a Dirichlet form corresponding to a differential stochastic equation of potential form. We characterize the domain of the operator as a subspace of , where is the invariant measure of the differential stochastic equation.
Some characterizations of random approximations are obtained in a locally convex space through duality theory.
In a continuous time random walk (CTRW), a random waiting time precedes each random jump. The CTRW model is useful in physics, to model diffusing particles. Its scaling limit is a time-changed process, whose densities solve an anomalous diffusion equation. This paper develops limit theory and governing equations for cluster CTRW, in which a random number of jumps cluster together into a single jump. The clustering introduces a dependence between the waiting times and jumps that significantly affects...
We consider the problem of optimal investment for maximal expected utility in an incomplete market with trading strategies subject to closed constraints. Under the assumption that the underlying utility function has constant sign, we employ the comparison principle for BSDEs to construct a family of supermartingales leading to a necessary and sufficient condition for optimality. As a consequence, the value function is characterized as the initial value of a BSDE with Lipschitz growth.