Changements de temps et intégrales stochastiques
Changing time for two-parameter strong martingales
Chaos de Wiener et intégrale de Feynman
Chaos Expansion Methods for Stochastic Differential Equations Involving the Malliavin Derivative–Part I
Chaos Expansion Methods for Stochastic Differential Equations Involving the Malliavin Derivative–Part II
Chaos expansions and local times.
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.
Characterisation of exponential convergence to nonequilibrium limits for stochastic Volterra equations.
Characterization of a regular family of semimartingales by line integrals.
Characterization of maximal Markovian couplings for diffusion processes.
Characterization of the domain of an elliptic operator of infinitely many variables in spaces
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.
Characterizations of random approximations
Some characterizations of random approximations are obtained in a locally convex space through duality theory.
Clark–Ocone formulas and Poincaré inequalities on the discrete cube
Classical and variational differentiability of BSDEs with quadratic growth.
Closedness of some spaces of stochastic integrals
Cluster continuous time random walks
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...
Cohomologie de Bismut-Nualart-Pardoux et cohomologie de Hochschild entière
Collision local times, historical stochastic calculus, and competing superprocesses.
Common random fixed points of compatible random operators.
Comparison principle approach to utility maximization
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.
Comparison results and steady states for the Fujita equation with fractional laplacian