Keywords: Fractional Brownian motion; Viability; Tangency property; 60H15; 60G15; 60H05;
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Keywords: Stochastic fractional evolution equation; Fractional Brownian motion; Infinite delay; 60H15; 60G15; 60H05;
Keywords: Stochastic age-dependent capital system; Mean-square dissipativity; Numerical methods; Fractional Brownian motion; Poisson jumps; 60H10; 60H05; 60H35; 65C30;
Keywords: 60G15; 60J55; 60H05; Weighted-fractional Brownian motion; Central limit theorem; Ornstein-Uhlenbeck process; Parameter estimation; Asymptotic normality; The generalized quadratic variation;
Keywords: 60G15; 60G18; 60G22; 60H05; 60H07; Fractional Brownian motion; Divergence integral; Stochastic integral; Fractional Bessel process;
Stochastic delay differential equations in a Hilbert space driven by fractional Brownian motion
Keywords: 60H15; 60G15; 60H05; Mild solution; Semigroup of bounded linear operator; Fractional Brownian motion; Stochastic integration for fractional Brownian motion;
Small ball properties and representation results
Keywords: 60H05; 60G15; 60G22; Integral representation; Generalized Lebesgue-Stieltjes integral; Small ball estimate; Quasi-helix; Fractional Brownian motion;
Keywords: primary; 60H05; secondary; 26B15; 26A42; Pathwise integral; Stochastic integral; Quadratic variation; Riemann sums; Ito isometry;
Keywords: primary; 60J68; 60H15; secondary; 60H05; Superprocess; Interaction; Immigration; Pathwise uniqueness; Yamada-Watanabe argument;
Keywords: primary; 60F10; 60H05; secondary; 60G15; Cumulants; Large deviation probabilities; Moderate deviations; Wiener chaos;
Keywords: 60F05; 60H05; 91G70Multiple stochastic integrals; Malliavin calculus; Pareto distribution; Stein method; Convergence in law
Keywords: 60F05; 60G15; 60H05; 60H07Gaussian processes; Malliavin calculus; Ornstein–Uhlenbeck semigroup
Keywords: primary; 76D06; 60G57; 60H15; secondary; 60H05; 60J60; Signed measure; Stochastic evolution equation; McKean-Vlasov; Wiener sheet;
Keywords: 60G44; 60H05; 60H15; 60H20; 35R60; 35M13Stochastic integration; Degenerate evolution equations; Ito formula
Keywords: primary; 62G20; secondary; 60F05; 60H05; LAMN property; Convolution theorem; Diffusion process;
Keywords: primary; 60F05; 60F15; 60F17; secondary; 60G48; 60H05; Brownian semi-stationary processes; High frequency data; Limit theorems; Stable convergence; Turbulence;
Keywords: 60H05; 60H10; 60H15; 60G05; 60G17Rough path; Functional Itô calculus; Path derivatives; Itô–Ventzell formula; Rough differential equations; Rough PDEs; Stochastic PDEs; Characteristics
Harnack inequalities for SDEs driven by subordinator fractional Brownian motion
Keywords: 60H15; 60G15; 60H05; Harnack inequality; Fractional Brownian motion; Subordinator;
Integrated stationary Ornstein-Uhlenbeck process, and double integral processes
Keywords: 60J60; 60H05; 60H10; Double integral process; Gauss-Markov process; Ornstein-Uhlenbeck process;
Equivalent martingale measures for Lévy-driven moving averages and related processes
Keywords: 60E07; 60G10; 60G51; 60G57; 60H05; Equivalent local martingale measures; Moving averages; Lévy processes; Stochastic exponentials; Infinite divisibility;
On stochastic calculus with respect to q-Brownian motion
Keywords: 46L53; 60H05; 60F17; Non-commutative stochastic calculus; q-Brownian motion; Rough paths theory;
Itô's calculus under sublinear expectations via regularity of PDEs and rough paths
Keywords: 60G44; 60H05; 35K61; 93E20; Fully nonlinear PDEs; Martingale problem; Nonlinear expectation; Stochastic integral; Itô's formula; Rough path theory;
Large deviation principle for stochastic integrals and stochastic differential equations driven by infinite-dimensional semimartingales
Keywords: 60F10; 60G51; 60H05; 60H10; 60J25; 60J60; Large deviations; Stochastic integration; Stochastic differential equations; Exponential tightness; Markov processes; Infinite dimensional semimartingales; Banach space-valued semimartingales;
Discretizing Malliavin calculus
Keywords: 60H07; 60H05; 60F25; Malliavin calculus; Strong approximation; Stochastic integrals; S-transform; Chaos decomposition; Invariance principle;
Erratum to: least squares estimation for Ornstein-Uhlenbeck processes driven by the weighted fractional brownian motion (Acta Mathematica Scientia 2016,36B(2):394-408)
Keywords: weighted fractional Brownian motion; least squares estimator; Ornstein-Uhlenbeck process; 60G15; 60G18; 60H05;
Conditional Stein approximation for Itô and Skorohod integrals
Keywords: 60H07; 62E17; 60G15; 60H05; Stein method; Malliavin calculus; Edgeworth expansions; Stochastic integral; Conditioning; Quadratic Brownian functionals;
An integral representation of dilatively stable processes with independent increments
Keywords: primary; 60G51; secondary; 60G18; 60H05; Dilative stability; Translative stability; Lamperti transform; Additive process; Random integral representation; Wide sense Ornstein-Uhlenbeck process; Quasi-selfsimilar process; Time-stable process; Infinite div
Existence and estimates of moments for Lévy-type processes
Keywords: primary; 60J75; secondary; 60G51; 60H05; 60J25; Lévy-type processes; Existence of moments; Generalized moments; Fractional moments;
Infinite dimensional weak Dirichlet processes and convolution type processes
Keywords: 60H05; 60H15; 60H30; 35R60; Covariation and quadratic variation; Calculus via regularization; Infinite dimensional analysis; Tensor analysis; Dirichlet processes; Generalized Fukushima decomposition; Convolution type processes; Stochastic partial differen
Weak Dirichlet processes with jumps
Keywords: 60J75; 60G57; 60H05; Weak Dirichlet processes; Calculus via regularizations; Random measure; Stochastic integrals for jump processes; Orthogonality;
SPDEs with rough noise in space: Hölder continuity of the solution
Keywords: primary; 60H15; secondary; 60H05; Stochastic heat equation; Stochastic wave equation; Fractional noise; Hölder continuous paths;
Single jump processes and strict local martingales
Keywords: primary; 60G48; 60G44; secondary; 60H05; Single jump; Strict local martingales; Stochastic integrals;
Modulation equation for SPDEs in unbounded domains with space–time white noise — Linear theory
Keywords: 60H15; 60H05; 60G15Modulation equation; Amplitude equation; Unbounded domain; Random fields; Gaussian processes; Attractivity; Approximation; Linear theory; Stochastic convolution
The dynamics of the stochastic shadow Gierer–Meinhardt system
Keywords: 60H05; 60H15; 60H30
Sparse PCA-based on high-dimensional Itô processes with measurement errors
Keywords: 60H05; 62H25; 62M10; 62G05; Integrated volatility; Itô diffusion process; Minimax bound; Multi-scale realized volatility; Pre-averaging realized volatility; Principal components analysis; Sparsity; Subspace estimation;
Joint aggregation of random-coefficient AR(1) processes with common innovations
Keywords: primary; 62M10; 60G22; secondary; 60G15; 60G18; 60H05; Aggregation; Random-coefficient AR(1) process; Intermediate scaling;
A Lévy area between Brownian motion and rough paths with applications to robust nonlinear filtering and rough partial differential equations
Keywords: 60H10; 60H30; 60H05; 60G15; 60G17Existence of path integrals; Integrability of rough differential equations with Gaussian signals; Clark’s robustness problem in nonlinear filtering; Viscosity solutions of RPDEs
On the 1H-variation of the divergence integral with respect to fractional Brownian motion with Hurst parameter H<12
Keywords: 60H05; 60H07; 60G18; Fractional Brownian motion; Malliavin calculus; Skorohod integral; Fractional Bessel processes;
A generalised ItÅ formula for Lévy-driven Volterra processes
Keywords: 60G22; 60H05; 60H07; Fractional Lévy process; ItÅ formula; Skorokhod integral; Stochastic convolution; S-transform;
Efficient almost-exact Lévy area sampling
Keywords: 60H05; 60H35; 65C30; 91G60Lévy area; Strong simulation; Logistic expansion; Chebyshev approximation; Milstein method
Identification of a noncausal Itô process from the stochastic Fourier coefficients
Keywords: 60H05; 42A61; 60H07; Stochastic integrals; Stochastic Fourier coefficient; Noncausal function; Brownian motion; Bohr convolution; Homogeneous chaos;
Backward SDEs driven by Gaussian processes
Keywords: 60H10; 60G15; 60G22; 60H05; Backward SDEs; Fractional Brownian motion; Gaussian processes; Wick-Itô integration;
The total variation distance between two double Wiener-Itô integrals
Keywords: 60F05; 60G15; 60H05; 60H07; Convergence in total variation; Malliavin calculus; Double Wiener-Itô integral; Rosenblatt process;
The double-barrier inverse first-passage problem for Wiener process with random starting point
Keywords: 60J60; 60H05; 60H10First-passage time; Inverse first-passage problem; Diffusion
The variational approach to Hamilton–Jacobi equations driven by a Gaussian noise
Keywords: 60H15; 60H05; 70H20Hamilton–Jacobi equation; Brownian motion; Viscosity solution; Stochastic process
Random variables as pathwise integrals with respect to fractional Brownian motion
Keywords: 60G22; 60H05; 60G15; 91G10Fractional Brownian motion; Pathwise integral; Generalized Lebesgue–Stieltjes integral; Arbitrage; Replication; Divergence integral
Stability property and essential spectrum of linear retarded functional differential equations
Keywords: 60H15; 60G15; 60H05; Essential spectrum; Weak stability; Asymptotic and exponential stability;
Characterization of the finite variation property for a class of stationary increment infinitely divisible processes
Keywords: 60G48; 60H05; 60G51; 60G17Finite variation; Infinitely divisible processes; Stationary processes; Fractional processes; Zero–one laws
Convergence in total variation on Wiener chaos
Keywords: 60F05; 60G15; 60H05; 60H07; Convergence in distribution; Convergence in total variation; Malliavin calculus; Multiple Wiener-Itô integral; Wiener chaos;
Local time-space calculus for symmetric Lévy processes
Keywords: 60G44; 60H05; 60J55; 60J65Stochastic calculus; Local time-space calculus; Itô formula; Lévy process; Symmetric stable process