P. Catuogno, C. Olivera
The paper introduces a novel Ito's formula for time dependent tempered generalized functions. As an application, we study the heat equation when initial conditions are allowed to be a generalized tempered function. A new proof of the Ustunel- Ito's formula for tempered distributions is also provided.
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In this work we introduce a new algebra of tempered generalized functions. The tempered distributions are embedded in this algebra via their Hermite expansions. The Fourier transform is naturally extended to this algebra in such a way that the usual relations involving multiplication, convolution and differentiation are valid. We study the elementary properties of the association, embedding, point values and Fourier transform. Furthermore, we give a generalized Ito formula in this context and some applications to stochastic analysis.
We present several Ito-Wentzell formulae on Wiener spaces for real-valued functional random field of Ito type that depend on measure flows. We distinguish the full- and the marginal-measure flow cases in the spirit of mean-field games. Derivatives with respect to the measure components are understood in the sense of Lions.
Using the theory of stochastic integration for processes with values in a UMD Banach space developed recently by the authors, an Ito formula is proved which is applied to prove the existence of strong solutions for a class of stochastic evolution equations in UMD Banach spaces. The abstract results are applied to prove regularity in space and time of the solutions of the Zakai equation.
The Wigner distribution of Gaussian tempered generalized stochastic processes
该研究定义了复值对称高斯型缓增广义随机过程的维格纳分布，得到相空间时频广义随机过程，推导了协方差算子外尔符号公式，公式由原过程协方差算子外尔符号表示。
In the present article, the author uses Fourier theory of tempered distributions (generalized functions) in deriving a formula for Dirichlet-like integrals. The applied method is remarkably efficient and allows a solution in a few calculational steps. The interest of the present article lies not only in the derivation of an appearently unknown formula but also in the original methodology of its derivation.
We develop a nonanticipative calculus for functionals of a continuous semimartingale, using an extension of the Ito formula to path-dependent functionals which possess certain directional derivatives. The construction is based on a pathwise derivative, introduced by Dupire, for functionals on the space of right-continuous functions with left limits. We show that this functional derivative admits a suitable extension to the space of square-integrable martingales. This extension defines a weak derivative which is shown to be the inverse of the Ito integral and which may be viewed as a nonanticip…
Itô's formula for noncommutative $C^2$ functions of free Itô processes
本文证明自伴自由 Itô 过程的非交换 C² 函数的 Itô 公式，将函数类从 Biane-Speicher 空间扩展到 NC²(ℝ)，并给出带迹公式及矩阵情形的动机。
We derive a functional change of variable formula for {\it non-anticipative} functionals defined on the space of right continuous paths with left limits. The functional is only required to possess certain directional derivatives, which may be computed pathwise. Our results lead to functional extensions of the Ito formula for a large class of stochastic processes, including semimartingales and Dirichlet processes. In particular, we show the stability of the class of semimartingales under certain functional transformations. Keywords: change of variable formula, functional derivative, functional …
We give explicit transforms for Hilbert spaces associated with positive definite functions on $\mathbb{R}$, and positive definite tempered distributions, incl., generalizations to non-abelian locally compact groups. Applications to the theory of extensions of p.d. functions/distributions are included. We obtain explicit representation formulas for positive definite tempered distributions in the sense of L. Schwartz, and we give applications to Dirac combs and to diffraction. As further applications, we give parallels between Bochner's theorem (for continuous p.d. functions) on the one hand, an…
The quantum Ito formula has so far been proved for regular (bounded) quantum semimartingales We give three different extensions to classes of essentially self-adjoint (unbounded) quantum semimartingales. The first extension is to quantum semimartingales whose integrands have chaos matrices controlled by certain scalar matrices The second extension is to perturbations of classical, possibly unbounded, quantum semimartingales by bounded quantum semimartingales The third extension is obtained by perturbing an essentially self-adjoint quantum semimartingale satisfying the quantum Duhamel formula b…
In the present article, a new method for the evaluation of fractional derivatives of arbitrary real order is proposed. Numerous but inequivalent formulations have been given in the past. Some of them exhibit unsatisfactory properties such as e.g. the absence of a semigroup property. It is shown that the proposed definition is free from such drawbacks. In order to achieve such a generalization one has to work in the context of tempered distributions (generalized functions) where the concept works nicely. The last part of the article shows the possibility of defining fractional derivatives of pe…
In the present paper we show that the Levy-Ito representation of the infinitesimal generator $L$ for Levy processes $X_t$ can be written in a convolution-type form. Using the obtained convolution form we have constructed the quasi-potential operator $B$. We denote by $p(t,Δ)$ the probability that a sample of the process $X_t$ remains inside the domain $Δ$ for $0{\leq}τ{\leq}t$ (ruin problem). With the help of the operator $B$ we find a new formula for $p(t,Δ)$. This formula allows us to obtain long time behavior of $p(t,Δ)$.
Many different types of fractional calculus have been defined, which may be categorised into broad classes according to their properties and behaviours. Two types that have been much studied in the literature are the Hadamard-type fractional calculus and tempered fractional calculus. This paper establishes a connection between these two definitions, writing one in terms of the other by making use of the theory of fractional calculus with respect to functions. By extending this connection in a natural way, a generalisation is developed which unifies several existing fractional operators: Rieman…
The final goal of the present work is to extend the Fourier transform on the Heisenberg group $\H^d,$ to tempered distributions. As in the Euclidean setting, the strategy is to first show that the Fourier transform is an isomorphism on the Schwartz space, then to define the extension by duality. The difficulty that is here encountered is that the Fourier transform of an integrable function on $\H^d$is no longer a function on $\H^d$ : according to the standard definition, it is a family of bounded operators on $L^2(\R^d).$ Following our new approach in\ccite{bcdFHspace}, we here define the Four…
The Atiyah-Schmid formula for reductive groups
本文给出投射缓增表示的广义Atiyah-Schmid公式，并进一步证明该公式对实约化群的算术子群成立。
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