The Itô integral for Brownian motion in vector lattices: Part 1

In this paper the Itô integral for Brownian motion is constructed in a vector lattice and some of its properties are derived. The assumption is that there exists a conditional expectation operator on the vector lattice and the construction does not depend on a probability measure space. The classical case of the Itô integral is a special case of the constructed integral in the vector lattice.     

On the Wiener integral with respect to a sub-fractional Brownian motion on an interval

The domain of the Wiener integral with respect to a sub-fractional Brownian motion , , k≠0, is characterized. The set is a Hilbert space which contains the class of elementary functions as a dense subset. If , any element of is a function and if , the domain is a space of distributions.     

Weak convergence of the Stratonovich integral with respect to a class of Gaussian processes

For a Gaussian process X$X$ and smooth function f$f$, we consider a Stratonovich integral of f(X)$f\left(X\right)$, defined as the weak limit, if it exists, of a sequence of Riemann sums. We give covariance conditions on X$X$ such that the sequence converges in law. This gives a change-of-variable formula in law with a correction term which is an Itô integral of f^?$f^{?}$ with respect to a Gaussian martingale independent of X$X$. The proof uses Malliavin calculus and a central limit theorem from Nourdin and Nualart (2010) [8]. This formula was known for fBm with H=1/6$H=1/6$ Nourdin et al. (2010) [9]. We extend this to a larger class of Gaussian processes.     

The Skorohod integral and the derivative operator of functional of a cylindrical Brownian motion

The paper presents a definition of the Skorohod integral of operator-valued processes and the derivative operator for functional of a cylindrical Brownian motionW on a Hilbert space. The method is based on the chaos expansions in terms of multiple Wiener integrals ofW.This research was partially supported by the U.S. Air Force Office of Scientific Research Contract No. F49620 85C 0144. The research of V. Pérez-Abreu was also supported by CONACYT Grant D111-904237.     

Numerical solution of nonlinear stochastic Itô‐Volterra integral equations driven by fractional Brownian motion

In this paper, an efficient numerical technique is applied to provide the approximate solution of nonlinear stochastic Itô‐Volterra integral equations driven by fractional Brownian motion with Hurst parameter . The proposed method is based on the operational matrices of modification of hat functions (MHFs) and the collocation method. In this approach, by approximating functions that appear in the integral equation by MHFs and using Newton's‐Cotes points, nonlinear integral equation is transformed to nonlinear system of algebraic equations. This nonlinear system is solved by using Newton's numerical method, and the approximate solution of integral equation is achieved. Some theorems related to error estimate and convergence analysis of the suggested scheme are also established. Finally, 2 illustrative examples are included to confirm applicability, efficiency, and accuracy of the proposed method. It should be noted that this scheme can be used to solve other appropriate problems, but some modifications are required.     

On the Wiener integral with respect to the fractional Brownian motion on an interval

We characterize the domain of the Wiener integral with respect to the fractional Brownian motion of any Hurst parameter H(0,1) on an interval [0,T]. The domain is the set of restrictions to of the distributions of with support contained in [0,T]. In the case H1/2 any element of the domain is given by a function, but in the case H>1/2 this space contains distributions that are not given by functions. The techniques used in the proofs involve distribution theory and Fourier analysis, and allow to study simultaneously both cases H<1/2 and H>1/2.     

Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions

Stochastic integration w.r.t. fractional Brownian motion (fBm) has raised strong interest in recent years, motivated in particular by applications in finance and Internet traffic modelling. Since fBm is not a semi-martingale, stochastic integration requires specific developments. Multifractional Brownian motion (mBm) generalizes fBm by letting the local Hölder exponent vary in time. This is useful in various areas, including financial modelling and biomedicine. The aim of this work is twofold: first, we prove that an mBm may be approximated in law by a sequence of “tangent” fBms. Second, using this approximation, we show how to construct stochastic integrals w.r.t. mBm by “transporting” corresponding integrals w.r.t. fBm. We illustrate our method on examples such as the Wick–Itô, Skorohod and pathwise integrals.     

Interpolation solution in generalized stochastic exponential population growth model

In this paper, first we consider model of exponential population growth, then we assume that the growth rate at time t is not completely definite and it depends on some random environment effects. For this case the stochastic exponential population growth model is introduced. Also we assume that the growth rate at time t depends on many different random environment effect, for this case the generalized stochastic exponential population growth model is introduced. The expectations and variances of solutions are obtained. For a case study, we consider the population growth of Iran and obtain the output of models for this data and predict the population individuals in each year.     

Efficient Monte Carlo simulation for integral functionals of Brownian motion

In the paper, we develop a variance reduction technique for Monte Carlo simulations of integral functionals of a Brownian motion. The procedure is based on a new method of sampling the process, which combines the Brownian bridge construction with conditioning on integrals along paths of the process. The key element in our method is the identification of a low-dimensional vector of variables that reduces the dimension of the integration problem more effectively than the Brownian bridge. We illustrate the method by applying it in conjunction with low-discrepancy sequences to the problem of pricing Asian options.     

Asymptotic expansions for the Laplace approximations for Itô functionals of Brownian rough paths

In this paper, we establish asymptotic expansions for the Laplace approximations for Itô functionals of Brownian rough paths under the condition that the phase function has finitely many non-degenerate minima. Our main tool is the Banach space-valued rough path theory of T. Lyons. We use a large deviation principle and the stochastic Taylor expansion with respect to the topology of the space of geometric rough paths. This is a continuation of a series of papers by Inahama [Y. Inahama, Laplace's method for the laws of heat processes on loop spaces, J. Funct. Anal. 232 (2006) 148-194] and by Inahama and Kawabi [Y. Inahama, H. Kawabi, Large deviations for heat kernel measures on loop spaces via rough paths, J. London Math. Soc. 73 (3) (2006) 797-816], [Y. Inahama, H. Kawabi, On asymptotics of certain Banach space-valued Itô functionals of Brownian rough paths, in: Proceedings of the Abel Symposium 2005, Stochastic Analysis and Applications, A Symposium in Honor of Kiyosi Itô, Springer, Berlin, in press. Available at: http://www.abelprisen.no/no/abelprisen/deltagere_2005.html].     

Denjoy integral and Henstock-Kurzweil integral in vector lattices,II

In a previous paper we defined a Denjoy integral for mappings from a vector lattice to a complete vector lattice. In this paper we define a Henstock-Kurzweil integral for mappings from a vector lattice to a complete vector lattice and consider the relation between these two integrals.      

Denjoy integral and Henstock-Kurzweil integral in vector lattices,I

In this paper we define the derivative and the Denjoy integral of mappings from a vector lattice to a complete vector lattice and show the fundamental theorem of calculus.      

On the two-parameter fractional Brownian motion and Stieltjes integrals for Hölder functions

We extend the Stieltjes integral to Hölder functions of two variables and prove an existence and uniqueness result for the corresponding deterministic ordinary differential equations and also for stochastic equations driven by a two-parameter fractional Brownian motion.     

The exit distribution for iterated Brownian motion in cones

We study the distribution of the exit place of iterated Brownian motion in a cone, obtaining information about the chance of the exit place having large magnitude. Along the way, we determine the joint distribution of the exit time and exit place of Brownian motion in a cone. This yields information on large values of the exit place (harmonic measure) for Brownian motion. The harmonic measure for cones has been studied by many authors for many years. Our results are sharper than any previously obtained.     

Brownian motion in the framework of quaternion analysis

Abstract

We study Brownian motion in the setting of quaternion analysis. We give a quaternion version of the Itô’s integral.     

Sharp integrability for Brownian motion in parabola-shaped regions

We study the sharp order of integrability of the exit position of Brownian motion from the planar domains , 0<α<1. Together with some simple good-λ type arguments, this implies the order of integrability for the exit time of these domains; a result first proved for α=1/2 by Bañuelos et al. (Ann. Probab. 29 (2001) 882) and for general α by Li (Ann. Probab. 31 (2003) 1078). A sharp version of this result is also proved in higher dimensions.     

Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter

We define a stochastic integral with respect to fractional Brownian motion B^H with Hurst parameter that extends the divergence integral from Malliavin calculus. For this extended divergence integral we prove a Fubini theorem and establish versions of the formulas of Itô and Tanaka that hold for all . Then we use the extended divergence integral to show that for every and all , the Russo–Vallois symmetric integral exists and is equal to , where G^′=g, while for , does not exist.     

Forward and symmetric Wick-Itô integrals with respect to fractional Brownian motion

Let B^H=\{{{\displaystyle B}}_t^H,t\ge \mathrm{0}\} be a fractional Brownian motion with Hurst index H\in (\mathrm{0},\mathrm{1}). Inspired by pathwise integrals and Wick product, in this paper, we consider the forward and symmetric Wick-Itô integrals with respect to B^H as follows: {\displaystyle {\int }_{\mathrm{0}}^t{{\displaystyle u}}_s}\diamond {\mathrm{d}}^{-}{{\displaystyle B}}_s^H=\underset{\epsilon \downarrow \mathrm{0}}{\lim }{\displaystyle \frac{\mathrm{1}}{\epsilon }}{\displaystyle {\int }_{\mathrm{0}}^t{{\displaystyle u}}_s}\diamond ({{\displaystyle B}}_{s+\epsilon }^H-{{\displaystyle B}}_s^H)\mathrm{d}s,{\displaystyle {\int }_{\mathrm{0}}^t{{\displaystyle u}}_s}\diamond {\mathrm{d}}^{°}{{\displaystyle B}}_s^H=\underset{\epsilon \downarrow \mathrm{0}}{\lim }{\displaystyle \frac{\mathrm{1}}{\mathrm{2}\epsilon }}{\displaystyle {\int }_{\mathrm{0}}^t{{\displaystyle u}}_s}\diamond ({{\displaystyle B}}_{s+\epsilon }^H-{{\displaystyle B}}_{(s-\epsilon )\vee \mathrm{0}}^H)\mathrm{d}s,in probability, where ◊ denotes the Wick product. We show that the two integrals coincide with divergence-type integral of B^H for all H\in (\mathrm{0},\mathrm{1}).