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- Markov evolutions and hierarchical equations in the continuum. I: one-component systemsPublication . Finkelshtein, Dmitri L.; Kondratiev, Yuri G.; Oliveira, Maria JoãoGeneral birth-and-death as well as hopping stochastic dynamics of infinite particle systems in the continuum are considered. We derive corresponding evolution equations for correlation functions and generating functionals. General considerations are illustrated in a number of concrete examples of Markov evolutions appearing in applications.
- Intersection local times of fractional Brownian motions with H∈(0,1) as generalized white noise functionalsPublication . Drumond, Custódia; Oliveira, Maria João; Silva, José Luís daIn R^d, for any dimension d ≥ 1, expansions of self-intersection local times of fractional Brownian motions with arbitrary Hurst coefficients in (0,1) are presented. The expansions are in terms of Wick powers of white noises (corresponding to multiple Wiener integrals), being well-defined in the sense of generalized white noise functionals.
- Intersection local times of independent Brownian motions as generalized white noise functionalsPublication . Albeverio, Sergio; Oliveira, Maria João; Streit, LudwigA "chaos expansion" of the intersection local time functional of two independent Brownian motions in Rd is given. The expansion is in terms of normal products of white noise (corresponding to multiple Wiener integrals). As a consequence of the local structure of the normal products, the kernel functions in the expansion are explicitly given and exhibit clearly the dimension dependent singularities of the local time functional. Their Lp-properties are discussed. An important tool for deriving the chaos expansion is a computation of the "S-transform" of the corresponding regularized intersection local times and a control about their singular limit.
- Feynman integrals for non-smooth and rapidly growing potentialsPublication . Faria, Margarida de; Oliveira, Maria João; Streit, LudwigThe Feynman integral for the Schrödinger propagator is constructed as a generalized function of white noise, for a linear space of potentials spanned by finite signed measures of bounded support and Laplace transforms of such measures, i.e., locally singular as well as rapidly growing at infinity. Remarkably, all these propagators admit a perturbation expansion.
- Analytic aspects of Poissonian white noise analysisPublication . Kondratiev, Yuri G.; Kuna, Tobias; Oliveira, Maria JoãoGeneral structures of Poissonian white noise analysis are presented.Simultaneously, the theory is developed on Poisson and Lebesgue- Poisson space. Both spaces have an own S-transform, well known in the Gaussian case. They give an extra connection between these two spaces via the Bargmann-Segal space. Test and generalized functions,different types of convolutions, and representations of creation and annihilation operators in the aforementioned spaces are considered.
- A data-reconstructed fractional volatility modelPublication . Mendes, Rui Vilela; Oliveira, Maria JoãoBased on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior are derived from the model and compared with data. Deviations from Black-Scholes and a new option pricing formula are also obtained.
- A generalized clark-ocone formulaPublication . Faria, Margarida de; Oliveira, Maria João; Streit, LudwigWe extend the Clark-Ocone formula to a suitable class of generalized Brownian functionals. As an example we derive a representation of Donsker's delta function as (limit of) a stochastic integral.
- Extension of explicit formulas in Poissonian white noise analysis using harmonic analysis on configuration spacesPublication . Kondratiev, Yuri G.; Kuna, Tobias; Oliveira, Maria JoãoHarmonic analysis on configuration spaces is used in order to extend explicit expressions for the images of creation, annihilation, and second quantization operators in L2-spaces with respect to Poisson point processes to a set of functions larger than the space obtained by directly using chaos expansion. This permits,in particular, to derive an explicit expression for the generator of the second quantization of a sub-Markovian contraction semigroup on a set of functions which forms a core of the generator.
- Holomorphic Bogoliubov functionals for interacting particle systems in continuumPublication . Kondratiev, Yuri G.; Kuna, Tobias; Oliveira, Maria JoãoCombinatorial harmonic analysis techniques are used to develop new analytical methods for the study of interacting particle systems in continuum based on a Bogoliubov functional approach. Concrete applications of the methods are presented, namely, conditions for the existence of Bogoliubov functionals, a uniqueness result for Gibbs measures in the high temperature regime. We also propose a new approach to the study of non-equilibrium stochastic dynamics in terms of evolution equations for Bogoliubov functionals.
- On the relations between Poissonian white noise analysis and harmonic analysis on configuration spacesPublication . Kondratiev, Yuri G.; Kuna, Tobias; Oliveira, Maria JoãoWe unify techniques of Poissonian white noise analysis and harmonic analysis on configuration spaces establishing relations between the main structures of both ones. This leads to new results inside of infinite-dimensional analysis as well as in its applications to problems of mathematical physics, e.g., statistical mechanics of continuous systems.