In this paper we present two methods for computing filtered estimates for moments of integrals and stochastic integrals of continuous-time nonlinear systems. The first method utilizes recursive stochastic partial differential equations. The second method utilizes conditional moment generating functions. An application of these methods leads to the discovery of new classes of finitedimensional f...

Discrete multiplicative turbulent cascades are described using a formalism involving infinitely divisible random measures. This permits to consider the continuous limit of a cascade developed on a continuum of scales, and to provide the stochastic equations defining such processes, involving infinitely divisible stochastic integrals. Causal evolution laws are also given. This gives the first ge...

A recent paper of Melbourne & Stuart, A note on diffusion limits of chaotic skew product flows, Nonlinearity 24 (2011) 1361–1367, gives a rigorous proof of convergence of a fast-slow deterministic system to a stochastic differential equation with additive noise. In contrast to other approaches, the assumptions on the fast flow are very mild. In this paper, we extend this result from continuous ...

We study stochastic homogenization by Γ-convergence of nonconvex integrals the calculus variations in space functions bounded deformation.

We compute the Wiener-Poisson expansion of square-integrable functionals of a nite number of Poisson jump times in series of multiple Poisson stochastic integrals.

in this paper an algorithm is presented for the regularization of singular integrals with any degrees of singularity, which may be employed in all three-dimensional problems analyzed by boundary elements. the integrals in boundary integrals equations are inherently singular. for example, one can mention the integrals confronted in potential problems to evaluate the flow or the gradient of the f...

Let Ñt be a standard compensated Poisson process on [0, 1]. We prove a new characterization of anticipating integrals of the Skorohod type with respect to Ñ , and use it to obtain several counterparts to well established properties of semimartingale stochastic integrals. In particular we show that, if the integrand is sufficiently regular, anticipating Skorohod integral processes with respect t...

We construct extremal stochastic integrals ∫ e E f(u)Mα(du) of a deterministic function f(u) ≥ 0 with respect to a random α−Fréchet (α > 0) sup–measure. The measure Mα is sup–additive rather than additive and is defined over a general measure space (E, E , μ), where μ is a deterministic control measure. The extremal integral is constructed in a way similar to the usual α−stable integral, but wi...

In this paper, we shall firstly illustrate why we should introduce set-valued stochastic integrals, and then we shall discuss some properties of set-valued stochastic processes and the relation between a set-valued stochastic process and its selection set. After recalling the Aumann type definition of stochastic integral, we shall introduce a new definition of Lebesgue integral of a set-valued ...