Random or stochastic integral equations are important in the study of many physical phenomena in life sciences, engineering, and technology 1–13 . Currently there are two basic versions of stochastic integral equations being studied bymathematical statisticians and probabilists namely, those integral equations involving Ito-Doob type of stochastic integrals and those which can be formed as prob...

In this paper, we study the existence of generalized solutions for the infinite dimensional nonlinear stochastic differential inclusions $dx(t) in F(t,x(t))dt +G(t,x(t))dW_t$ in which the multifunction $F$ is semimonotone and hemicontinuous and the operator-valued multifunction $G$ satisfies a Lipschitz condition. We define the It^{o} stochastic integral of operator set-valued stochastic pr...

In this paper, we propose a numerical method based on the generalized hat functions (GHFs) and improved hat functions (IHFs) to find numerical solutions for stochastic Volterra-Fredholm integral equation. To do so, all known and unknown functions are expanded in terms of basic functions and replaced in the original equation. The operational matrices of both basic functions are calculated and em...

Recently path integral methods have been developed for stochastic optimal control for a wide class of models with non-linear dynamics in continuous space-time. Path integral methods find the control that minimizes the expected cost-to-go. In this paper we show that under the same assumptions, path integral methods generalize directly to risk sensitive stochastic optimal control. Here the method...

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A stochastic integral of Banach space valued deterministic functions with respect to Banach space valued Lévy processes is defined. There are no conditions on the Banach spaces nor on the Lévy processes. The integral is defined analogously to the Pettis integral. The integrability of a function is characterized by means of a radonifying property of an integral operator associated to the integra...

A stochastic calculus similar to Malliavin’s calculus is worked out for Brownian excursions. The analogue of the Malliavin derivative in this calculus is not a differential operator, but its adjoint is (like the Skorohod integral) an extension of the Itô integral. As an application, we obtain an expression for the integrand in the stochastic integral representation of square integrable Wiener f...