Integral Representation of Generalized Grey Brownian Motion

In this paper we investigate the representation of a class of non Gaussian processes, namely generalized grey Brownian motion, in terms of a weighted integral of a stochastic process which is a solution of a certain stochastic differential equation. In particular the underlying process can be seen as a non Gaussian extension of the Ornstein-Uhlenbeck process, hence generalizing the representation results of Muravlev as well as Harms and Stefanovits to the non Gaussian case.Comment: arXiv admin note: text overlap with arXiv:1708.06784, arXiv:1807.0786

Marcus versus Stratonovich for Systems with Jump Noise

The famous It\^o-Stratonovich dilemma arises when one examines a dynamical system with a multiplicative white noise. In physics literature, this dilemma is often resolved in favour of the Stratonovich prescription because of its two characteristic properties valid for systems driven by Brownian motion: (i) it allows physicists to treat stochastic integrals in the same way as conventional integrals, and (ii) it appears naturally as a result of a small correlation time limit procedure. On the other hand, the Marcus prescription [IEEE Trans. Inform. Theory 24, 164 (1978); Stochastics 4, 223 (1981)] should be used to retain (i) and (ii) for systems driven by a Poisson process, L\'evy flights or more general jump processes. In present communication we present an in-depth comparison of the It\^o, Stratonovich, and Marcus equations for systems with multiplicative jump noise. By the examples of areal-valued linear system and a complex oscillator with noisy frequency (the Kubo-Anderson oscillator) we compare solutions obtained with the three prescriptions.Comment: 14 pages, 4 figure

Exchangeable pairs on Wiener chaos

In [14], Nourdin and Peccati combined the Malliavin calculus and Stein's method of normal approximation to associate a rate of convergence to the celebrated fourth moment theorem [19] of Nualart and Peccati. Their analysis, known as the Malliavin-Stein method nowadays, has found many applications towards stochastic geometry, statistical physics and zeros of random polynomials, to name a few. In this article, we further explore the relation between these two fields of mathematics. In particular, we construct exchangeable pairs of Brownian motions and we discover a natural link between Malliavin operators and these exchangeable pairs. By combining our findings with E. Meckes' infinitesimal version of exchangeable pairs, we can give another proof of the quantitative fourth moment theorem. Finally, we extend our result to the multidimensional case.Comment: 19 pages, submitte

Structural operational semantics for stochastic and weighted transition systems

We introduce weighted GSOS, a general syntactic framework to specify well-behaved transition systems where transitions are equipped with weights coming from a commutative monoid. We prove that weighted bisimilarity is a congruence on systems defined by weighted GSOS specifications. We illustrate the flexibility of the framework by instantiating it to handle some special cases, most notably that of stochastic transition systems. Through examples we provide weighted-GSOS definitions for common stochastic operators in the literature