White noise differential equations for vector-valued white noise functionals

2020 ◽  
Vol 15 (1) ◽  
Author(s):  
Un Cig Ji ◽  
Peng Cheng Ma
Keyword(s):  
Differential Equations ◽  
White Noise ◽  
White Noise Functionals ◽  
Vector Valued

scholarly journals Some Applications of Lévy Processes to Stochastic Investment Models for Actuarial Use

1998 ◽  
Vol 28 (1) ◽  
pp. 77-93 ◽  
Author(s):  
Terence Chan
Keyword(s):  
Time Series ◽  
Brownian Motion ◽  
Differential Equations ◽  
White Noise ◽  
Stochastic Differential Equations ◽  
Continuous Time ◽  
Investment Model ◽  
Stable Processes ◽  
Gamma Processes ◽  
Investment Models

AbstractThis paper presents a continuous time version of a stochastic investment model originally due to Wilkie. The model is constructed via stochastic differential equations. Explicit distributions are obtained in the case where the SDEs are driven by Brownian motion, which is the continuous time analogue of the time series with white noise residuals considered by Wilkie. In addition, the cases where the driving “noise” are stable processes and Gamma processes are considered.

scholarly journals Infinite dimensional rotations and Laplacians in terms of white noise calculus

1992 ◽  
Vol 128 ◽  
pp. 65-93 ◽  
Author(s):  
Takeyuki Hida ◽  
Nobuaki Obata ◽  
Kimiaki Saitô
Keyword(s):  
Brownian Motion ◽  
White Noise ◽  
Quantum Physics ◽  
Variational Calculus ◽  
Rotation Group ◽  
Infinite Dimensional ◽  
Lévy Laplacian ◽  
White Noise Functionals ◽  
White Noise Calculus

The theory of generalized white noise functionals (white noise calculus) initiated in [2] has been considerably developed in recent years, in particular, toward applications to quantum physics, see e.g. [5], [7] and references cited therein. On the other hand, since H. Yoshizawa [4], [23] discussed an infinite dimensional rotation group to broaden the scope of an investigation of Brownian motion, there have been some attempts to introduce an idea of group theory into the white noise calculus. For example, conformal invariance of Brownian motion with multidimensional parameter space [6], variational calculus of white noise functionals [14], characterization of the Levy Laplacian [17] and so on.

scholarly journals Constructions of vector-valued modular forms of rank four and level one

2020 ◽  
Vol 16 (05) ◽  
pp. 1111-1152
Author(s):  
Cameron Franc ◽  
Geoffrey Mason
Keyword(s):  
Irreducible Representation ◽  
Differential Equations ◽  
Modular Forms ◽  
Modular Group ◽  
Tensor Products ◽  
Two Dimensional ◽  
Minimal Weight ◽  
Graded Module ◽  
Holomorphic Modular Forms ◽  
Vector Valued

This paper studies modular forms of rank four and level one. There are two possibilities for the isomorphism type of the space of modular forms that can arise from an irreducible representation of the modular group of rank four, and we describe when each case occurs for general choices of exponents for the [Formula: see text]-matrix. In the remaining sections we describe how to write down the corresponding differential equations satisfied by minimal weight forms, and how to use these minimal weight forms to describe the entire graded module of holomorphic modular forms. Unfortunately, the differential equations that arise can only be solved recursively in general. We conclude the paper by studying the cases of tensor products of two-dimensional representations, symmetric cubes of two-dimensional representations, and inductions of two-dimensional representations of the subgroup of the modular group of index two. In these cases, the differential equations satisfied by minimal weight forms can be solved exactly.

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