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[PDF] Top 20 Discretisations of rough stochastic partial differential equations

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Discretisations of rough stochastic partial differential equations

Discretisations of rough stochastic partial differential equations

... My research and a wider understanding of related topics was influenced by many people from Warwick and abroad. Particularly, I am grateful to Peter Friz for his enormous endeavor to establish connections between ... See full document

166

Multiscale Model Reduction Methods for Deterministic and Stochastic Partial Differential Equations

Multiscale Model Reduction Methods for Deterministic and Stochastic Partial Differential Equations

... Due to the wide range of scales in these solutions, it is extremely challenging to resolve the small scales of the solutions by direct numerical simulation. Tremendous computational resources are required to solve for ... See full document

118

Mean Square Convergent Finite Difference Scheme for Stochastic Parabolic PDEs

Mean Square Convergent Finite Difference Scheme for Stochastic Parabolic PDEs

... Stochastic partial differential equations (SPDEs) describe the dynamics of stochastic processes depending on space-time ...These equations have been widely used to model many ap- ... See full document

10

Backward stochastic differential equations with Young drift

Backward stochastic differential equations with Young drift

... of rough paths. Motivated by a problem in stochastic filtering, (Dan and et al 2013) gives a formal meaning to the mixed SDE by using a flow decompo- sition which separates the stochastic integration ... See full document

17

A solution theory for a general class of SPDEs

A solution theory for a general class of SPDEs

... treating stochastic partial differential equations with multiplicative noise by rewriting them as stochastically perturbed evo- lutionary equations in the sense of Picard and McGhee ... See full document

41

Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations

Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations

... second-order-in-time stochastic par- tial differential equations (SPDEs) in one space ...second-order-in-time stochastic differential equations to multi- dimensional ...These ... See full document

15

Parameter estimation for rough differential equations

Parameter estimation for rough differential equations

... [2] A. Papavasiliou, G.A. Pavliotis and A.M. Stuart. Maximum Likelihood Drift Es- timation for Multiscale Diffusions. Stochastic Processes Applications (to appear). [3] T.J. Lyons, M.J. Caruna and T. L´ evy. ... See full document

16

Feynman Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations

Feynman Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations

... A: Stochastic Differential Equations and ...RZ: Stochastic Stability of Differential Equations, 2nd ...X: Stochastic Differential Equations and Their ...B: Stochastic ... See full document

13

On existence of solutions of a impulsive stochastic partial functional integro differential equation with the measure of noncompactness

On existence of solutions of a impulsive stochastic partial functional integro differential equation with the measure of noncompactness

... differential equations have attracted great interest due to their applications in characterizing many problems in physics, biology, mechanics, and so on; see ...these equations (see [–] and the references ... See full document

27

Boundary value problems for stochastic differential equations

Boundary value problems for stochastic differential equations

... BOUNDARY VALUE PROBLEHS FOR STOCHASTIC DIFFERENTIAL EQUATIONS Thesis by Thomas 1 Tilliam HacDm rell In Partial Fulfillment of the Requirements For the Degree of Doctor of Philosophy California Institu[.] ... See full document

86

Adaptive Methods Exploring Intrinsic Sparse Structures of Stochastic Partial Differential Equations

Adaptive Methods Exploring Intrinsic Sparse Structures of Stochastic Partial Differential Equations

... by stochastic forces are considered, which can be considered the simplest ...by stochastic force as an example of a nonlinear PDE driven by stochastic forces, where the con- vergence of the DyBO ... See full document

224

Finite Difference Approximation for Linear Stochastic Partial Differential Equations with Method of Lines

Finite Difference Approximation for Linear Stochastic Partial Differential Equations with Method of Lines

... In terms of the numeric procedure developed in this paper, within fi nance there are two applications that have potential for development. The fi rst application is to the forward rate equation formulated under the Musiela ... See full document

19

Backward stochastic partial differential equations driven by infinite dimensional martingales and applications

Backward stochastic partial differential equations driven by infinite dimensional martingales and applications

... The rest of the paper is organized as follows. Section 2 consists of two subsections and is devoted to giving some necessary information about mar- tingales taking their values in Hilbert spaces and stochastic ... See full document

37

Optimal filtering for systems governed by coupled ordinary and partial differential equations

Optimal filtering for systems governed by coupled ordinary and partial differential equations

... -7- In Chapter IV an optimal filter is derived for a completely general class of stochastic systems governed by coupled nonlinear ordinary and partial differential equations of either fi[r] ... See full document

170

Computer algebra derives discretisations of the stochastically forced Burgers' partial differential equation

Computer algebra derives discretisations of the stochastically forced Burgers' partial differential equation

... on a domain large enough so the boundaries are immaterial. I seek a discrete model in the interior of the domain. In particular, I model effects quadratic in the noise amplitude σ. We seek a normal form where the model ... See full document

31

Non zero sum differential games of anticipated forward backward stochastic differential delayed equations under partial information and application

Non zero sum differential games of anticipated forward backward stochastic differential delayed equations under partial information and application

... Game theory has been pervading the economic theory, and it attracts more and more re- search attention. It was firstly introduced by Von Neumann and Morgenstern [21]. Nash [22] made the fundamental contribution in ... See full document

21

Stochastic partial differential equations with coefficients depending on VaR

Stochastic partial differential equations with coefficients depending on VaR

... [12] Thomas G. Kurtz, Philip E. Protter. Weak convergence of stochastic in- tegrals and differential equations. II. Infinite-dimensional case. In “Prob- abilistic Models for Nonlinear Partial ... See full document

98

Reichenbach, Tobias
  

(2008):


	Dynamic patterns of biological systems: From transport to species diversity.


Dissertation, LMU München: Fakultät für Physik

Reichenbach, Tobias (2008): Dynamic patterns of biological systems: From transport to species diversity. Dissertation, LMU München: Fakultät für Physik

... ordinary differential equa- tions (ODE) for the time-evolution of the species’ ...of stochastic effects or spatial degrees of freedom into such coarse-grained descriptions represents non-trivial ... See full document

167

Regularity of the Solutions to SPDEs in Metric Measure Spaces

Regularity of the Solutions to SPDEs in Metric Measure Spaces

... of stochastic equations considered in the paper by Hinz and Z¨ahle [24, Section ...consider stochastic partial differential equations driven by fractional Brownian noises on ... See full document

20

The Osgood condition for stochastic partial differential equations

The Osgood condition for stochastic partial differential equations

... [15] Marta Sanz-Solé and Mònica Sarrà. Hölder continuity for the stochastic heat equation with spatially correlated noise. In Progress in Probability, volume 52, Seminar on Stochastic Analysis, Random ... See full document

19

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