[PDF] Top 20 Multidimensional stochastic differential equations with distributional drift
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Multidimensional stochastic differential equations with distributional drift
... tion; ii) when b is a function with reasonable regularity, classical solutions of the SDE (31) are also virtual solutions; this is the content of Proposition 26, where we will illustrate this fact by considering two ... See full document
26
On the Effects of Different Interpretations of Stochastic Differential Equations
... Itô’s stochastic differential calculus by modifying the original SDE with the addition of the Wong-Zakai-Stratonovich corrective term in the drift: in such a way Stratonovich’s solution is ... See full document
16
Uncertainty propagation and quantification in a continuous time dynamical system
... Itˆo stochastic differential equations (introduced by Japanese mathematician ...Itˆo stochastic differential equations have also been used in describing mechanism of climate ... See full document
45
On stochastic differential equations and a generalised Burgers equation
... We would like to point out that there already exist some researches to study the behavior of the ratio between the drift and diffusion coefficients of SDEs. In the literature of mathematical finance, Hodges and ... See full document
14
Online Nonparametric Estimation of Stochastic Differential Equations
... To estimate the distribution, one can assume a specific form for the variables and validate the assumption by some criterion. For example, changes to the logarithm of the stock prices are usually assumed to be normally ... See full document
143
Stochastic differential equations in a scale of Hilbert spaces
... non-equilibrium stochastic dynamics of infinite particle sys- tems of the aforementioned type has been a long-standing problem, even in the case of linear drift and a single-particle diffusion ... See full document
21
On drift parameter estimation for mean reversion type stochastic differential equations with discrete observations
... type stochastic differential equations (SDEs) driven by Brownian ...The equations, involving a small dispersion parameter, are observed at discrete (regularly spaced) time ...type drift ... See full document
23
Stochastic control representations for penalized backward stochastic differential equations
... backward stochastic differential equation (BSDE), which is often used to approximate and solve the corresponding reflected BSDE, admits both op- timal stopping representation and optimal control ...of ... See full document
25
Stochastic Runge-Kutta method for stochastic delay differential equations
... delay differential equation is a stochastic generalization of DDEs, which is systematically treated in Mohammed ...on stochastic Taylor ...the drift and diffusion ...as stochastic ... See full document
30
Improved bridge constructs for stochastic differential equations
... Designing bridge constructs for irreducible, multivariate diffusions is a challenging problem and has received much attention in recent literature. The simplest approach (see e.g. Pedersen 1995) is based on the forward ... See full document
16
Backward stochastic differential equations with Young drift
... Here η has finite q-variation, with q ∈ [ 1 , 2 ) and the last term is a priori not well-defined. There are several approaches to make sense of such a “rough” PDE (or pathwise SPDEs). We shall employ the solution concept ... See full document
17
The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate
... Lipschitz drift coefficient, a locally Lipschitz diffusion coefficient, and the existence of a Lyapunov function for the ...monotone drift coefficient, while [40] establishes the almost sure and strong convergence ... See full document
21
Asymptotic behaviours of stochastic differential delay equations
... To prove our main result, which is a stochastic version of the well-known LaSalle theorem (see [8,13]) for locating limit sets of Eq. (1), we will need the following nonnega- tive semi-martingale convergence ... See full document
7
Path Integral Methods for Stochastic Differential Equations
... Although Wiener introduced path integrals to study stochastic processes, these methods are not commonly used nor familiar to much of the neuroscience or applied mathematics community. There are many textbooks on ... See full document
35
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
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
Measure of noncompactness and application to stochastic differential equations
... 4. Rodkina, A: Solubility of stochastic differential equations with perturbed argument. Ukr. Math. J. 37(1), 98-103 (1985) 5. Veretennikov, AY: On strong solutions of stochastic differential ... See full document
17
Numerical methods for simulation of stochastic differential equations
... In this paper we have studied the Euler and Milstein schemes which are obtained from the truncated Ito-Taylor expansion already proposed in [7]. Then we implemented these schemes to a nonlinear stochastic ... See full document
10
Discretisations of rough stochastic partial differential equations
... rough stochastic PDEs and investigate convergence properties of the approximate ...one-dimensional stochastic PDEs of Burgers type driven by an additive space-time white ...these equations converge ... See full document
166
Discontinuous Quantum Stochastic Differential Equations and The Associated Kurzweil Equations
... Quantum stochastic differential equations (QSDEs) of systems that exhibit discontinuity are introduced with the Kurzweil equations associated with this class of ...Kurzweil equations ... See full document
7
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