Results 11 to 20 of about 227 (172)
Journal of Inequalities and Applications, 2011 In this article, some inequalities on convolution equations are presented firstly. The mean square stability of the zero solution of the impulsive stochastic Volterra equation is studied by using obtained inequalities on Liapunov function, including mean
Zhao Dianli, Han Dong
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The geometry of the space of branched rough paths
Proceedings of the London Mathematical Society, Volume 121, Issue 2, Page 220-251, August 2020., 2020 Abstract We construct an explicit transitive free action of a Banach space of Hölder functions on the space of branched rough paths, which yields in particular a bijection between these two spaces. This endows the space of branched rough paths with the structure of a principal homogeneous space over a Banach space and allows to characterize its ...
Nikolas Tapia, Lorenzo Zambotti
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Quasi‐shuffle algebras and renormalisation of rough differential equations
Bulletin of the London Mathematical Society, Volume 52, Issue 1, Page 43-63, February 2020., 2020 Abstract The objective of this work is to compare several approaches to the process of renormalisation in the context of rough differential equations using the substitution bialgebra on rooted trees known from backward error analysis of B‐series. For this purpose, we present a so‐called arborification of the Hoffman–Ihara theory of quasi‐shuffle ...
Yvain Bruned +2 more
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Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff [PDF]
, 2009 Barrier option, Complexity, Digital option, Euler–Maruyama, Lookback option, Path-dependent option, Statistical error, Strong error, Weak error, 65C05, 60H10, C15, C63,
Higham, Desmond J. +8 more
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On copulas of self-similar Ito processes
Dependence Modeling, 2021 We characterize the cumulative distribution functions and copulas of two-dimensional self-similar Ito processes, with randomly correlated Wiener margins, as solutions of certain elliptic partial differential equations.
Jaworski Piotr, Krzywda Marcin
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Exact solutions of the stochastic new coupled Konno-Oono equation
Results in Physics, 2021 In this paper we consider the stochastic Konno-Oono equation, which is forced by multiplicative noise. In order to find exact solutions of stochastic nonlinear Konno-Oono equations, generalized G′G-expansion method are implemented.
Wael W. Mohammed +3 more
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A Model for Liver Homeostasis Using Modified Mean‐Reverting Ornstein–Uhlenbeck Process
Computational and Mathematical Methods in Medicine, Volume 11, Issue 1, Page 27-47, 2010., 2010 Short of a liver biopsy, hepatic disease and drug‐induced liver injury are diagnosed and classified from clinical findings, especially laboratory results. It was hypothesized that a healthy hepatic dynamic equilibrium might be modelled by an Ornstein–Uhlenbeck (OU) stochastic process, which might lead to more sensitive and specific diagnostic criteria.
D. C. Trost +4 more
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Predictability and uniqueness of weak solutions of the stochastic differential equations
Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica, 2023 Causality is a topic which receives much attention nowadays and it represents a prediction property in the context of possible reduction of available information in order to predict a given filtration.
Merkle Ana
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Effect of randomly fluctuating environment on autotroph‐herbivore model system
International Journal of Mathematics and Mathematical Sciences, Volume 2004, Issue 68, Page 3703-3716, 2004., 2004 First we deal with a brief introduction of the autotroph‐herbivore model system along with deterministic analysis of local stability, bifurcation behavior, and persistence of the populations. The second part consists of the stochastic formulation of the model system to incorporate the effect of environmental fluctuation and then analysis of ...
Tapan Saha, Malay Bandyopadhyay
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Open Mathematics, 2022 In this paper, our aims are to study the stability with general decay rate of hybrid stochastic fractional differential equations driven by Lévy noise with impulsive effects.
Hou Tingting, Zhang Hui
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