Results 41 to 50 of about 135 (134)
HIGH ORDER PARACONTROLLED CALCULUS
Forum of Mathematics, Sigma, 2019 We develop in this work a general version of paracontrolled calculus that allows to treat analytically within this paradigm a whole class of singular partial differential equations with the same efficiency as regularity structures.
ISMAËL BAILLEUL, FRÉDÉRIC BERNICOT
doaj +1 more source
Stability of stationary and periodic solutions equations in Banach space
International Journal of Stochastic Analysis, Volume 10, Issue 3, Page 249-255, 1997., 1997 Linear difference and differential equations with operator coefficients and random stationary (periodic) input are considered. Conditions are presented for the mean stability of stationary (periodic) solutions under small perturbation of the coefficients.
A. Ya. Dorogovtsev
wiley +1 more source
Optimal portfolio choice in the bond market [PDF]
Term structure of interest rates, Malliavin calculus, Utility maximization, Infinite-dimensional stochastic processes, E43, 60H07, 60H15, 91B28,
Michael Tehranchi, Nathanael Ringer
core +1 more source
On large deviations regimes for random media models [PDF]
, 2006 We investigate the behavior of probabilities of large deviations above the mean versus large deviations below the mean for random additive functionals in a variety of random media models.
Gauthier, Damien
core +1 more source
Forum of Mathematics, Pi, 2019 In last passage percolation models lying in the Kardar–Parisi–Zhang (KPZ) universality class, the energy of long energy-maximizing paths may be studied as a function of the paths’ pair of endpoint locations.
ALAN HAMMOND
doaj +1 more source
Weak infinitesimal generator for a stochastic partial differential equation with time delay
International Journal of Stochastic Analysis, Volume 8, Issue 2, Page 115-138, 1995., 1995 In this paper, we consider the Markov solution process for a stochastic parabolic differential equation with time delay. Under the Lipschitz condition and boundedness on the drift and diffusion coefficient, properties of the weak infinitesimal generator of the associated Markov operators are established.
Mou-Hsiung Chang
wiley +1 more source
Existence of Lévy term structure models [PDF]
Forward curve spaces, Lévy term structure models, Stochastic integration in Hilbert spaces, Strong, weak and mild solutions of infinite dimensional SDEs, 91B28, 91B70, 60G51, 60H15, E43, G10,
Damir Filipović +2 more
core +1 more source
BSDE associated with Lévy processes and application to PDIE
, 2003 International Journal of Stochastic Analysis, Volume 16, Issue 1, Page 1-17, 2003.
K. Bahlali, M. Eddahbi, E. Essaky
wiley +1 more source
Bound and periodic solutions of the Riccati equation in Banach space
International Journal of Stochastic Analysis, Volume 8, Issue 2, Page 195-200, 1995., 1995 An abstract, nonlinear, differential equation in Banach space is considered. Conditions are presented for the existence of bounded solutions of this equation with a bounded right side, and also for the existence of stationary (periodic) solutions of this equation with a stationary (periodic) process in the right side.
A. Ya. Dorogovtsev, T. A. Petrova
wiley +1 more source
Generalized backward doubly stochastic differential equations driven by Lévy processes with non-Lipschitz coefficients [PDF]
, 2010 We prove an existence and uniqueness result for generalized backward doubly stochastic differential equations driven by Lévy processes with non-Lipschitz assumptions.2000 AMS Mathematics Subject Classification: Primary: 60F05, 60H15; Secondary ...
Aman, Auguste, Owo, Jean-Marc
core +1 more source