Results 41 to 50 of about 134 (133)
Generalized functionals of Brownian motion
International Journal of Stochastic Analysis, Volume 7, Issue 3, Page 247-267, 1994., 1993 In this paper we discuss some recent developments in the theory of generalized functionals of Brownian motion. First we give a brief summary of the Wiener‐Ito multiple Integrals. We discuss some of their basic properties, and related functional analysis on Wiener measure space. then we discuss the generalized functionals constructed by Hida.
N. U. Ahmed
wiley +1 more source
A Perturbation Theory for Ergodic Properties of Markov Chains [PDF]
, 2000 Perturbations to Markov chains and Markov processes are considered. The unperturbed problem is assumed to be geometrically ergodic in the sense usually established through use of Foster-Lyapunov drift conditions.
Shardlow, Tony +5 more
core +1 more source
On the Cauchy problem of a degenerate parabolic-hyperbolic PDE with Lévy noise
Advances in Nonlinear Analysis, 2017 In this article, we deal with the stochastic perturbation of degenerate parabolic partial differential equations (PDEs). The particular emphasis is on analyzing the effects of a multiplicative Lévy noise on such problems and on establishing a well ...
Biswas Imran H. +2 more
doaj +1 more source
Behavior with respect to the Hurst index of the Wiener Hermite integrals and application to SPDEs
, 2019 International audienceWe consider the Wiener integral with respect to a d-parameter Hermite process with Hurst multi-index H = (H 1 , .., H d) ∈ 1 2 , 1 d and we analyze the limit behavior in distribution of this object when the components of H tend to 1
Tudor, Ciprian A., Slaoui, Meryem
core +1 more source
Nonlinear Fokker-Planck equations with time-dependent coefficients
, 2022 An operatorial based approach is used here to prove the existence and uniqueness of a strong solution $u$ to the time-varying nonlinear Fokker--Planck equation $u_t(t,x)-\Delta(a(t,x,u(t,x))u(t,x))+{\rm div}(b(t,x,u(t,x))u(t,x))=0$ in $(0,\infty)\times
Barbu, Viorelc +2 more
core +1 more source
Intermittency for the wave equation with Lévy white noise
, 2020 In this article, we consider the stochastic wave equation on R + × R driven by the Lévy white noise introduced in MSC 2010: Primary 60H15; secondary 60G51 ...
† Cheikh, Raluca M Balan, B Ndongo
core
Parameter estimations for linear parabolic fractional SPDEs with jumps
, 2019 We give an unbiased and consistent estimator for the drift coefficient of a linear parabolic stochastic partial differential equation driven by a multiplicative cylindrical fractional Brownian motion with Hurst index 1/2 < h < 1 and a cylindrical ...
LISEI, Hannelore +2 more
core +1 more source
The obstacle problem for semilinear parabolic partial integro-differential equations
, 2015 International audienceWe give a probabilistic interpretation for the weak Sobolev solution of obstacle problem for semilinear parabolic partial integro-differential equations (PIDE).
Matoussi, Anis +2 more
core +1 more source
On a Stochastic Partial Differential Equation with a Noisy Term [PDF]
, 2004 2000 Mathematics Subject Classification: 60H15, 60H40We review results obtained in [13] and [14] on a one-dimensional Burgers-type stochastic differential equation involving fractional power of the Laplacian in its linear part, perturbed by a white noise
Kolkovska, Ekaterina T.
core
Parameter estimation in diagonalizable bilinear stochastic parabolic equations
Regular models, Singular models, Multiplicative noise, SPDE, Primary 62F12, Secondary 60H15,
Igor Cialenco, Sergey Lototsky
core +1 more source