Results 61 to 70 of about 144 (141)
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
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Probability structure preserving and absolute continuity [PDF]
, 2002 . – The concept of probability structure preserving mapping is introduced. The idea is applied to define stochastic integral for fractional Brownian motion (fBm) and to obtain an anticipative Girsanov theorem for fBm.
Hu, Yaozhong, Yaozhong Hu
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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
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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
Parameter estimation in diagonalizable bilinear stochastic parabolic equations
Regular models, Singular models, Multiplicative noise, SPDE, Primary 62F12, Secondary 60H15,
Igor Cialenco, Sergey Lototsky
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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.
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Sub- and Super-solutions of a Nonlinear PDE, and Application to a Semilinear SPDE [PDF]
, 2013 2010 Mathematics Subject Classification: 35R60, 60H15, 74H35.We obtain upper and lower bounds for the explosion time of a semi-linear heat equation on a bounded $d$-dimensional domain, perturbed by white noise. The bounds we get are expressed in terms of
Kolkovska, E. T., López-Mimbela, J. A.
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Optimal portfolio choice in the bond market
Term structure of interest rates, Malliavin calculus, Utility maximization, Infinite-dimensional stochastic processes, E43, 60H07, 60H15, 91B28,
Michael Tehranchi, Nathanael Ringer
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A branching particle approximation to a filtering micromovement model of asset price
Particle filters, Monte Carlo approximation, Filtering, Counting process, Stochastic partial differential equation, Ultra-high frequency data, Primary: 60H15, Secondary: 60K35, 35R60, 93E11, 60F05, 91B28,
Jie Xiong, Yong Zeng
core +1 more source
Existence of Lévy term structure models
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
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