Results 11 to 20 of about 2,215,169 (319)
An Optimal Control Problem of Forward-Backward Stochastic Volterra Integral Equations with State Constraints [PDF]
Abstract and Applied Analysis, 2014 This paper is devoted to the stochastic optimal control problems for systems governed by forward-backward stochastic Volterra integral equations (FBSVIEs, for short) with state constraints.
Qingmeng Wei, Xinling Xiao
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Set-valued and fuzzy stochastic integral equations driven by semimartingales under Osgood condition
Open Mathematics, 2015 We analyze the set-valued stochastic integral equations driven by continuous semimartingales and prove the existence and uniqueness of solutions to such equations in the framework of the hyperspace of nonempty, bounded, convex and closed subsets of the ...
Malinowski Marek T.
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Stochastic variational integrators [PDF]
IMA Journal of Numerical Analysis, 2008 This paper presents a continuous and discrete Lagrangian theory for stochastic Hamiltonian systems on manifolds. The main result is to derive stochastic governing equations for such systems from a critical point of a stochastic action. Using this result the paper derives Langevin-type equations for constrained mechanical systems and implements a ...
Bou-Rabee, Nawaf, Owhadi, Houman
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Numerical methods for stochastic Volterra integral equations with weakly singular kernels [PDF]
IMA Journal of Numerical Analysis, 2020 In this paper we first establish the existence, uniqueness and Hölder continuity of the solution to stochastic Volterra integral equations (SVIEs) with weakly singular kernels, with singularities $\alpha \in (0, 1)$ for the drift term and $\beta \in (0,
Min Li, Chengming Huang, Yaozhong Hu
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Singular stochastic integral operators [PDF]
Analysis & PDE, 2019 In this paper we introduce Calder\'on-Zygmund theory for singular stochastic integrals with operator-valued kernel. In particular, we prove $L^p$-extrapolation results under a H\"ormander condition on the kernel.
E. Lorist, M. Veraar
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On a new set-valued stochastic integral with respect to semimartingales and its applications
Journal of Mathematical Analysis and Applications, 2013 M. T. Malinowski
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Feynman--Kac formula for the heat equation driven by fractional noise with Hurst parameter $H<1/2$ [PDF]
, 2012 In this paper, a Feynman-Kac formula is established for stochastic partial differential equation driven by Gaussian noise which is, with respect to time, a fractional Brownian motion with Hurst parameter ...
Hu, Yaozhong, Lu, Fei, Nualart, David
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Proceedings of the Royal Society A, 2020 A Wiener path integral variational formulation with free boundaries is developed for determining the stochastic response of high-dimensional nonlinear dynamical systems in a computationally efficient manner.
Ioannis Petromichelakis +1 more
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Gauge Integral Structures for Stochastic Calculus and Quantum Electrodynamics, 2018 Stochastic processes are probabilistic models of data streams such as speech, audio and video signals, stock market prices, and measurements of physical phenomena by digital sensors such as medical instruments, GPS receivers, or seismographs.
Dr. Gergely Záruba
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Backward stochastic Volterra integral equations—Representation of adapted solutions [PDF]
Stochastic Processes and their Applications, 2018 For backward stochastic Volterra integral equations (BSVIEs, for short), under some mild conditions, the so-called adapted solutions or adapted M-solutions uniquely exist.
Tianxiao Wang, J. Yong
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