Results 11 to 20 of about 26,981 (268)

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
openaire   +3 more sources

On Convergence to Stochastic Integrals [PDF]

Journal of Theoretical Probability, 2015
20pages
Lin, Zhengyan, Wang, Hanchao
openaire   +3 more sources

On the complexity of stochastic integration [PDF]

Mathematics of Computation, 2000
We study the complexity of approximating stochastic integrals with error ε \varepsilon
Grzegorz W. Wasilkowski, Henryk Wozniakowski   +1 more
openaire   +3 more sources

An Extension of the Stochastic Integral

The Annals of Probability, 1982
Two related extensions of the stochastic integral are discussed. These extensions allow the integrand to anticipate the Brownian motion, and arise in the study of linear stochastic integral equations. The development is based on the homogeneous chaos expansion of the integrand.
Berger, Marc A., Mizel, Victor J.
openaire   +2 more sources

Kajian Integral Lintasan Levy dalam Mekanika Kuantum Fraksional untuk Membentuk Persamaan Schrodinger Fraksional

Risenologi, 2020
The implementation of Lévy path integral generated by Lévy stochastic process on fractional Schrödinger equation has been investigated in the framework of fractional quantum mechanics.
Chandra Halim, M. Farchani Rosyid
doaj   +1 more source

Stochastic Integrals: A Combinatorial Approach [PDF]

The Annals of Probability, 1997
A unified combinatorial definition of multiple stochastic integrals is given in the setting of random measures. The notion of stochastic sequence of binomial type is introduced as a generalization of special polynomial sequences appearing commonly in stochastic integration including Hermite, Poisson-Charlier and Kravchuk polynomials.
Rota, Gian-Carlo, Wallstrom, Timothy C.
openaire   +3 more sources

Set-Valued Stochastic Equation with Set-Valued Square Integrable Martingale

ITM Web of Conferences, 2017
In this paper, we shall introduce the stochastic integral of a stochastic process with respect to set-valued square integrable martingale. Then we shall give the Aumann integral measurable theorem, and give the set-valued stochastic Lebesgue integral and
Li Jun-Gang, Zheng Shi-Qing
doaj   +1 more source

On a Coupled System of Random and Stochastic Nonlinear Differential Equations with Coupled Nonlocal Random and Stochastic Nonlinear Integral Conditions

Mathematics, 2021
It is well known that Stochastic equations had many useful applications in describing numerous events and problems of real world, and the nonlocal integral condition is important in physics, finance and engineering.
Ahmed M. A. El-Sayed, Hoda A. Fouad
doaj   +1 more source

Stochastic Lie Group Integrators [PDF]

SIAM Journal on Scientific Computing, 2008
We present Lie group integrators for nonlinear stochastic differential equations with non-commutative vector fields whose solution evolves on a smooth finite dimensional manifold. Given a Lie group action that generates transport along the manifold, we pull back the stochastic flow on the manifold to the Lie group via the action, and subsequently pull ...
Simon J. A. Malham, Anke Wiese
openaire   +3 more sources

A note on Kurzweil-Henstock's anticipating non-stochastic integral [PDF]

Mathematica Bohemica
Motivated by the study of anticipating stochastic integrals using Kurzweil-Henstock approach, we use anticipating interval-point pairs (with the tag as the right-end point of the interval) in studying non-stochastic integral, which we call the Kurzweil ...
Yu Xin Ng, Tin Lam Toh
doaj   +1 more source