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The 𝒮-Transform of Sub-fBm and an Application to a Class of Linear Subfractional BSDEs
Advances in Mathematical Physics, 2013 Let SH be a subfractional Brownian motion with index ...
Zhi Wang, Litan Yan
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Quasisymplectic integrators for stochastic differential equations [PDF]
Physical Review E, 2004 7 pages, revtex, 6 eps ...
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Extremal behavior of stochastic volatility models [PDF]
, 2005 Empirical volatility changes in time and exhibits tails, which are heavier than normal. Moreover, empirical volatility has - sometimes quite substantial - upwards jumps and clusters on high levels.
Lindner, Alexander M. +7 more
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Terminal-Dependent Statistical Inference for the Integral Form of FBSDE
Discrete Dynamics in Nature and Society, 2013 Backward Stochastic Differential Equation (BSDE) has been well studied and widely applied. The main difference from the Original Stochastic Differential Equation (OSDE) is that the BSDE is designed to depend on a terminal condition, which is a key factor
Qi Zhang
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Continuous-Discrete Path Integral Filtering
Entropy, 2009 A summary of the relationship between the Langevin equation, Fokker-Planck-Kolmogorov forward equation (FPKfe) and the Feynman path integral descriptions of stochastic processes relevant for the solution of the continuous-discrete filtering problem is ...
Bhashyam Balaji
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State-dependent graviton noise in the equation of geodesic deviation
European Physical Journal C: Particles and Fields, 2021 We consider an equation of the geodesic deviation appearing in the problem of gravitational wave detection in an environment of gravitons. We investigate a state-dependent graviton noise (as discussed in a recent paper by Parikh,Wilczek and Zahariade ...
Z. Haba
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Spike Variations for Stochastic Volterra Integral Equations
SIAM Journal on Control and Optimization, 2023 41 ...
Tianxiao Wang, Jiongmin Yong
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A stochastic Fubini theorem: BSDE method
Journal of Inequalities and Applications, 2017 In this paper, we prove a stochastic Fubini theorem by solving a special backward stochastic differential equation (BSDE, for short) which is different from the existing techniques. As an application, we obtain the well-posedness of a class of BSDEs with
Yanqing Wang
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Boundary Value Problems for Stochastic Differential Equations [PDF]
, 1968 A theory of two-point boundary value problems analogous to the theory of initial value problems for stochastic ordinary differential equations whose solutions form Markov processes is developed.
MacDowell, Thomas William
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FEBS Letters, EarlyView.Inositol pyrophosphates are energy‐rich signaling molecules that perform critical functions in cells. Three different families of phosphatases hydrolyze the β phosphate of the inositol pyrophosphate molecules: two have narrow specificities and one is promiscuous.
Ronda J. Rolfes
wiley +1 more source