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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Stochastic complex integrals in a two-dimensional flow
International Journal of Mathematics for Industry, 2021 Two-dimensional flow is considered in the [Formula: see text] plane. A flat plate is placed parallel to the [Formula: see text]-axis. The circulation of the flow is investigated and it is the real part of the stochastic complex integral.
Kouji Yamamuro
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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 +1 more
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White noise based stochastic calculus associated with a class of Gaussian processes [PDF]
Opuscula Mathematica, 2012 Using the white noise space setting, we define and study stochastic integrals with respect to a class of stationary increment Gaussian processes. We focus mainly on continuous functions with values in the Kondratiev space of stochastic distributions ...
Daniel Alpay, Haim Attia, David Levanony
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A Numerical Scheme for Harmonic Stochastic Oscillators Based on Asymptotic Expansions
Mathematics, 2022 In this work, we provide a numerical method for discretizing linear stochastic oscillators with high constant frequencies driven by a nonlinear time-varying force and a random force.
Carmela Scalone
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Estimates for multiple stochastic integrals and stochastic Hamilton-Jacobi equations [PDF]
, 2004 We study stochastic Hamilton-Jacobi-Bellman equations and the corresponding Hamiltonian systems driven by jump-type Lévy processes. The main objective of the present paper is to show existence, uniqueness and a (locally in time) diffeomorphism ...
Kolokoltsov, V. N. (Vasiliĭ Nikitich) +10 more
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On approximation of stochastic integrals with respect to a fractional Brownian motion
Lietuvos Matematikos Rinkinys, 2005 There is not abstract.
Kęstutis Kubilius
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Aumann Type Set-valued Lebesgue Integral and Representation Theorem [PDF]
International Journal of Computational Intelligence Systems, 2009 n this paper, we shall firstly illustrate why we should discuss the Aumann type set-valued Lebesgue integral of a set-valued stochastic process with respect to time t under the condition that the set-valued stochastic process takes nonempty compact ...
Jungang Li, Shoumei Li
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Fractional variational problems and particle in cell gyrokinetic simulations with fuzzy logic approach for tokamaks [PDF]
Nuclear Technology and Radiation Protection, 2009 In earlier Rastovic's papers [1] and [2], the effort was given to analyze the stochastic control of tokamaks. In this paper, the deterministic control of tokamak turbulence is investigated via fractional variational calculus, particle in cell simulations,
Rastović Danilo
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Iterated stochastic integrals and random velocity fluctuations
International Journal of Mathematics for Industry, 2023 Iterated stochastic integrals of nonrandom integrands are constructed in the two-dimensional case. They are applied to the velocity fluctuations in a two-dimensional flow and mean kinetic energy of the velocity fluctuations is discussed.
Kouji Yamamuro
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