Results 211 to 220 of about 4,079 (268)
Dynamics, Noise, Delays and the Gibbs and Conditional Entropy. [PDF]
Entropy (Basel)Mackey MC, Tyran-Kamińska M.
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Quasistationarity and extinction for population processes under asymptotic reversibility conditions. [PDF]
J Math BiolClancy D.
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Levy Noise Affects Ornstein-Uhlenbeck Memory. [PDF]
Entropy (Basel)Eliazar I.
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On the Coupling Between Cosmological Dynamics and Quantum Behavior: A Multiscale Thermodynamic Framework. [PDF]
Entropy (Basel)Warkentin A.
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On Stochastic Integration and Differentiation
Acta Applicandae Mathematica, 1999This short note presents a method to identify the integrands \((\varphi_j)_{j=1}^n\) for a martingale \(\xi_t=\sum_{j=1}^n\int_0^t\varphi_j d\eta^j_t\), \((\eta^j)_{j=1}^n\) being independent Brownian motions, in a measurable way. The quintessence of the method is an \(L^2\)-limit of certain approximations to the quadratic covariation between \(\xi ...
Di Nunno, G., Rozanov, Yu. A.
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IEEE Transactions on Automatic Control, 2013
The technical note deals with state estimation of nonlinear stochastic dynamic systems. Traditional filters providing local estimates of the state, such as the extended Kalman filter, unscented Kalman filter, or the cubature Kalman filter, are based on computationally efficient but approximate integral evaluations.
Jindrich Duník +2 more
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The technical note deals with state estimation of nonlinear stochastic dynamic systems. Traditional filters providing local estimates of the state, such as the extended Kalman filter, unscented Kalman filter, or the cubature Kalman filter, are based on computationally efficient but approximate integral evaluations.
Jindrich Duník +2 more
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Stochastic integration with respect to a stochastic integral
Stochastic Analysis and Applications, 1997In this paper we prove first the property of integration with respect to a measure defined by density,h(fm) = (hf)mor a measure mand functions f,h, taking values in Banach spaces. Then we use this result to prove the similar “associativity” property of the stochastic integralL.(K-X)= (LK) Xfor processes X,K,Ltaking values in Banach ...
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A Stochastic Integral Equation
SIAM Journal on Applied Mathematics, 1970We investigate a stochastic integral equation of the form $x'(s) = y'(s) + \int_0^\alpha {K(s,t)dx(t)} $, where $y( s )$ is a process with orthogonal increments on the interval $T_\alpha = [0,\alpha ]$ and $K(s,t)$ is a continuous Fredholm or Volterra kernel on $T_\alpha \times T_\alpha $.
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On a class of stochastic integrals
Commentarii mathematici Universitatis Sancti Pauli = Rikkyo Daigaku sugaku zasshi, 1988Let (\(\Omega\),\({\mathcal F},P)\) be a probability space. If a random variable X is from \(L^ r(dP)\), \(r>0\), then \(\| X\|_ r=(E| X|^ r)^{1/r}\). The notion of an \(S_{r,p}\) system \((r,p>0)\) was introduced by \textit{F. Moricz} [Acta Sci. Math. 38, 127-144 (1976; Zbl 0325.42007)] in the following way: A sequence \(\{X_ 1,X_ 2,...\}\) of random ...
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