Results 21 to 30 of about 104,971 (280)
Functionals in stochastic thermodynamics: how to interpret stochastic integrals [PDF]
, 2019 In stochastic thermodynamics standard concepts from macroscopic thermodynamics, such as heat, work, and entropy production, are generalized to small fluctuating systems by defining them on a trajectory-wise level.
Bo, S., Eichhorn, R., Lim, S.
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Open Mathematics, 2019 This paper aims to present a new pathwise approximation method, which gives approximate solutions of order 32$\begin{array}{} \displaystyle \frac{3}{2} \end{array}$ for stochastic differential equations (SDEs) driven by multidimensional Brownian motions.
Alhojilan Yazid
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Asymptotic stability of stochastic differential equations driven by Lévy noise [PDF]
, 2009 Using key tools such as Ito's formula for general semimartingales, Kunita's moment estimates for Levy-type stochastic integrals, and the exponential martingale inequality, we find conditions under which the solutions to the stochastic differential ...
David Applebaum +9 more
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A note on Kurzweil-Henstock's anticipating non-stochastic integral [PDF]
Mathematica BohemicaMotivated 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
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Optimal Portfolios for Different Anticipating Integrals under Insider Information
Mathematics, 2020 We consider the non-adapted version of a simple problem of portfolio optimization in a financial market that results from the presence of insider information. We analyze it via anticipating stochastic calculus and compare the results obtained by means of
Carlos Escudero, Sandra Ranilla-Cortina
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A tree approach to $p$-variation and to integration [PDF]
, 2008 We consider a real-valued path; it is possible to associate a tree to this path, and we explore the relations between the tree, the properties of $p$-variation of the path, and integration with respect to the path. In particular, the fractal dimension of
Picard, Jean
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Geometric analysis of noisy perturbations to nonholonomic constraints
, 2017 We propose two types of stochastic extensions of nonholonomic constraints for mechanical systems. Our approach relies on a stochastic extension of the Lagrange-d'Alembert framework. We consider in details the case of invariant nonholonomic systems on the
AM Bloch +16 more
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, 2020 The article is devoted to the expansions of iterated Stratonovich stochastic integrals of multiplicities 1 to 4 on the basis of the method of generalized multiple Fourier series that are converge in the sense of norm in Hilbert space $L_2([t, T]^k),$ $k ...
Kuznetsov, Dmitriy F.
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Mittag–Leffler Fractional Stochastic Integrals and Processes with Applications
MathematicsWe study Mittag–Leffler (ML) fractional integrals involved in the solution processes of a system of coupled fractional stochastic differential equations.
Enrica Pirozzi
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Strong Law of Large Numbers for Solutions of Non-Autonomous Stochastic Differential Equations
Наукові вісті Національного технічного університету України "Київський політехнічний інститут", 2017 Background. Asymptotic behavior at infinity of non-autonomous stochastic differential equation solutions is studied in the paper. Objective. The aim of the work is to find sufficient conditions for the strong law of large numbers for a random process ...
Oleg I. Klesov +2 more
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