Results 21 to 30 of about 105,022 (283)
Poisson stochastic integration in Banach spaces [PDF]
, 2013 We prove new upper and lower bounds for Banach space-valued stochastic integrals with respect to a compensated Poisson random measure. Our estimates apply to Banach spaces with non-trivial martingale (co)type and extend various results in the literature.
Dirksen, Sjoerd +2 more
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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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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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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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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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AIMS Mathematics, 2022 This paper is concerned with parameter estimation for partially observed stochastic differential equations driven by fractional Brownian motion. Firstly, the state estimation equation is given and the parameter estimator is derived.
Chao Wei
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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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, 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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Stochastic Calculus for Markov Processes Associated with Non-symmetric Dirichlet Forms
, 2011 Nakao's stochastic integrals for continuous additive functionals of zero energy are extended from the symmetric Dirichlet forms setting to the non-symmetric Dirichlet forms setting.
Chen, Chuan-Zhong, Ma, Li, Sun, Wei
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