Results 61 to 70 of about 21,651 (169)
Gradient estimates for stochastic evolution equations with non-Lipschitz coefficients
Journal of Mathematical Analysis and Applications, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wang, Feng-Yu, Zhang, Tu-Sheng
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Backward Euler method for stochastic differential equations with non-Lipschitz coefficients
, 2022 We study the traditional backward Euler method for $m$-dimensional stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H > 1/2$ whose drift coefficient satisfies the one-sided Lipschitz condition. The backward Euler scheme is proved to be of order $1$ and this rate is optimal by showing the asymptotic error ...
Zhou, Hao, Hu, Yaozhong, Liu, Yanghui
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Reinforcement Learning for Jump‐Diffusions, With Financial Applications
Mathematical Finance, EarlyView.ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
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Sobolev-type fractional stochastic differential equations with non-Lipschitz coefficients
Journal of Computational and Applied Mathematics, 2017 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Abbes Benchaabane, Rathinasamy Sakthivel
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Mathematical Finance, EarlyView.ABSTRACT This study develops a novel multivariate stochastic framework for assessing systemic risks, such as climate and nature‐related shocks, within production or financial networks. By embedding a linear stochastic fluid network, interpretable as a generalized vector Ornstein–Uhlenbeck process, into the production network of interdependent ...
Giovanni Amici +3 more
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Fourier Mass Lower Bounds for Batchelor‐Regime Passive Scalars
Communications on Pure and Applied Mathematics, Volume 79, Issue 6, Page 1449-1466, June 2026.ABSTRACT Batchelor predicted that a passive scalar ψν$\psi ^\nu$ with diffusivity ν$\nu$, advected by a smooth fluid velocity, should typically have Fourier mass distributed as |ψ̂ν|2(k)≈|k|−d$|\widehat{\psi }^\nu |^2(k) \approx |k|^{-d}$ for |k|≪ν−1/2$|k| \ll \nu ^{-1/2}$.
William Cooperman, Keefer Rowan
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Fractional backward stochastic variational inequalities with non-Lipschitz coefficient
Brazilian Journal of Probability and Statistics, 2019 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Stochastic invariance of closed sets with non-Lipschitz coefficients
, 2016 This paper provides a new characterization of the stochastic invariance of a closed subset of R^d with respect to a diffusion. We extend the well-known inward pointing Stratonovich drift condition to the case where the diffusion matrix can fail to be differentiable: we only assume that the covariance matrix is. In particular, our result can be directly
Jaber, Eduardo Abi +3 more
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On MAP Estimates and Source Conditions for Drift Identification in SDEs
Proceedings in Applied Mathematics and Mechanics, Volume 26, Issue 2, June 2026.ABSTRACT We consider the inverse problem of identifying the drift in an stochastic differential equation (SDE) from n$n$ observations of its solution at M+1$M+1$ distinct time points. We derive a corresponding maximum a posteriori (MAP) estimate, we prove differentiability properties as well as a so‐called tangential cone condition for the forward ...
Daniel Tenbrinck +3 more
wiley +1 more source
Product measurability with applications to a stochastic contact problem with friction
Electronic Journal of Differential Equations, 2014 A new product measurability result for evolution equations with random inputs, when there is no uniqueness of the omega-wise problem, is established using results on measurable selection theorems for measurable multi-functions. The abstract result is
Kenneth L. Kuttler, Meir Shillor
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