Stochastic partial differential equation based modelling of large space–time data sets [PDF]
, 2012 Increasingly larger data sets of processes in space and time ask for statistical models and methods that can cope with such data. We show that the solution of a stochastic advection–diffusion partial differential equation provides a flexible model class ...
Fabio Sigrist, H. Künsch, W. Stahel
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An Explicit Link between Gaussian Fields and Gaussian Markov Random Fields: The Stochastic Partial Differential Equation Approach [PDF]
, 2011 Finn Lindgren +2 more
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Stochastic modelling of viral infection spread via a Partial Integro-Differential Equation [PDF]
Infectious Disease ModellingIn the present article we propose a Partial Integro-Differential Equation (PIDE) model to approximate a stochastic SIS compartmental model for viral infection spread.
Manuel Pájaro +2 more
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Stability of stochastic partial differential equation [PDF]
, 1981 Ruth F. Curtain
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Large deviations for stochastic Kuramoto–Sivashinsky equation with multiplicative noise
Nonlinear Analysis, 2021 The Kuramoto–Sivashinsky equation is a nonlinear parabolic partial differential equation, which describes the instability and turbulence of waves in chemical reactions and laminar flames. The aim of this work is to prove the large deviation principle for
Gregory Amali Paul Rose +2 more
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On Some Results of the Nonuniqueness of Solutions Obtained by the Feynman–Kac Formula
Mathematics, 2023 The Feynman–Kac formula establishes a link between parabolic partial differential equations and stochastic processes in the context of the Schrödinger equation in quantum mechanics.
Byoung Seon Choi, Moo Young Choi
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Complexity, 2023 In this article, we consider the Nash equilibrium of stochastic differential game where the state process is governed by a controlled stochastic partial differential equation and the information available to the controllers is possibly less than the ...
Gaofeng Zong
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A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics [PDF]
SIAM Journal on Financial Mathematics, 2019 We propose an analytically tractable class of models for the dynamics of a limit order book, described as the solution of a stochastic partial differential equation (SPDE) with multiplicative noise.
R. Cont, Marvin S. Müller
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The Wick-type explicit solutions of the nonlinear stochastic Wick-type fractional Gardner equation
Results in Physics, 2021 In this article, we consider the nonlinear stochastic Wick-type fractional Gardner equation and the generalized fractional Gardner equation with coefficient variables.
Jin Hyuk Choi, Hyunsoo Kim
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Understanding the Stochastic Partial Differential Equation Approach to Smoothing [PDF]
Journal of Agricultural Biological and Environmental Statistics, 2019 Correlation and smoothness are terms used to describe a wide variety of random quantities. In time, space, and many other domains, they both imply the same idea: quantities that occur closer together are more similar than those further apart. Two popular
David L. Miller +2 more
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