Related papers: Discrete approximation of stable white noise - App…
In this paper we propose and analyze explicit space-time discrete numerical approximations for additive space-time white noise driven stochastic partial differential equations (SPDEs) with non-globally monotone nonlinearities such as the…
The aim of this paper is to present a result of discrete approximation of some class of stable self-similar stationary increments processes. The properties of such processes were intensively investigated, but little is known on the context…
This work is devoted to the asymptotic analysis of high frequency wave propagation in random media with long-range dependence. We are interested in two asymptotic regimes, that we investigate simultaneously: the paraxial approximation,…
We study approximations to a class of vector-valued equations of Burgers type driven by a multiplicative space-time white noise. A solution theory for this class of equations has been developed recently in [Hairer, Weber, Probab. Theory…
Numerical approximation of a stochastic partial integro-differential equation driven by a space- time white noise is studied by truncating a series representation of the noise, with finite element method for spatial discretization and…
This article studies the scaling limit of a class of shot-noise fields defined on an independently marked stationary Poisson point process and with a power law response function. Under appropriate conditions, it is shown that the shot-noise…
We propose and analyse a new type of fully discrete finite element approximation of a class of linear stochastic parabolic evolution equations with additive noise. Our discretization differs from previous ones in that we use a finite…
We propose and analyse a new type of fully discrete surface finite element approximation of a class of linear parabolic stochastic evolution equations with additive noise. Our discretization uses a surface finite element approximation of…
Using lattice approximations of Euclidean space, we develop a way to approximate stable processes that are represented by stochastic integrals over Euclidean space. Via a stable version of the Lindeberg-Feller Theorem we show that the…
This article is devoted to the numerical study of various finite difference approximations to the stochastic Burgers equation. Of particular interest in the one-dimensional case is the situation where the driving noise is white both in…
We consider a shot-noise field defined on a stationary determinantal point process on $\mathbb{R}^d$ associated with i.i.d. amplitudes and a bounded response function, for which we investigate the scaling limits as the intensity of the…
In this article, we consider diffusion approximations for a general class of stochastic recursions. Such recursions arise as models for population growth, genetics, financial securities, multiplicative time series, numerical schemes and…
In this article, we have analyzed semi-discrete finite element approximations of the Stochastic linear Schr\"{o}dinger equation in a bounded convex polygonal domain driven by additive Wiener noise. We use the finite element method for…
We investigate the wave-optical light scattering properties of deformed thin circular films of constant thickness using the discrete-dipole approximation. Effects on the intensity distribution of the scattered light due to different…
This paper is on the normal approximation of singular subspaces when the noise matrix has i.i.d. entries. Our contributions are three-fold. First, we derive an explicit representation formula of the empirical spectral projectors. The…
We consider the sound ranging, or source localization, problem --- find the unknown source-point from known moments when the spherical wave of linearly, with time, increasing radius reaches known sensor-points --- in some non-proper metric…
Filtering and smoothing algorithms for linear discrete-time state-space models with skew-t-distributed measurement noise are proposed. The algorithms use a variational Bayes based posterior approximation with coupled location and skewness…
Spatial filtering is a commonly deployed technique to improve the quality of laser beams by optically filtering the noise. In the "textbook" example, the noise is usually assumed to be high frequency and the laser beam, Gaussian. In this…
We investigate the validity and accuracy of weak-noise (saddle-point or instanton) approximations for piecewise-smooth stochastic differential equations (SDEs), taking as an illustrative example a piecewise-constant SDE, which serves as a…
A method is provided for approximating random slow manifolds of a class of slow-fast stochastic dynamical systems. Thus approximate, low dimensional, reduced slow systems are obtained analytically in the case of sufficiently large time…