Related papers: A Chen-Fliess approximation for diffusion function…
In this paper we present stochastic foundations of fractional dynamics driven by fractional material derivative of distributed order-type. Before stating our main result we present the stochastic scenario which underlies the dynamics given…
We provide examples of initial data which saturate the enhanced diffusion rates proved for general shear flows which are H\"{o}lder regular or Lipschitz continuous with critical points, and for regular circular flows, establishing the…
A class of second order approximations, called the weighted and shifted Gr\"{u}nwald difference operators, are proposed for Riemann-Liouville fractional derivatives, with their effective applications to numerically solving space fractional…
In this paper we study a stochastic differential equation driven by a fractional Brownian motion with a discontinuous coefficient. We also give an approximation to the solution of the equation. This is a first step to define a fractional…
This paper focuses on the equivalent expression of fractional integrals/derivatives with an infinite series. A universal framework for fractional Taylor series is developed by expanding an analytic function at the initial instant or the…
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…
This paper provides a semiparametric model of estimating states of the volatility defined as the squared diffusion coefficient of a stochastic differential equation. Without assuming any functional form of the volatility function, we…
This paper uses Lie symmetry methods to calculate certain expectations for a large class of It\^{o} diffusions. We show that if the problem has sufficient symmetry, then the problem of computing functionals of the form $E_x(e^{-\lambda…
A stochastic method is described for estimating Green's functions (GF's), appropriate to linear advection-diffusion-reaction transport problems, evolving in arbitrary geometries. By allowing straightforward construction of approximate,…
In this paper, we study two variations of the time discrete Taylor schemes for rough differential equations and for stochastic differential equations driven by fractional Brownian motions. One is the incomplete Taylor scheme which excludes…
We study asymptotic error distributions associated with standard approximation scheme for one-dimensional stochastic differential equations driven by fractional Brownian motions. This problem was studied by, for instance, Gradinaru-Nourdin…
This paper introduces a family of recursively defined estimators of the parameters of a diffusion process. We use ideas of stochastic algorithms for the construction of the estimators. Asymptotic consistency of these estimators and…
We present Lie group integrators for nonlinear stochastic differential equations with non-commutative vector fields whose solution evolves on a smooth finite dimensional manifold. Given a Lie group action that generates transport along the…
We consider a stochastic functional differential equation with an arbitrary Lipschitz diffusion coefficient depending on the past. The drift part contains a term with superlinear growth and satisfying a dissipativity condition. We prove…
A wide range of numerical methods exists for computing polynomial approximations of solutions of ordinary differential equations based on Chebyshev series expansions or Chebyshev interpolation polynomials. We consider the application of…
Taylor's formula holds significant importance in function representation, such as solving differential difference equations, ordinary differential equations, partial differential equations, and further promotes applications in visual…
We introduce a novel discretization technique for both elliptic and parabolic fractional diffusion problems based on double exponential quadrature formulas and the Riesz-Dunford functional calculus. Compared to related schemes, the new…
We develop a class of non-Gaussian translation processes that extend classical stochastic differential equations (SDEs) by prescribing arbitrary absolutely continuous marginal distributions. Our approach uses a copula-based transformation…
In this paper, we investigate fractional B splines and their connections with Fourier analysis, and establish connections with generalized Stirling-type numbers and distribution theory. Employing a generating function approach inspired by…
We show that a differential version of the classical Chebyshev-Markov-Stieltjes inequalities holds for a broad family of weight functions. Such a differential version appears to be new. Our results apply to weight functions which are…