Related papers: A variational representation and large deviations …
In this paper we prove a viability result for multidimensional, time dependent, stochastic differential equations driven by fractional Brownian motion with Hurst parameter1/2 < H < 1, using pathwise approach. The sufficient condition is…
We establish almost sure invariance principles, a strong form of approximation by Brownian motion, for non-stationary time-series arising as observations on dynamical systems. Our examples include observations on sequential expanding maps,…
A gauge invariant flow equation is derived by applying a Wilsonian momentum cut-off to gauge invariant field variables. The construction makes use of the geometrical effective action for gauge theories in the Vilkovisky-DeWitt framework.…
We introduce a scalable variational method for simulating the dynamics of interacting open quantum bosonic systems deep in the quantum regime. The method is based on a multi-dimensional Wigner phase-space representation and employs a…
We obtain approximation results for general positive linear operators satisfying mild conditions, when acting on discontinuous functions and absolutely continuous functions having discontinuous derivatives. The upper bounds, given in terms…
We show how the theory of stochastic flows allows to recover in an elementary way a well known result of Warren on the sticky Brownian motion equation.
Stochastic integration w.r.t. fractional Brownian motion (fBm) has raised strong interest in recent years, motivated in particular by applications in finance and Internet traffic modelling. Since fBm is not a semi-martingale, stochastic…
In this paper, we establish a large deviation principle for stochastic differential delay equations driven by both Brownian motions and Poisson random measures. The weak convergence method plays an important role.
In this paper we consider the drift estimation problem for a general differential equation driven by an additive multidimensional fractional Brownian motion, under ergodic assumptions on the drift coefficient. Our estimation procedure is…
We derive an asymptotic expansion for the quadratic variation of a stochastic process satisfying a stochastic differential equation driven by a fractional Brownian motion, based on the theory of asymptotic expansion of Skorohod integrals…
For fractional Brownian motion with Hurst parameter H the Berman constant is defined. In this paper we consider a general random field (rf) Z that is a spectral rf of some stationary max-stable rf X and derive the properties of the…
A rigorous connection between large deviations theory and Gamma-convergence is established. Applications include representations formulas for rate functions, a contraction principle for measurable maps, a large deviations principle for…
Our purpose is to investigate properties for processes with stationary and independent increments under $G$-expectation. As applications, we prove the martingale characterization to $G$-Brownian motion and present a decomposition for…
We prove strong small deviations results for Brownian motion under independent time-changes satisfying their own asymptotic criteria. We then apply these results to certain stochastic integrals which are elements of second-order homogeneous…
In this paper, we study the reflected backward stochastic differential equations driven by G-Brownian motion with two reflecting obstacles, which means that the solution lies between two prescribed processes. A new kind of approximate…
We study the approximation of stochastic differential equations driven by a fractional Brownian motion with Hurst parameter $H>1/2$. For the mean-square error at a single point we derive the optimal rate of convergence that can be achieved…
In this paper, by using a Taylor development type formula, we show how it is possible to associate differential operators with stochastic differential equations driven by a fractional Brownian motion. As an application, we deduce that…
This paper focuses on controllability results of stochastic delay partial functional integro-differential equations perturbed by fractional Brownian motion. Sufficient conditions are established using the theory of resolvent operators…
In this paper, we introduce some fundamental notions related to the so-called stochastic derivatives with respect to a given $\sigma$-field $\mathcal{Q}$. In our framework, we recall well-known results about Markov--Wiener diffusions. We…
The large deviation principle is established for the distributions of a class of generalized stochastic porous media equations for both small noise and short time.