Related papers: Hypothesis testing for stochastic PDEs driven by a…
We consider the problem of hypotheses testing with the basic simple hypothesis: observed sequence of points corresponds to stationary Poisson process with known intensity against a composite one-sided parametric alternative that this is a…
A fully discrete approximation of the one-dimensional stochastic heat equation driven by multiplicative space-time white noise is presented. The standard finite difference approximation is used in space and a stochastic exponential method…
The irreducibility is fundamental for the study of ergodicity of stochastic dynamical systems. The existing methods on the irreducibility of stochastic partial differential equations (SPDEs) and stochastic differential equations (SDEs)…
We present a method to infer the arbitrary space-dependent drift and diffusion of a nonlinear stochastic model driven by multiplicative fractional Gaussian noise from a single trajectory. Our method, fractional Onsager-Machlup optimisation…
This paper studies the nonlinear one-dimensional stochastic heat equation driven by a Gaussian noise which is white in time and which has the covariance of a fractional Brownian motion with Hurst parameter 1/4\textless{}H\textless{}1/2 in…
We consider parameter estimation, hypothesis testing and variable selection for partially time-varying coefficient models. Our asymptotic theory has the useful feature that it can allow dependent, nonstationary error and covariate…
We analyze the asymptotic behavior corresponding to the arbitrary high conductivity of the heat in the thermoelectric devices. This work deals with a steady-state multidimensional thermistor problem, considering the Joule effect and both…
We study stochastic partial differential equations (SPDEs) with potentially very rough fractional noise with Hurst parameter $H\in(0,1)$. Close to a change of stability measured with a small parameter $\varepsilon$, we rely on the natural…
We consider the stochastic heat equation $$\frac{\partial Y_t(x)}{\partial t} = \frac{1}{2} \Delta_x Y_t(x) + Y_{t-}(x)^{\beta} \dot{L}^{\alpha}$$ with $t \ge 0$, $x \in \mathbb{R}$ and $L^{\alpha}$ being an $\alpha$-stable white noise…
In this paper, we investigate the asymptotic error distributions of symplectic methods for stochastic Hamiltonian systems and further provide Hamiltonian-specific analysis that clarifies the superiority of symplectic methods. Our…
We consider the problem of the Bayesian inference of drift and diffusion coefficient functions in a stochastic differential equation given discrete observations of a realisation of its solution. We give conditions for the well-posedness and…
These notes present an alternative approach to the asymptotic stability of stochastic partial differential equations driven by multiplicative noise, applicable to a wide range of dissipative systems. The method builds on general criteria…
In this work we study the transport properties of non-interacting overdamped particles, moving on tilted disordered potentials, subjected to Gaussian white noise. We give exact formulas for the drift and diffusion coefficients for the case…
We introduce and study a new class of partial differential equations (PDEs) with hybrid fuzzy-stochastic parameters, coined fuzzy-stochastic PDEs. Compared to purely stochastic PDEs or purely fuzzy PDEs, fuzzy-stochastic PDEs offer powerful…
We consider a system of $d$ coupled non-linear stochastic heat equations in spatial dimension 1 driven by $d$-dimensional additive space-time white noise. We establish upper and lower bounds on hitting probabilities of the solution $\{u(t,…
In this article we show that a finite dimensional stochastic differential equation driven by a L\'evy process can be formulated as a stochastic partial differential equation. We prove the existence and uniqueness of strong solutions of such…
We investigate the properties of the nonequilibrium steady state for the stochastic system driven by a nonlinear drift force and influenced by noises which are not identically and independently distributed. The nonequilibrium steady state…
In this paper, we study a nonlinear one spatial dimensional stochastic heat equations driven by Gaussian noise: $\frac{\partial u }{\partial t}=\frac{\partial^2 u }{\partial x^2}+\sigma(u )\dot{W} $, where $\dot{W} $ is white in time and…
We consider a parameter estimation problem for one dimensional stochastic heat equations, when data is sampled discretely in time or spatial component. We prove that, the real valued parameter next to the Laplacian (the drift), and the…
We analyze the efficiency fluctuations of a coherent quantum heat engine coupled to a unimodal cavity using a standard full-counting statistics procedure. The engine's most likely efficiency obtained by computing the large-deviation…