Related papers: Ermakov Systems with Multiplicative Noise
In this paper, we present a novel semi-implicit numerical scheme for the stochastic Cahn--Hilliard equation driven by multiplicative noise. By reformulating the original equation into an equivalent stochastic scalar auxiliary variable…
We address the calculation of transition probabilities in multiplicative noise stochastic differential equations using a path integral approach. We show the equivalence between the conditional probability and the propagator of a quantum…
We study populations of globally coupled noisy rotators (oscillators with inertia) allowing a nonequilibrium transition from a desynchronized state to a synchronous one (with the non-vanishing order parameter). The newly developed…
We study the effect of Gaussian perturbations on a class of model hyperbolic partial differential equations with double symplectic characteristics in low spatial dimensions, extending some recent work in [5]. The coefficients of our partial…
A class of asymptotically autonomous systems on the plane with oscillatory coefficients is considered. It is assumed that the limiting system is Hamiltonian with a stable equilibrium. The effect of damped multiplicative stochastic…
We consider the problem of numerically estimating expectations of solutions to stochastic differential equations driven by Brownian motions in the commonly occurring small noise regime. We consider (i) standard Monte Carlo methods combined…
In this article, we introduce a time-independent version of the L\'evy colored noise considered in Balan (2015) and Balan and Jim\'enez (2026). We study the existence of the solution of a linear stochastic partial differential equation with…
In this paper, we present a pathwise construction of multi-soliton solutions for focusing stochastic nonlinear Schr\"odinger equations with linear multiplicative noise, in both the $L^2$-critical and subcritical cases. The constructed…
This paper investigates the approximation of invariant measures for McKean-Vlasov stochastic differential equations (SDEs) using the Euler-Maruyama (EM) scheme under a monotonicity condition. Firstly, the convergence of the numerical…
We review some basic results on existence and uniqueness of the invariant measure for the two-dimensional stochastic Navier-Stokes equations. A large part of the literature concerns the additive noise case; after revising these models, we…
A fully discrete approximation of the semi-linear stochastic wave equation driven by multiplicative noise is presented. A standard linear finite element approximation is used in space and a stochastic trigonometric method for the temporal…
We analyze the effect of a classical noise into the entanglement dynamics between two particles, initially entangled, subject to continuous time quantum walks in a one-dimensional lattice. The noise is modeled by randomizing the transition…
The Kalman filter is extensively used for state estimation for linear systems under Gaussian noise. When non-Gaussian L\'evy noise is present, the conventional Kalman filter may fail to be effective due to the fact that the non-Gaussian…
We show that a wide class of uncoupled limit cycle oscillators can be in-phase synchronized by common weak additive noise. An expression of the Lyapunov exponent is analytically derived to study the stability of the noise-driven…
We extend our study of phase transitions in the generalization behaviour of multilayer perceptrons with non-overlapping receptive fields to the problem of the influence of noise, concerning e.g. the input units and/or the couplings between…
We investigate a fully discrete finite element approximation for the stochastic Kuramoto-Sivashinsky equation, combining the standard finite element methods in spatial discretization with the implicit Euler-Maruyama scheme in time. Rigorous…
A stochastic leap-frog algorithm for the numerical integration of Brownian motion stochastic differential equations with multiplicative noise is proposed and tested. The algorithm has a second-order convergence of moments in a finite time…
We investigate the problem of estimating a given real symmetric signal matrix $\textbf{C}$ from a noisy observation matrix $\textbf{M}$ in the limit of large dimension. We consider the case where the noisy measurement $\textbf{M}$ comes…
A large variety of microscopic or mesoscopic models lead to generic results that accommodate naturally within Boltzmann-Gibbs statistical mechanics (based on $S_1\equiv -k \int du p(u) \ln p(u)$). Similarly, other classes of models point…
The synchronized phase of globally coupled nonlinear oscillators subject to noise fluctuations is studied by means of a new analytical approach able to tackle general couplings, nonlinearities, and noise temporal correlations. Our results…