Related papers: A discrete stochastic Gronwall Lemma
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 recently formulated conjecture of Gamayun, Iorgov and Lisovyy gives an asymptotic expansion of the Jimbo--Miwa--Ueno isomonodromic $\tau$-function for certain Painlev\'e transcendents. The coefficients in this expansion are given in terms…
Human dynamics and sociophysics build on statistical models that can shed light on and add to our understanding of social phenomena. We propose a generative model based on a stochastic differential equation that enables us to model the…
In this paper we study the existence and uniqueness of the random periodic solution for a stochastic differential equation with a one-sided Lipschitz condition (also known as monotonicity condition) and the convergence of its numerical…
The gradient discretisation method (GDM) -- a generic framework encompassing many numerical methods -- is studied for a general stochastic Stefan problem with multiplicative noise. The convergence of the numerical solutions is proved by…
We present a construction of the basic operators of stochastic analysis (gradient and divergence) for a class of discrete-time normal martingales called obtuse random walks. The approach is based on the chaos representation property and…
We apply Lindeberg's method, invented to prove a central limit theorem, to analyze the moderate deviations around such a central limit theorem. In particular, we will show moderate deviation principles for martingales as well as for random…
In this paper, we discuss some theoretical results and properties of a discrete version of the Birnbaum-Saunders distribution. We present a proof of the unimodality of this model. Moreover, results on moments, quantile function, reliability…
The well established monotone iterative technique that is used to study the existence and uniqueness of fractional impulsive system is extended to Hilfer fractional order in this paper. The results are derived by using the method of upper…
We establish the existence theory of several commonly used finite element (FE) nonlinear fully discrete solutions, and the convergence theory of a linearized iteration. First, it is shown for standard FE, SUPG and edge-averaged method…
Exponential stability of modified truncated Euler-Maruyama method for stochastic differential equations are investigated in this paper. Sufficient conditions for the $p$-th moment and almost sure exponential stability of the given numerical…
The truncated Euler-Maruyama (EM) method is proposed to approximate a class of non-autonomous stochastic differential equations (SDEs) with the H\"older continuity in the temporal variable and the super-linear growth in the state variable.…
We consider the use of adaptive timestepping to allow a strong explicit Euler-Maruyama discretisation to reproduce dynamical properties of a class of nonlinear stochastic differential equations with a unique equilibrium solution and…
We devise a simplified parameter estimator for a second order stochastic differential equation by a first order system based on the Smoluchowski-Kramers approximation. We establish the consistency of the estimator by using…
This paper presents an elementary proof of stochastic stability of a discrete-time reversible Markov chain starting from a Foster-Lyapunov drift condition. Besides its relative simplicity, there are two salient features of the proof: (i) it…
We first establish a general random Sperner lemma by presenting a completely new approach for the theory of $L^{0}$-simplicial subdivisions of $L^{0}$-simplexes. Based on this, we are able to achieve a new complete proof of the random…
The proof of Brouwer's fixed-point theorem based on Sperner's lemma is often presented as an elementary combinatorial alternative to advanced proofs based on algebraic topology. The goal of this note is to show that: (i) the combinatorial…
This work establishes a comprehensive analytical framework for studying implicit fractional differential systems with distributed memory and time delays. We develop novel fractional integral inequalities of Gr\"onwall--Wendroff type that…
In this paper we propose and solve a generalization of the Bernoulli Differential Equation, by means of a generalized fractional derivative. First we prove a generalization of Gronwall's inequality, which is useful for studying the…
This paper considers approximate smoothing for discretely observed non-linear stochastic differential equations. The problem is tackled by developing methods for linearising stochastic differential equations with respect to an arbitrary…