Related papers: Coordinate-free Stochastic Differential Equations …
In [ABF19] the authors define three projections of Rd-valued stochastic differential equations (SDEs) onto submanifolds: the Stratonovich, Ito-vector and Ito-jet projections. In this paper, after a brief survey of SDEs on manifolds, we…
A general way of representing Stochastic Differential Equations (SDEs) on smooth manifold is based on Schwartz morphism. In this manuscript we are interested in SDEs on a smooth manifold $M$ that are driven by p-dimensional Wiener process…
We introduce a framework for stochastic differential equations (SDEs) with interaction on compact, connected, $d$-dimensional manifolds. For SDEs whose drift and diffusion coefficients may depend on both the state variable and the empirical…
Given a stochastic differential equation (SDE) in $\mathbb{R}^n$ whose solution is constrained to lie in some manifold $M \subset \mathbb{R}^n$, we propose a class of numerical schemes for the SDE whose iterates remain close to $M$ to high…
Stochastic differential equations (SDEs) are established tools to model physical phenomena whose dynamics are affected by random noise. By estimating parameters of an SDE intrinsic randomness of a system around its drift can be identified…
We define two new notions of projection of a stochastic differential equation (SDE) onto a submanifold: the Ito-vector and Ito-jet projections. This allows one to systematically develop low dimensional approximations to high dimensional…
We derive the stochastic version of the Magnus expansion for linear systems of stochastic differential equations (SDEs). The main novelty with respect to the related literature is that we consider SDEs in the It\^o sense, with progressively…
A new notion of stochastic transformation is proposed and applied to the study of both weak and strong symmetries of stochastic differential equations (SDEs). The correspondence between an algebra of weak symmetries for a given SDE and an…
The paper derives an equation for the Cauchy transform of the solution of a free stochastic differential equation (SDE). This new equation is used to solve several particular examples of free SDEs.
Stochastic differential equations (SDEs) on compact foliated spaces were introduced a few years ago. As a corollary, a leafwise Brownian motion on a compact foliated space was obtained as a solution to an SDE. In this paper we construct…
We review progress that has been made in utilizing one form of Direct Statistical Simulation (DSS) to describe geophysical and astrophysical flows that are anisotropic and inhomogeneous. We first explain the approach, which is based upon a…
Finite dimensional solutions to a class of stochastic partial differential equations are obtained extending the differential constraints method for deterministic PDE to the stochastic framework. A geometrical reformulation of the stochastic…
In this article we study (possibly degenerate) stochastic differential equations (SDE) with irregular (or discontiuous) coefficients, and prove that under certain conditions on the coefficients, there exists a unique almost everywhere…
We describe, in an intrinsic way and using the global chart provided by Ito's parallel transport, a generalisation of the notion of geodesic (as critical path of an energy functional) to diffusion processes on Riemannian manifolds. These…
Dynamical systems are essential to model various phenomena in physics, finance, economics, and are also of current interest in machine learning. A central modeling task is investigating parameter sensitivity, whether tuning atmospheric…
Stochastic differential equations (SDEs) are popular tools to analyse time series data in many areas, such as mathematical finance, physics, and biology. They provide a mechanistic description of the phenomeon of interest, and their…
Classical geometric mechanics, including the study of symmetries, Lagrangian and Hamiltonian mechanics, and the Hamilton-Jacobi theory, are founded on geometric structures such as jets, symplectic and contact ones. In this paper, we shall…
Moment estimation for stochastic differential equations (SDEs) is fundamental to the formal reasoning and verification of stochastic dynamical systems, yet remains challenging and is rarely available in closed form. In this paper, we study…
I was asked to make my, by now quite old PhD thesis, available on the arxiv, for parts of it was never submitted for publication. The thesis offers a systematic study of stochastic differential equations (SDEs) on non-compact spaces. In…
The jet function for the factorized cross section $e^+e^-$ into dijets is given as a function of the jet invariant mass s and with a generic jet algorithm at $\mathcal{O}(\alpha_s)$. We demonstrate the results using the Sterman-Weinberg…