Related papers: Computing the stochastic $H^\infty$-norm
We consider a process given as the solution of a one-dimensional stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. H\"older continuity of the Lebesgue density of…
Stochastic HYPE is a novel process algebra that models stochastic, instantaneous and continuous behaviour. It develops the flow-based approach of the hybrid process algebra HYPE by replacing non-urgent events with events with…
In this paper we estimate both the Hurst and the stable indices of a H-self-similar stable process. More precisely, let $X$ be a $H$-sssi (self-similar stationary increments) symmetric $\alpha$-stable process. The process $X$ is observed at…
We develop a novel stochastic valuation and premium calculation principle based on probability measure distortions that are induced by quantile processes in continuous time. Necessary and sufficient conditions are derived under which the…
We show that the dynamics of a quantum system can be represented by the dynamics of an underlying classical systems obeying the Hamilton equations of motion. This is achieved by transforming the phase space of dimension $2n$ into a Hilbert…
It has been recently shown that rough volatility models, where the volatility is driven by a fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in order to reproduce the behavior of both historical and…
The stochastic dissipative Schrodinger equation is derived for an open quantum system consisting of a sub-system able to exchange energy with a thermal reservoir. The resultant evolution of the wave function also gives the evolution of the…
A formalism for quantum many-body systems is proposed through a semiclassical treatment in phase space, allowing us to establish a stochastic thermodynamics incorporating quantum statistics. Specifically, we utilize a stochastic…
Inferring parameters of models of biochemical kinetics from single-cell data remains challenging because of the uncertainty arising from the intractability of the likelihood function of stochastic reaction networks. Such uncertainty falls…
We obtain space-time H\"older regularity estimates for solutions of first- and second-order Hamilton-Jacobi equations perturbed with an additive stochastic forcing term. The bounds depend only on the growth of the Hamiltonian in the…
The difficulty of simulating quantum dynamics depends on the norm of the Hamiltonian. When the Hamiltonian varies with time, the simulation complexity should only depend on this quantity instantaneously. We develop quantum simulation…
In this article, we give an overview on known as well as new results on the boundedness of the $H^{\infty}$-calculus of the Stokes operator in rough as well as in unbounded (smoother) domains. We present a special case of an abstract…
Stochastic thermodynamics is a framework for describing non-equilibrium processes at the level of fluctuating trajectories, where the state of a system evolves as a stochastic time series, allowing thermodynamic quantities such as work,…
Space-time regularity of linear stochastic partial differential equations is studied. The solution is defined in the mild sense in the state space $L^p$. The corresponding regularity is obtained by showing that the stochastic convolution…
Stochastic resonance phenomenon induced by non-Gaussian L\'evy noise in a second-order bistable system is investigated. The signal-noise-ratio for different parameters is computed by an efficient numerical scheme. The influences of the…
Numerical simulation codes are very common tools to study complex phenomena, but they are often time-consuming and considered as black boxes. For some statistical studies (e.g. asset management, sensitivity analysis) or optimization…
Stochastic network calculus is a theory for stochastic service guarantee analysis of computer communication networks. In the current stochastic network calculus literature, its traffic and server models are typically based on the cumulative…
For a time-limited version of the H$_2$ norm defined over a fixed time interval, we obtain a closed form expression of the gradients. After that, we use the gradients to propose a time-limited model order reduction method. The method…
This paper proposes a probabilistic Bayesian formulation for system identification (ID) and estimation of nonseparable Hamiltonian systems using stochastic dynamic models. Nonseparable Hamiltonian systems arise in models from diverse…
Pollicott-Ruelle resonances for chaotic flows are the characteristic frequencies of correlations. They are typically defined as eigenvalues of the generator of the flow acting on specially designed functional spaces. We show that these…