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Following the ideas of F. Russo and P. Vallois we use the notion of forward integral to introduce a new stochastic integral respect to the cylindrical Winer process. This integral is an extension of the classical integral. As an…
We discuss some recent advances concerning the symmetry of stochastic differential equations, and in particular the interrelations between these and the integrability -- complete or partial -- of the equations.
I will sketchily illustrate how the theory of symmetry helps in determining solutions of (deterministic) differential equations, both ODEs and PDEs, staying within the classical theory. I will then present a quick discussion of some more…
In this article, we introduce the notion of stochastic symmetry of a differential equation. It consists in a stochastic flow that acts over a solution of a differential equation and produces another solution of the same equation. In the…
We present numerical schemes for the strong solution of linear stochastic differential equations driven by an arbitrary number of Wiener processes. These schemes are based on the Neumann (stochastic Taylor) and Magnus expansions. Firstly,…
The solution of a (stochastic) differential equation (SDE) can be locally approximated by a stochastic expansion, a linear combination of iterated integrals. Quantities of interest, like moments, can then be approximated with the expansion.…
A strong quasi-invariance principle and a finite-dimensional integration by parts formula as in the Bismut approach to Malliavin calculus are obtained through a suitable application of Lie's symmetry theory to autonomous stochastic…
The aim of this study is to clarify the consequences of recent theoretical results for the numerical computation of expectation by the shift method, and in particular to yield sufficient criteria for the existence of speed of convergence of…
We study identification of stochastic Wiener dynamic systems using so-called indirect inference. The main idea is to first fit an auxiliary model to the observed data and then in a second step, often by simulation, fit a more structured…
The Feynman integral is given a stochastic interpretation in the framework of Nelson's stochastic mechanics employing a time-symmetric variant of Nelson's kinematics recently developed by the author.
A new method is proposed for integrating the equations of motion of an elastic filament. In the standard finite-difference and finite-element formulations the continuum equations of motion are discretized in space and time, but it is then…
Two specialized algorithms for the numerical integration of the equations of motion of a Brownian walker obeying detailed balance are introduced. The algorithms become symplectic in the appropriate limits, and reproduce the equilibrium…
Singular stochastic partial differential equations informally refer to the partial differential equations with rough random force that leads to the products in the nonlinear terms becoming ill-defined. Besides the theories of regularity…
We apply symmetry and invariance methods to analyse systems of difference equations. Non trivial symmetries are derived and their exact solutions obtained.
Symmetry methods are by now recognized as one of the main tools to attack deterministic differential equations (both ODEs and PDEs); the situation is quite different for what concerns stochastic differential equations: here, symmetry…
This paper is devoted to a construction of the stochastic It\^o integral with respect to infinite dimensional cylindrical Wiener process. The construction given is an alternative one to that introduced by DaPrato and Zabczyk [3]. The…
In this report we summarize a few methods for solving the stochastic differential equations (SDE) and the corresponding Fokker-Planck equations describing the Gompertz and logistic random dynamics. It is shown that the solutions of the…
We establish a direct connection between the Feynman-Vernon path integral formalism for open quantum systems and the Wiener path integral used in classical stochastic dynamics. By considering a generalized influence functional in the strong…
A new method is described for constructing a generalized solution of a stochastic evolution equation. Existence, uniqueness, regularity and a probabilistic representation of this Wiener Chaos solution are established for a large class of…
We review recent progress in the study of infinite-dimensional stochastic differential equations with symmetry. This paper contains examples arising from random matrix theory.