Related papers: Semi-martingale driven variational principles
Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal…
The time-dependent variational principle using generalized Gaussian trial functions yields a finite dimensional approximation to the full quantum dynamics and is used in many disciplines. It is shown how these 'semi-quantum' dynamics may be…
For a class of evolution equations that possibly have only local solutions, we introduce a stochastic component that ensures that the solutions of the corresponding stochastically perturbed equations are global. The class of partial…
Systems with conserved currents driven by reservoirs at the boundaries offer an opportunity for a general analytic study that is unparalleled in more general out of equilibrium systems. The evolution of coarse-grained variables is governed…
In the mechanics of inviscid conservative fluids, it is classical to generate the equations of dynamics by formulating with adequate variables, that the pressure integral calculated in the time-space domain corresponding to the motion of…
We use the global stochastic analysis tools introduced by P. A. Meyer and L. Schwartz to write down a stochastic generalization of the Hamilton equations on a Poisson manifold that, for exact symplectic manifolds, are characterized by a…
In this paper we derive novel change of variable formulas for stochastic integrals w.r.t. a time-changed Brownian motion where we assume that the time-change is a general increasing stochastic process with finitely many jumps in a bounded…
We show that the ideal (nondissipative) form of the dynamical equations for the Lipps-Hemler formulation of the anelastic fluid model follow as Euler-Poincar\'{e} equations, obtained from a constrained Hamilton's principle expressed in the…
The typical central limit theorems in high-frequency asymptotics for semimartingales are results on stable convergence to a mixed normal limit with an unknown conditional variance. Estimating this conditional variance usually is a hard…
The paper concerns itself with establishing large deviation principles for a sequence of stochastic integrals and stochastic differential equations driven by general semimartingales in infinite-dimensional settings. The class of…
We introduce the concept of stochastic measure-valued solutions to the complete Euler system describing the motion of a compressible inviscid fluid subject to stochastic forcing, where the nonlinear terms are described by defect measures.…
We have recently presented an extension of the standard variational calculus to include the presence of deformed derivatives in the Lagrangian of a system of particles and in the Lagrangian density of field-theoretic models. Classical…
Stochastic parametrisations of the interactions among disparate scales of motion in fluid convection are often used for estimating prediction uncertainty, which can arise due to inadequate model resolution, or incomplete observations,…
We construct sub-grid scale models of incompressible fluids by considering expectations of semi-martingale Lagrangian particle trajectories. Our construction is based on the Lagrangian decomposition of flow maps into mean and fluctuation…
Macroscopic traffic flow is stochastic, but the physics-informed deep learning methods currently used in transportation literature embed deterministic PDEs and produce point-valued outputs; the stochasticity of the governing dynamics plays…
In this paper, we investigate induced and nonlinear fiber topological pressure for random dynamical systems. We define a non-averaged induced fiber pressure via spanning and separated sets, characterize it as the pseudo-inverse of the…
Eulerian-Lagrangian models of particle-laden (multiphase) flows describe fluid flow and particle dynamics in the Eulerian and Lagrangian frameworks respectively. Regardless of whether the flow is turbulent or laminar, the particle dynamics…
In this paper we study the stochastic control problem of partially observed (multi-dimensional) stochastic system driven by both Brownian motions and fractional Brownian motions. In the absence of the powerful tool of Girsanov…
In this paper we consider second-order field theories in a variational setting. From the variational principle the Euler-Lagrange equations follow in an unambiguous way, but it is well known that this is not true for the Cartan form. This…
For integrable systems in the sense of multidimensional consistency (MDC) we can consider the Lagrangian as a form, which is closed on solutions of the equations of motion. For 2-dimensional systems, described by partial difference…