Related papers: Multifunction Estimation in a Time-Discretized Sko…

We study the problem of parameter estimation for reflected stochastic processes driven by a standard Brownian motion. The estimator is obtained using nonlinear least squares method based on discretely observed processes. Under some certain…

We solve a class of doubly reflected backward stochastic differential equation whose generator depends on the resistance due to reflections, which extend the recent work of Qian and Xu on reflected BSDE with one barrier. We then obtain the…

In this paper, the strong solutions $ (X, L)$ of multidimensional stochastic differential equations with reflecting boundary and possible anticipating initial random variables is established. The key is to obtain some substitution formula…

The key difficulty to develop efficient high-order methods for integrating stochastic differential equations lies in the calculations of the multiple stochastic integrals. This letter suggests a scheme to compute the stochastic integrals…

We present a systematic way to analyze and model systems having many characteristic time-scales. The method we propose is employed for a test-case of a meandering jet model manifesting chaotic tracer dispersion with long time-correlations.…

In this paper we show the existence of a universal Skorohod measurable functional representation for a large class of semimartingale-driven stochastic differential equations. For this we prove that paths of the strong solutions of…

The present paper is devoted to the study of mean-field backward stochastic differential equations (MFBSDEs) with double mean reflections whose generators are not Lipschitz continuous. With the help of the Skorokhod problem and some a…

Markov models are often used to capture the temporal patterns of sequential data for statistical learning applications. While the Hidden Markov modeling-based learning mechanisms are well studied in literature, we analyze a…

Mediation analysis is an important analytic tool commonly used in a broad range of scientific applications. In this article, we study the problem of mediation analysis when there are multivariate and conditionally dependent mediators, and…

This paper is devoted to the study of time-dependent hyperbolic systems and the derivation of dispersive estimates for their solutions. It is based on a diagonalisation of the full symbol within adapted symbol classes in order to extract…

We present an explicit multiscale algorithm for solving differential equations for problems with high-frequency modes that can be averaged over by separating and scaling the fast and slow dynamics within a single equation. We introduce a…

In this paper, we study the backward stochastic differential equations driven by G-Brownian motion with double mean reflections, which means that the constraints are made on the law of the solution. Making full use of the backward Skorokhod…

Stochastic convergence of discrete time Markov processes has been analysed based on a dual Lyapunov approach. Using some existing results on ergodic theory of Markov processes, it has been shown that existence of a properly subinvariant…

This is a survey of known results on estimating the principal Lyapunov exponent of a time-dependent linear differential equation possessing some monotonicity properties. Equations considered are mainly strongly cooperative systems of…

We consider the problem of approximation of the solution of the backward stochastic differential equation in the Markovian case. We suppose that the trend coefficient of the diffusion process depends on some unknown parameter and the…

We prove that a sequence of semi-discrete approximations converges to a multiplicative functional for reflected Brownian motion, which intuitively represents the Lyapunov exponent for the corresponding stochastic flow. The method of proof…

In this paper, we study a kind of constrained backward stochastic differential equations (BSDEs) such that the nonlinear expectation of the composition of a loss function and the solution remains above zero. The existence and uniqueness…

In this paper, we study the reflected stochastic differential equations driven by G-Brownian motion (reflected G-SDEs) with two nonlinear constraints. With the help of the Skorokhod problem with nonlinear constraints, we first study the…

While extracting the temporal dynamical features based on the time-frequency analyses, like the reassignment and synchrosqueezing transform, attracts more and more interest in bio-medical data analysis, we should be careful about artifacts…

In this paper, we study the Skorokhod problem with two constraints, where the constraints are in a nonlinear fashion. We prove the existence and uniqueness of the solution and also provide the explicit construction for the solution. In…