Related papers: Nonparametric Diffusivity Estimation for the Stoch…
In this paper, we consider the exact fractional variation for the temporal process of the solution to the fractional stochastic heat equation on $\mathbb{R}$ driven by a space-time white noise, and as an application we give the estimate of…
This is a preliminary announcement of results in the PhD. thesis of the first author concerning the nonlinear stochastic heat equation in the spatial domain $\R$, driven by space-time white noise. A central special case is the parabolic…
We present a model for variations in atmospheric temperature from time scales of one day to one million years based on a stochastic diffusion (random walk) model of the turbulent transport of heat energy vertically in a coupled…
The macroscopic behavior of dissipative stochastic partial differential equations usually can be described by a finite dimensional system. This article proves that a macroscopic reduced model may be constructed for stochastic…
In this paper we study the linear stochastic heat equation, also known as parabolic Anderson model, in multidimension driven by a Gaussian noise which is white in time and it has a correlated spatial covariance. Examples of such covariance…
This paper studies the stochastic heat equation driven by time fractional Gaussian noise with Hurst parameter $H\in(0,1/2)$. We establish the Feynman-Kac representation of the solution and use this representation to obtain matching lower…
We study 2D nonlinear stochastic heat equations under a logarithmically attenuated white-noise limit with subcritical coupling. We show that solutions asymptotically exhibit Edwards-Wilkinson fluctuations. This extends work of Ran Tao,…
The spatially dependent wave speed of a stochastic wave equation driven by space-time white noise is estimated using the local observation scheme. Given a fixed time horizon, we prove asymptotic normality for an augmented maximum likelihood…
We consider parameter estimation of the reaction term for a second order linear parabolic stochastic partial differential equation in two space dimensions driven by a $Q$-Wiener process under small diffusivity. We first construct an…
We apply a recently proposed novel thermostating mechanism to an interacting many-particle system where the bulk particles are moving according to Hamiltonian dynamics. At the boundaries the system is thermalized by deterministic and…
We study the effects of hydrodynamic fluctuations in non-boost-invariant longitudinal expansion of matter formed in relativistic heavy ion collisions. We formulate the theory of thermal noise within second-order viscous hydrodynamics…
The most common way of estimating the anomalous diffusion exponent from single-particle trajectories consists in a linear fitting of the dependence of the time averaged mean square displacement on the lag time at the log-log scale. However,…
This paper studies the long time stability of both stochastic heat equations on a bounded domain driven by a correlated noise and their approximations. It is popular for researchers to prove the intermittency of the solution which means…
We investigate the existence and regularity of the local times of the solution to a linear system of stochastic wave equations driven by a Gaussian noise that is fractional in time and colored in space. Using Fourier analytic methods, we…
Modeling turbulent flows by a random Fourier decomposition is a classical procedure in order to use simplified models of turbulence in heat transport and other applications. We carefully investigate the Fourier time series of…
In this article, we study the asymptotic behavior of the stochastic heat equation for large times.
We extend our recently introduced stochastic nonlocal traffic flow model to more general random perturbations, including Markovian noise derived from a discretized Jacobi-type stochastic differential equation. Invoking a deterministic…
We consider a parameter estimation problem to determine the viscosity $\nu$ of a stochastically perturbed 2D Navier-Stokes system. We derive several different classes of estimators based on the first $N$ Fourier modes of a single sample…
Thermostated tethered harmonic lattices provide good illustrations of the phase-space dimensionality loss which occurs in the strange-attractor distributions characterizing stationary nonequilibrium flows. We use time-reversible…
Hypoelliptic diffusion processes can be used to model a variety of phenomena in applications ranging from molecular dynamics to audio signal analysis. We study parameter estimation for such processes in situations where we observe some…