Related papers: The Exponential Lie Series and a Chen-Strichartz F…
The relationship between the Yang-Mills equations and the stochastic analogue of Levy differential operators is studied. The value of the stochastic Levy Laplacian is found by means of Cesaro averaging of directional derivatives on the…
In this paper we show the existence and form uniqueness of a solution for multidimensional backward stochastic differential equations driven by a multidimensional L\'{e}vy process with moments of all orders. The results are important from a…
We continue the investigation of the Levy processes on a q-deformed full Fock space started in a previous paper. First, we show that the vacuum vector is cyclic and separating for the algebra generated by such a process. Next, we describe a…
In this article we develop a method for the strong approximation of stochastic differential equations (SDEs) driven by L\'evy processes or general semimartingales. The main ingredients of our method is the perturbation of the SDE and the…
A new tool for modeling electrochemical kinetics is presented. An extension of the Stochastic Simulation Algorithm framework to electrochemical systems is proposed. The physical justifications and constraints for the derivation of a…
In the paper we study stochastic convolution appearing in Volterra equation driven by so called L\'evy process. By L\'evy process we mean a process with homogeneous independent increments, continuous in probability and cadlag.
The theta process is a stochastic process of number theoretical origin arising as a scaling limit of quadratic Weyl sums. It can be described in terms of the geodesic flow and an automorphic function on a homogeneous space. This process has…
We develop a stochastic calculus for processes which are built by convoluting a pure jump, zero expectation L\'{e}vy process with a Volterra-type kernel. This class of processes contains, for example, fractional L\'{e}vy processes as…
In this paper, we incorporate the EMAC formulation into the Ladyzhenskaya model (LM), a large eddy simulation (LES) of incompressible flows. The EMAC formulation, which conserves energy, linear momentum, and angular momentum even with weak…
An explicit formula for the chaotic representation of the powers of increments, (X_{t+t_0}-X_{t_0})^n, of a Levy process is presented. There are two different chaos expansions of a square integrable functional of a Levy process: one with…
Stochastic Taylor expansions of the expectation of functionals applied to diffusion processes which are solutions of stochastic differential equation systems are introduced. Taylor formulas w.r.t. increments of the time are presented for…
We develop a scale-invariant truncated L\'evy (STL) process to describe physical systems characterized by correlated stochastic variables. The STL process exhibits L\'evy stability for the probability density, and hence shows scaling…
The fractional material derivative appears as the fractional operator that governs the dynamics of the scaling limits of L\'evy walks - a stochastic process that originates from the famous continuous-time random walks. It is usually defined…
Stochastic processes are proposed whose master equations coincide with classical wave, telegraph, and Klein-Gordon equations. Similar to predecessors based on the Goldstein-Kac telegraph process, the model describes the motion of particles…
In this paper, we first propose a filter-based continuous Ensemble Eddy Viscosity (EEV) model for stochastic turbulent flow problems. We then propose a generic algorithm for a family of fully discrete, grad-div regularized, efficient…
The challenge to fruitfully merge state-of-the-art techniques from mathematical finance and numerical analysis has inspired researchers to develop fast deterministic option pricing methods. As a result, highly efficient algorithms to…
The meaning of thermodynamic descriptions is found in large-deviations scaling of the fluctuations probabilities. The primary large-deviations rate function is the entropy, which is the basis for both fluctuation theorems and for…
The scale function holds significant importance within the fluctuation theory of Levy processes, particularly in addressing exit problems. However, its definition is established through the Laplace transform, thereby lacking explicit…
Recently, extracting data-driven governing laws of dynamical systems through deep learning frameworks has gained a lot of attention in various fields. Moreover, a growing amount of research work tends to transfer deterministic dynamical…
We introduce a general procedure for directly ascertaining how many independent stochastic sources exist in a complex system modeled through a set of coupled Langevin equations of arbitrary dimension. The procedure is based on the…