Related papers: Parameter estimation for generalized mixed fractio…
In this paper we introduce a model which provides a new approach to the phenomenon of stochastic resonance. It is based on the study of the properties of the stationary distribution of the underlying stochastic process. We derive the…
Consider the following nonlinear one-dimensional stochastic fractional heat equation $$\frac{\partial }{\partial t}u(t, x)= -(-\Delta)^{\alpha/2}u(t, x) +\sigma(t,x,u(t,x)) \dot{W}(t, x), $$ where $-(-\Delta)^{\alpha/2}$ is the fractional…
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…
Many results in the theory of Gaussian processes rely on the eigenstructure of the covariance operator. However, eigenproblems are notoriously hard to solve explicitly and closed form solutions are known only in a limited number of cases.…
We consider a controlled second order differential equation which is partially observed with an additional fractional noise. we study the asymptotic (for large observation time) design problem of the input and give an efficient estimator of…
We study a well-known estimator of the fractal index of a stochastic process. Our framework is very general and encompasses many models of interest; we show how to extend the theory of the estimator to a large class of non-Gaussian…
We analyze the dynamics of a Brownian gas in contact with a heat bath in which large temperature fluctuations occur. There are two distinct time scales present, one describes the decay of the fluctuations in the temperature and the other…
We study long-term behavior and stationary distributions for stochastic heat equations forced simultaneously by a multiplicative noise and an independent additive noise with the same distribution. We prove that nontrivial space-time…
We investigate the Local Asymptotic Property for fractional Brownian models based on discrete observations contaminated by a Gaussian moving average process. We consider both situations of low and high-frequency observations in a unified…
We perform an extensive analysis of passive as well as active micro-heat engines with different single-particle stochastic models. Using stochastic thermodynamics we calculate thermodynamic work, heat, entropy production and efficiency of…
In this paper we study a stochastic differential equation driven by a fractional Brownian motion with a discontinuous coefficient. We also give an approximation to the solution of the equation. This is a first step to define a fractional…
We consider finite element approximations for a one dimensional second order stochastic differential equation of boundary value type driven by a fractional Brownian motion with Hurst index $H\le 1/2$. We make use of a sequence of…
In this paper, we study the stochastic heat equation with a general multiplicative Gaussian noise that is white in time and colored in space. Both regularity and strict positivity of the densities of the solution have been established. The…
In this paper, we study intermittency properties for various stochastic PDEs with varieties of space time Gaussian noises via matching upper and lower moment bounds of the solution. Due to the absence of the powerful Feynman Kac formula,…
A parameter estimation problem for a class of semilinear stochastic evolution equations is considered. Conditions for consistency and asymptotic normality are given in terms of growth and continuity properties of the nonlinear part.…
Some problems in the theory and applications of stochastic processes can be reduced to solving integral equations. While explicit solutions for these equations are often elusive, valuable insights can be gained through their asymptotic…
In this article, we study the parameter estimation of interacting particle systems subject to the Newtonian aggregation and Brownian diffusion. Specifically, we construct an estimator $\widehat{\nu}$ with partial observed data to…
This paper developed an inference problem for Vasicek model driven by a general Gaussian process. We construct a least squares estimator and a moment estimator for the drift parameters of the Vasicek model, and we prove the consistency and…
In this note we analyse \emph{quantitative} approximation properties of a certain class of \emph{nonlocal} equations: Viewing the fractional heat equation as a model problem, which involves both \emph{local} and \emph{nonlocal}…
In order to understand the impact of random influences at physical boundary on the evolution of multiscale systems, a stochastic partial differential equation model under a fast random dynamical boundary condition is investigated. The…