相关论文: An elementary approach to Stochastic Differential …

Motivated by studies of indirect measurements in quantum mechanics, we investigate stochastic differential equations with a fixed point subject to an additional infinitesimal repulsive perturbation. We conjecture, and prove for an important…

This note is answering an old questioning about the F\'{e}nyes-Nelson stochastic mechanics. The Brownian nature of the quantum fluctuations, which are associated to this mechanics, is deduced from Feynman's interpretation of the Heisenberg…

In this paper, we study a class of stochastic differential equations with additive noise that contains a fractional Brownian motion (fBM) and a Poisson point process of class (QL). The differential equation of this kind is motivated by the…

Singularly-perturbed ordinary differential equations often exhibit Stokes' phenomenon, which describes the appearance and disappearance of oscillating exponentially small terms across curves in the complex plane known as Stokes curves.…

Motivated by problems from statistical analysis for discretely sampled SPDEs, first we derive central limit theorems for higher order finite differences applied to stochastic process with arbitrary finitely regular paths. These results are…

In this paper, by using a Taylor development type formula, we show how it is possible to associate differential operators with stochastic differential equations driven by a fractional Brownian motion. As an application, we deduce that…

This article exemplifies a novel approach to the teaching of introductory differential calculus using the modern notion of ``infinitesimal'' as opposed to the traditional approach using the notion of ``limit''. I illustrate the power of the…

Stochastic averaging for a class of backward stochastic differential equations driven by both standard and fractional Brownian motions (SFrBSDEs in short), is investigated. An averaged SFrBSDEs for the original SFrBSDEs is proposed, and…

We present a method for the nonparametric estimation of the drift function of certain types of stochastic differential equations from the empirical density. It is based on a variational formulation of the Fokker-Planck equation. The…

The need to describe abrupt changes or response of nonlinear systems to impulsive stimuli is ubiquitous in applications. Also the informal use of infinitesimal and infinite quantities is still a method used to construct idealized but…

Only the "anti-Ito" integral yields the correct shift of the mean, by the fact that the elements of its Riemannian sum hold in the order O(dt) rather than only in O(sqrt dt). The corresponding "full" Fokker-Planck equation is particularly…

A short review of the classical theory of Brownian motion is presented. A new method is proposed for derivation of the Fokker-Planck equations, describing the probability density evolution, from stochastic differential equations. It is also…

We provide a new, concise proof of weak existence and uniqueness of solutions to the stochastic differential equation for the multidimensional skew Brownian motion. We also present an application to Brownian particles with skew-elastic…

In this paper, we establish existence and uniqueness of strong solutions for a stochastic differential equation driven by an additive noise given by the sum of two correlated fractional Brownian sheets with different Hurst parameters. Our…

Using standard analysis only, we present an extension ${^\bullet\R}$ of the real field containing nilpotent infinitesimals. On the one hand we want to present a very simple setting to formalize infinitesimal methods in Differential…

This paper studies a stochastic functional differential equation driven by a fractional Brownian motion with Hurst parameter H>1/2, constrained to be reflected at 0. We prove the existence of solutions using the Euler method. However,…

We begin our journey by recalling the fundamentals of Probability Theory that underlie one of its most significant applications to real-world problems: Parametric Estimation. Throughout the text, we systematically develop this theme by…

In this monograph, nonstandard characteristics for many notions from real analysis are obtained and applied. However, only two simple types of atomic formula are used and almost all of the characteristics are shown to hold for a simple…

Non standard analysis is an area of Mathematics dealing with notions of infinitesimal and infinitely large numbers, in which many statements from classical analysis can be expressed very naturally. Cheap non-standard analysis introduced by…

This book aims to provide a brief overview of recent advancements in the theory of inverse problems for stochastic partial differential equations. In order to keep the content concise, we will only discuss the inverse problems of two…