相关论文: An elementary approach to Stochastic Differential …
Wright's delay differential equation is one of the prime examples of a fully nonlinear equation without an explicit solution and whose dynamics can be understood by analytic means. In this paper, we introduce stochastic perturbations by…
Using a recent alternative to Tarskian semantics for first-order logic, known as $\textit{possibility semantics}$, I introduce an alternative approach to nonstandard analysis that remains within the bounds of \textit{semi-constructive}…
We study the ergodic properties of finite-dimensional systems of SDEs driven by non-degenerate additive fractional Brownian motion with arbitrary Hurst parameter $H\in(0,1)$. A general framework is constructed to make precise the notions of…
Statistical physics courses typically employ abstract language that describes objects too small to be seen, making the topic challenging for students to understand. In this work, we introduce a simple experiment that allows conceptualizing…
For a mixed stochastic differential equation involving standard Brownian motion and an almost surely H\"older continuous process $Z$ with H\"older exponent $\gamma>1/2$, we establish a new result on its unique solvability. We also establish…
In these lecture notes, we explore the mathematical preliminaries and foundational concepts that connect stochastic processes with partial differential equations. We begin by investigating Brownian motion, which serves as a model for random…
Non-Archimedean mathematics is an approach based on fields which contain infinitesimal and infinite elements. Within this approach, we construct a space of a particular class of generalized functions, ultrafunctions. The space of…
This work develops new results for stochastic approximation algorithms. The emphases are on treating algorithms and limits with discontinuities. The main ingredients include the use of differential inclusions, set-valued analysis, and…
We survey recent developments in the field of complexity of pathwise approximation in $p$-th mean of the solution of a stochastic differential equation at the final time based on finitely many evaluations of the driving Brownian motion.…
An algorithm is proposed, analyzed, and tested experimentally for solving stochastic optimization problems in which the decision variables are constrained to satisfy equations defined by deterministic, smooth, and nonlinear functions. It is…
In this paper we are concerned with a new type of backward equations with anticipation which we call neutral backward stochastic functional differential equations. We obtain the existence and uniqueness and prove a comparison theorem. As an…
Extending the classical result that the roots of a polynomial with coefficients in $\mathbf{C}$ are continuous functions of the coefficients of the polynomial, nonstandard analysis is used to prove that if $\mathcal{F} = \{f_{\lambda}…
We prove a modification to the classical maximal inequality for stochastic convolutions in 2-smooth Banach spaces using the factorization method. This permits to study semilinear stochastic partial differential equations with unbounded…
We consider a system of stochastic differential equations driven by a standard n-dimensional Brownian motion where the drift coefficient satisfies a Novikov-type condition while the diffusion coefficient is the identity matrix. We define a…
In this article, we will introduce methods of non-standard analysis into projective geometry. Especially, we will analyze the properties of a projective space over a non-Archimedean field. Non-Archimedean fields contain numbers that are…
In this work, we introduce a new method to prove the existence and uniqueness of a variational solution to the stochastic nonlinear diffusion equation $dX(t)={\rm div} [\frac{\nabla X(t)}{|\nabla X(t)|}]dt+X(t)dW(t) in…
In the recent article [Hairer, M., Hutzenthaler, M., Jentzen, A., Loss of regularity for Kolmogorov equations, Ann. Probab. 43 (2015), no. 2, 468--527] it has been shown that there exist stochastic differential equations (SDEs) with…
In this paper we prove, for small Hurst parameters, the higher order differentiability of a stochastic flow associated with a stochastic differential equation driven by an additive multi-dimensional fractional Brownian noise, where the…
This paper considers a practical few-shot anomaly detection (FSAD) setting, termed discriminative FSAD, where a limited number of both normal and anomalous examples are available as references during inference. Existing FSAD methods rely on…
We show that every separable Gaussian process with integrable variance function admits a Fredholm representation with respect to a Brownian motion. We extend the Fredholm representation to a transfer principle and develop stochastic…