相关论文: An elementary approach to Stochastic Differential …
This paper aims to build a new understanding of the nonstandard mathematical analysis. The main contribution of this paper is the construction of a new set of numbers, $\mathbb{R}^{\mathbb{Z}_< }$, which includes infinities and…
We present a class of stochastic processes in which the large deviation functions of time-integrated observables exhibit singularities that relate to dynamical phase transitions of trajectories. These illustrative examples include Brownian…
In this book, we introduce a new approach of sublinear expectation to deal with the problem of probability and distribution model uncertainty. We a new type of (robust) normal distributions and the related central limit theorem under…
A study of the non-dissipative Brownian motion in vacuum is presented. The noise source associated to the stochastic process assumed in this work is vacuum fluctuations of some quantum field capable of interact with a massive particle. For…
A 2D Stochastic incompressible non-Newtonian fluids driven by fractional Bronwnian motion with Hurst parameter $H \in (1/2,1)$ is studied. The Wiener-type stochastic integrals are introduced for infinite-dimensional fractional Brownian…
The main goal of this article is to prove the existence of a random attractor for a stochastic evolution equation driven by a fractional Brownian motion with $H\in (1/2,1)$. We would like to emphasize that we do not use the usual cohomology…
Inferring stochastic dynamics from data is central across the sciences, yet in many applications only unordered, non-sequential measurements are available-often restricted to limited regions of state space-so standard time-series methods do…
We study a class of semi-implicit Taylor-type numerical methods that are easy to implement and designed to solve multidimensional stochastic differential equations driven by a general rough noise, e.g. a fractional Brownian motion. In the…
This paper contributes to the study of stochastic processes of the class $(\Sigma)$. First, we extend the notion of the above-mentioned class to c\`adl\`ag semi-martingales, whose finite variational part is considered c\`adl\`ag instead of…
In this article we study effects that small perturbations in the noise have to the solution of differential equations driven by H\"older continuous functions of order $H>\frac12$. As an application, we consider stochastic differential…
We investigate stochastic differential equations with jumps and irregular coefficients, and obtain the existence and uniqueness of generalized stochastic flows. Moreover, we also prove the existence and uniqueness of $L^p$-solutions or…
Stochastic dominance serves as a general framework for modeling a broad spectrum of decision preferences under uncertainty, with risk aversion as one notable example, as it naturally captures the intrinsic structure of the underlying…
In this paper we show the strong existence and the pathwise uniqueness of an infinite-dimensional Stochastic Differential Equation (SDE) corresponding to the bulk limit of Dyson's Brownian Motion (DBM), for all $\beta\geq 1$. Our…
We describe generalized Brownian motion related to parabolic equation systems from a logical point of view, i.e., as a generalization of Anderson's random walk. The connection to classical spaces is based on the Loeb measure. It seems that…
In this paper we show the existence and uniqueness for a class of density dependent SDEs with bounded measurable drift, where the existence part is based on Euler's approximation for density dependent SDEs and the uniqueness is based on the…
Superstatistics is a widely employed tool of non-equilibrium statistical physics which plays an important role in analysis of hierarchical complex dynamical systems. Yet, its "canonical" formulation in terms of a single nuisance parameter…
An exposition of smooth infinitesimal analysis, which is a way to do calculus with nilsquare infinitesimals, is given.
We consider a stochastic partial differential equation with logarithmic (or negative power) nonlinearity, with one reflection at 0 and with a constraint of conservation of the space average. The equation, driven by the derivative in space…
The geometrical theory of partial differential equations in the absolute sense, without any additional structures, is developed. In particular the symmetries need not preserve the hierarchy of independent and dependent variables. The order…
We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump times are totally inaccessible and a technical condition…