相关论文: A Pathwise Fractional one Compartment Intra-Veinou…
This work is a numerical experiment of stochastic motion of conservative Hamiltonian system or weakly damped Brownian particles. The objective is to prove the existence of path probability and to compute its values. By observing a large…
We present a tractable non-independent increment process which provides a high modeling flexibility. The process lies on an extension of the so-called Harris chains to continuous time being stationary and Feller. We exhibit constructions,…
This paper develops a two-stage stochastic model to investigate evolution of random fields on the unit sphere $\bS^2$ in $\R^3$. The model is defined by a time-fractional stochastic diffusion equation on $\bS^2$ governed by a diffusion…
Diffusion processes driven by Fractional Brownian motion (FBM) have often been considered in modeling stock price dynamics in order to capture the long range dependence of stock price observed in reality. Option prices for such models had…
Efficiency of search for randomly distributed targets is a prominent problem in many branches of the sciences. For the stochastic process of L\'evy walks, a specific range of optimal efficiencies was suggested under variation of search…
This work presents a hierarchical model for solute transport in bounded layered porous media with random permeability. The model generalizes the Taylor-Aris dispersion theory to stochastic transport in random layered porous media with a…
In this paper we study upper bounds for the density of solution of stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H > 1/3. We show that under some geometric conditions, in the regular case H >…
We consider the inference problem for parameters in stochastic differential equation models from discrete time observations (e.g. experimental or simulation data). Specifically, we study the case where one does not have access to…
We solve the first-passage problem for the Heston random diffusion model. We obtain exact analytical expressions for the survival and hitting probabilities to a given level of return. We study several asymptotic behaviors and obtain…
Modeling turbulent flows by a random Fourier decomposition is a classical procedure in order to use simplified models of turbulence in heat transport and other applications. We carefully investigate the Fourier time series of…
In this paper, we introduce and study one-dimensional models for the behavior of pedestrians in a narrow street or corridor. We begin at the microscopic level by formulating a stochastic cellular automata model with explicit rules for…
We present a discrete stochastic model which represents many of the salient features of the biological process of wound healing. The model describes fronts of cells invading a wound. We have numerical results in one and two dimensions. In…
Several models of stock trading [P. Bak et al, Physica A {\bf 246}, 430 (1997)] are analyzed in analogy with one-dimensional, two-species reaction-diffusion-branching processes. Using heuristic and scaling arguments, we show that the…
Turing patterns can be observed in reaction-diffusion systems where chemical species have different diffusion constants. In recent years, several studies investigated the effects of noise on Turing patterns and showed that the parameter…
Conditional Density Estimation (CDE) models deal with estimating conditional distributions. The conditions imposed on the distribution are the inputs of the model. CDE is a challenging task as there is a fundamental trade-off between model…
We study the first-passage time, the distribution of the maximum, and the absorption probability of fractional Brownian motion of Hurst parameter $H$ with both a linear and a non-linear drift. The latter appears naturally when applying…
We consider diffusion-controlled release of particles from $d$-dimensional radially-symmetric geometries. A quantity commonly used to characterise such diffusive processes is the proportion of particles remaining within the geometry over…
We investigated the quality of forecasting of fractional Brownian motion, and new method for estimating of Hurst exponent is validated. Stochastic model of the time series in the form of converted fractional Brownian motion is proposed. The…
How far is neuroepithelial cell proliferation in the developing central nervous system a deterministic process? Or, to put it in a more precise way, how accurately can it be described by a deterministic mathematical model? To provide tracks…
Strongly consistent and asymptotic normal estimators of the Hurst index of a stochastic differential equation driven by a fractional Brownian motion are proposed. The estimators are based on discrete observations of the underlying process.