相关论文: Marcus versus Stratonovich for Systems with Jump N…

We perturb with an additive Gaussian white noise the Hamiltonian system associated to a cubic anharmonic oscillator. The stochastic system is assumed to start from initial conditions that guarantee the existence of a periodic solution for…

The solutions of SDEs with multiplicative noise are not Markovian. On a coarse-grained time scale they still are, but only in the "anti-Ito" case. This allows a simple computation of the most likely path. Any density peak moves along such a…

A stochastic calculus is given for processes described by stochastic integrals with respect to fractional Brownian motions and Rosenblatt processes somewhat analogous to the stochastic calculus for It\^{o} processes. These processes for…

Nonlinear random vibration under excitations of both Gaussian and Poisson white noises is considered. The model is based on stochastic differential equations, and the corresponding stochastic integrals are defined in such a way that the…

A stochastic linear transport equation with multiplicative noise is considered and the question of no-blow-up is investigated. The drift is assumed only integrable to a certain power. Opposite to the deterministic case where smooth initial…

We consider the three-dimensional magnetohydrodynamics system forced by random noise. First, for smooth solutions in the ideal case, the cross helicity remains invariant while the magnetic helicity precisely equals the initial magnetic…

Let the process Y(t) be a Skorohod integral process with respect to Brownian motion. We use a recent result by Tudor (2004), to prove that Y(t) can be represented as the limit of linear combinations of processes that are products of forward…

We consider the modeling of noise in a nonlinear, classical, resistive electrical component using two models: i) a continuous description based on a stochastic differential equation with a white thermal Gaussian noise; ii) a discrete, shot…

The dynamics of a weakly dissipative Hamiltonian system submitted to stochastic perturbations has been investigated by means of asymptotic methods. The probability of noise-induced separatrix crossing, which drastically changes the fate of…

We explore the chaotic dynamics and complexity of a neuro-system with respect to variable synaptic weights in both noise free and noisy conditions. The chaotic dynamics of the system is investigated by bifurcation analysis and 0-1 test. A…

We study the role of multiplicative stochastic processes in the description of the dynamics of an order parameter near a critical point. We study equilibrium, as well as, out-of-equilibrium properties. By means of a functional formalism, we…

This paper is devoted to the study of hyperbolic systems of linear partial differential equations perturbed by a Brownian motion. The existence and uniqueness of solutions are proved by an energy method. The specific features of this class…

Fluctuation properties of the Langevin equation including a multiplicative, power-law noise and a quadratic potential are discussed. The noise has the Levy stable distribution. If this distribution is truncated, the covariance can be…

The current series of papers is concerned with stochastic stability of monotone dynamical systems by identifying the basic dynamical units that can survive in the presence of noise interference. In the first of the series, for the…

This paper develops an It\^o-type fractional pathwise integration theory for fractional Brownian motion with Hurst parameters \( H \in (\frac{1}{3}, \frac{1}{2}] \), using the Lyons' rough path framework. This approach is designed to fill…

Verifying the performance of safety-critical, stochastic systems with complex noise distributions is difficult. We introduce a general procedure for the finite abstraction of nonlinear stochastic systems with non-standard (e.g., non-affine,…

In this thesis, we develop analytical methods to study out-of-equilibrium stochastic processes driven by colored noise, i.e., noise with temporal correlations. These non-Markovian processes pose significant analytical challenges compared to…

Quantum Markov models are employed ubiquitously in quantum physics and in quantum information theory due to their relative simplicity and analytical tractability. In particular, these models are known to give accurate approximations for a…

An optimal control for a dynamical system optimizes a certain objective function. Here we consider the construction of an optimal control for a stochastic dynamical system with a random structure, Poisson perturbations and random jumps,…

We perform a numerical analysis of a class of randomly perturbed {H}amiltonian systems and {P}oisson systems. For the considered additive noise perturbation of such systems, we show the long time behavior of the energy and quadratic…