相关论文: On Uniqueness of "SDE Decomposition" in A-type Sto…
A new explicit stabilized scheme of weak order one for stiff and ergodic stochastic differential equations (SDEs) is introduced. In the absence of noise, the new method coincides with the classical deterministic stabilized scheme (or…
Stochastic difference equations and a stochastic partial differential equation (SPDE) are simultaneously derived for the time-dependent neutron angular density in a general three-dimensional medium where the neutron angular density is a…
Symmetry properties of stochastic dynamical systems described by stochastic differential equation of Stratonovich type and related conserved quantities are discussed, extending previous results by Misawa. New conserved quantities are given…
In this paper, we prove a sufficient and necessary condition for the transition probability distribution of a general, time-inhomogeneous linear SDE to possess a density function and study the differentiability of the density function and…
We present an algorithm for the efficient sampling of conditional paths of stochastic differential equations (SDEs). While unconditional path sampling of SDEs is straightforward, albeit expensive for high dimensional systems of SDEs,…
Convenient, easy to implement stochastic integration methods are developed on the basis of abstract one-step deterministic order $p$ integration techniques. The abstraction as an arbitrary one step map allows the inspection of easy to…
Considering increasing distributed energy resources and responsive loads in smart grid, this paper proposes a stochastic simulation approach for stability analysis of a power system having stochastic loads. The proposed approach solves a…
The widely used Heun algorithm for the numerical integration of stochastic differential equations (SDEs) is critically re-examined. We discuss and evaluate several alternative implementations, motivated by the fact that the standard Heun…
In this paper we classify the pathwise asymptotic behaviour of the discretisation of a general autonomous scalar differential equation which has a unique and globally stable equilibrium. The underlying continuous equation is subjected to a…
This paper focuses on recent works on McKean-Vlasov stochastic differential equations (SDEs) involving singular coefficients. After recalling the classical framework, we review existing recent literature depending on the type of…
A probabilistic framework is proposed for the optimization of efficient switched control strategies for physical systems dominated by stochastic excitation. In this framework, the equation for the state trajectory is replaced with an…
Parameter estimation for non-stationary stochastic differential equations (SDE) with an arbitrary nonlinear drift, and nonlinear diffusion is accomplished in combination with a non-parametric clustering methodology. Such a model-based…
We present simple assumptions on the constraints defining a hard core dynamics for the associated reflected stochastic differential equation to have a unique strong solution. Time-reversibility is proven for gradient systems with normal…
The concept of impedance, which characterises the current response to a periodical driving, is introduced in the context of stochastic transport. In particular, we calculate the impedance for an exactly solvable model, namely the stochastic…
This article is focused on two related topics within the study of partial differential equations (PDEs) that illustrate a beautiful connection between dynamics, topology, and analysis: stability and spatial dynamics. The first is a property…
The dynamics of interacting quantum systems in the presence of disorder is studied and an exact representation for disorder-averaged quantities via Ito stochastic calculus is obtained. The stochastic integral representation affords many…
Single-cell gene expression measurements encode variability spanning molecular noise, cell-to-cell heterogeneity, and technical artifacts. Mechanistic stochastic models provide powerful approaches to disentangle these sources, yet inferring…
A driven stochastic system in a constant temperature heat bath relaxes into a steady state which is characterized by the steady state probability distribution. We investigate the relationship between the driving force and the steady state…
Ambiguities in the functional-integral solution of the stochastic differential equation (SDE) arising due to the definition on the functional Jacobi determinant and the white-in-time limit in the noise are analyzed and two forms of the de…
In this paper, the stability of fractional differential equations (FDEs) with unknown parameters is studied. FDEs bring many advantages to model the physical systems in the nature or man-made systems in the industry. Because this…