相关论文: It\^o's formula, the stochastic exponential and ch…

This paper studies the weak and strong solutions to the stochastic differential equation $ dX(t)=-\frac12 \dot W(X(t))dt+d\mathcal{B}(t)$, where $(\mathcal{B}(t), t\ge 0)$ is a standard Brownian motion and $W(x)$ is a two sided Brownian…

The stochastic trajectories of molecules in living cells, as well as the dynamics in many other complex systems, often exhibit memory in their path over long periods of time. In addition, these systems can show dynamic heterogeneities due…

Low energy nucleon dynamics is investigated by using the generalized dynamical equation derived in [J. Phys. A v.32, 5657 (1999)]. This equation extends quantum dynamics to describe the time evolution in the case of nonlocal-in-time…

For the concrete model of Brownian particles dynamics in non-uniform environment, the time interval estimation is constructed, on which phenomenological Fick laws for diffusion phenomenon description can be used. The knowledge of these…

Systems switching between different dynamical phases is an ubiquitous phenomenon. The general understanding of such a process is limited. To this end, we present a general expression that captures fluctuations of a system exhibiting a…

Avikainen provided a sharp upper bound of the difference $\mathbb{E}[|g(X)-g(\widehat{X})|^{q}]$ by the moments of $|X-\widehat{X}|$ for any one-dimensional random variables $X$ with bounded density and $\widehat{X}$, and function of…

The work concerns multivalued McKean-Vlasov stochastic differential equations. First of all, we prove the existence and uniqueness of strong solutions for multivalued McKean-Vlasov stochastic differential equations with non-Lipschitz…

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…

This work explores the use of a forward-backward martingale method together with a decoupling argument and entropic estimates between the conditional and averaged measures to prove a strong averaging principle for stochastic differential…

Only the "anti-Ito" integral yields the correct shift of the mean, by the fact that the elements of its Riemannian sum hold in the order O(dt) rather than only in O(sqrt dt). The corresponding "full" Fokker-Planck equation is particularly…

We establish a general formula for the Laplace transform of the hitting times of a Gaussian process. Some consequences are derived, and particular cases like the fractional Brownian motion are discussed.

The kinetic equation is crucial for understanding the statistical properties of stochastic processes, yet current equations, such as the classical Fokker-Planck, are limited to local analysis. This paper derives a new kinetic equation for…

Quantum stochastic differential equations have been used to describe the dynamics of an atom interacting with the electromagnetic field via absorption/emission processes. Here, by using the full quantum stochastic Schroedinger equation…

We propose a coordinate-invariant geometric formulation of the GENERIC stochastic differential equation, unifying reversible Hamiltonian and irreversible dissipative dynamics within a differential-geometric framework. Our construction…

The exact quantum state evolution of a fermionic gas with binary interactions is obtained as the stochastic average of BCS-state trajectories. We find the most general Ito stochastic equations which reproduce exactly the dynamics of the…

We study closed systems of particles that are subject to stochastic forces in addition to the conservative forces. The stochastic equations of motion are set up in such a way that the energy is strictly conserved at all times. To ensure…

Let $L$ be a positive definite self-adjoint operator on the $L^2$-space associated to a $\si$-finite measure space. Let $H$ be the dual space of the domain of $L^{1/2}$ w.r.t. $L^2(\mu)$. By using an It\^o type inequality for the $H$-norm…

We prove the solvability of It\^o stochastic equations with uniformly nondegenerate, bounded, measurable diffusion and drift in $L_{d+1}(\mathbb{R}^{d+1})$. Actually, the powers of summability of the drift in $x$ and $t$ could be different.…

We derive the equations of celestial mechanics governing the variations of the orbital elements under a stochastic perturbation generalizing the classical Gauss equations. Explicit formulas are given for the semi-major axis, the…

In this paper, we are devoted to the numerical methods for mean-field stochastic differential equations with jumps (MSDEJs). First by using the mean-field It\^o formula [Sun, Yang and Zhao, Numer. Math. Theor. Meth. Appl., 10 (2017),…