相关论文: Dynamics of a mean-reverting stochastic volatility…

Recent empirical studies suggest that the volatilities associated with financial time series exhibit short-range correlations. This entails that the volatility process is very rough and its autocorrelation exhibits sharp decay at the…

In this paper we consider a stochastic process that may experience random reset events which bring suddenly the system to the starting value and analyze the relevant statistical magnitudes. We focus our attention on monotonous…

A binary fluid mixture in contact with lateral particle reservoirs is considered. By imposing different particle concentrations in these reservoirs, the system can be maintained under controlled non-equilibrium conditions. Previous…

Stochastic systems often exhibit multiple viable metastable states that are long-lived. Over very long timescales, fluctuations may push the system to transition between them, drastically changing its macroscopic configuration. In realistic…

In this study, we investigate $N$-player stochastic differential games with regime switching, where the player dynamics are modulated by a finite-state Markov chain. We analyze the associated Nash system, which consists of a system of…

Stochastic diffusion equations are crucial for modeling a range of physical phenomena influenced by uncertainties. We introduce the generalized finite difference method for solving these equations. Then, we examine its consistency,…

We consider a model of stochastic volatility which combines features of the multiplicative model for large volatilities and of the Heston model for small volatilities. The steady-state distribution in this model is a Beta Prime and is…

The authors consider stochastic aspects of the stabilization problem for two and three-dimensional Oseen equations with help of feedback control defined on a part of the fluid boundary. Stochastic issues arise when inevitable unpredictable…

This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…

A succesful method to describe the asymptotic behavior of a discrete time stochastic process governed by some recursive formula is to relate it to the limit sets of a well chosen mean differential equation. Under an attainability condition,…

We propose a new method for pure-state and subspace preparation in quantum systems, which employs the output of a continuous measurement process and switching dissipative control to improve convergence speed, as well as robustness with…

Motion of particles (bodies) in presence of random effects can be considered stochastic process. However, application of widely known stochastic processes used for description of particle motion is reduced to relatively small class of…

In this paper we derive stochastic representations for the finite dimensional distributions of a multidimensional diffusion on a fixed time interval, conditioned on the terminal state. The conditioning can be with respect to a fixed point…

Stochastic dynamical systems arise as models for fluid particle motion in geophysical flows with random velocity fields. Escape probability (from a fluid domain) and mean residence time (in a fluid domain) quantify fluid transport between…

This work focuses on stability of regime-switching diffusions consisting of continuous and discrete components, in which the discrete component switches in a countably infinite set and its switching rates at current time depend on the…

In this paper, we consider a stochastic process that may experience random reset events which relocate the system to its starting position. We focus our attention on a one-dimensional, monotonic continuous-time random walk with a constant…

We consider a stochastic volatility model which captures relevant stylized facts of financial series, including the multi-scaling of moments. The volatility evolves according to a generalized Ornstein-Uhlenbeck processes with super-linear…

This article studies the expected occupancy probabilities on an alphabet. Unlike the standard situation, where observations are assumed to be independent and identically distributed (iid), we assume that they follow a regime switching…

Consider a mean-reverting equation, generalized in the sense it is driven by a 1-dimensional centered Gaussian process with H\"older continuous paths on $[0,T]$ ($T > 0$). Taking that equation in rough paths sense only gives local existence…

The aim of this paper is to provide conditions which ensure that the affinely transformed partial sums of a strictly stationary process converge in distribution to an infinite variance stable distribution. Conditions for this convergence to…