相关论文: Dynamics of moments of arbitrary order for stochas…
Gorini-Kossakowski-Sudarshan-Lindblad equation of Poisson-type for the density matrix is considered. The Poisson jumps are assumed to be unitary operators with generators, which are quadratic in fermionic creation and annihilation…
The explicit dynamics of the moments for the GKSL equation and the approach in finding stationary Gaussian states are obtained. In our case the GKSL equation corresponds to Wiener stochastic processes. Such equations contain a double…
The aim of this paper is to analyze a class of random motions which models the motion of a particle on the real line with random velocity and subject to the action of the friction. The speed randomly changes when a Poissonian event occurs.…
Stochastic evolution equations with compensated Poisson noise are considered in the variational approach with monotone and coercive coefficients. Here the Poisson noise is assumed to be time-homogeneous with $\sigma$-finite intensity…
We compute the moment of order n of the Poisson stochastic integral of a random process u over a metric space X as a sum that runs over all partitions of {1,...,n} and involves the addition of points to Poisson configurations. This formula…
We present here an elementary example, for every fixed positive integer $k,$ of a strictly stationary nongaussian stochastic process in discrete time, all of whose $k$-marginals are gaussian.
The escape probability is a deterministic concept that quantifies some aspects of stochastic dynamics. This issue has been investigated previously for dynamical systems driven by Gaussian Brownian motions. The present work considers escape…
Stationary stochastic processes with independent increments, of which the Poisson process is a prominent example, are widely used to describe real world events. With the basic assumption that a counting process is stationary and has…
We take a new look at the problem of disentangling the volatility and jumps processes of daily stock returns. We first provide a computational framework for the univariate stochastic volatility model with Poisson-driven jumps that offers a…
We consider one-dimensional stochastic differential equations with a boundary condition, driven by a Poisson process. We study existence and uniqueness of solutions and the absolute continuity of the law of the solution. In the case when…
We consider a Gaussian Volterra process with compound Poisson jumps and derive its prediction law.
This paper presents some general formulas for random partitions of a finite set derived by Kingman's model of random sampling from an interval partition generated by subintervals whose lengths are the points of a Poisson point process.…
We derive Heisenberg equations for arbitrary high order moments of creation and annihilation operators in the case of the quantum master equation with a multimode generator which is quadratic in creation and annihilation operators and…
Motivated by the recent contribution \cite{BB17} we study the scaling limit behavior of a class of one-dimensional stochastic differential equations which has a unique attracting point subject to a small additional repulsive perturbation.…
This paper presents a general approach to linear stochastic processes driven by various random noises. Mathematically, such processes are described by linear stochastic differential equations of arbitrary order (the simplest non-trivial…
Sufficient and necessary conditions are presented for the order-preservation of stochastic functional differential equations on $\R^d$ with non-Lipschitzian coefficients driven by the Brownian motion and Poisson processes. The sufficiency…
We consider a fractional counting process with jumps of amplitude $1,2,\ldots,k$, with $k\in \mathbb{N}$, whose probabilities satisfy a suitable system of fractional difference-differential equations. We obtain the moment generating…
Asymptotic behavior of the point process of high and medium values of a Gaussian stationary process with discrete time is considered. An approximation by a Poisson cluster point process is given for the point process.
The derivation of dynamical laws for general observables (or moments) from the master equation for the probability distribution remains a challenging problem in statistical physics. Here, we present an alternative formulation of the general…
In this article, we study the dynamics of a nonlinear system governed by an ordinary differential equation under the combined influence of fast periodic sampling with period $\delta$ and small jump noise of size $\varepsilon, 0<…