相关论文: Function-valued stochastic convolutions arising in…

Fractional calculus, in allowing integrals and derivatives of any positive order (the term "fractional" kept only for historical reasons), can be considered a branch of mathematical physics which mainly deals with integro-differential…

We study the properties of a stochastic heat equation with a generalized mixed fractional Brownian noise. We obtain the covariance structure, stationarity and obtain bounds for the asymptotic behaviour of the solution. We suggest estimators…

We provide necessary and sufficient conditions for stochastic invariance of finite dimensional submanifolds with boundary in Hilbert spaces for stochastic partial differential equations driven by Wiener processes and Poisson random…

We study the solutions of the stochastic heat equation driven by spatially inhomogeneous multiplicative white noise based on a fractal measure. We prove pathwise uniqueness for solutions of this equation when the noise coefficient is…

We consider the heat equation with spatially variable thermal conductivity and homogeneous Dirichlet boundary conditions. Using the Method of Fokas or Unified Transform Method, we derive solution representations as the limit of solutions of…

In this article we study effects that small perturbations in the noise have to the solution of differential equations driven by H\"older continuous functions of order $H>\frac12$. As an application, we consider stochastic differential…

We investigate a discretization of a class of stochastic heat equations on the unit sphere with multiplicative noises. A spectral method is used for the spatial discretization and the truncation of the Wiener process, while an implicit…

A functional integral representation is given for a large class of quantum mechanical models with a non--L2 ground state. As a prototype the particle in a periodic potential is discussed: a unique ground state is shown to exist as a state…

Large-time behaviour of solutions to stochastic evolution equations driven by two-sided regular Volterra processes is studied. The solution is understood in the mild sense and takes values in a separable Hilbert space. Sufficient conditions…

This paper calculates the exact quadratic variation in space and quartic variation in time for the solutions to a one dimensional stochastic heat equation driven by a multiplicative space-time white noise.

A multiscale analysis of 1D stochastic bistable reaction-diffusion equations with additive noise is carried out w.r.t. travelling waves within the variational approach to stochastic partial differential equations. It is shown with explicit…

We derive consistent and asymptotically normal estimators for the drift and volatility parameters of the stochastic heat equation driven by an additive space-only white noise when the solution is sampled discretely in the physical domain.…

Motivated by objects such as electric fields or fluid streams, we study the problem of learning stochastic fields, i.e. stochastic processes whose samples are fields like those occurring in physics and engineering. Considering general…

The positive definiteness of real quadratic forms with convolution structures plays an important role in stability analysis for time-stepping schemes for nonlocal operators.In this work, we present a novel analysis tool to handle discrete…

We approximate the white-noise driven stochastic heat equation by replacing the fractional Laplacian by the generator of a discrete time random walk on the one dimensional lattice, and approximating white noise by a collection of i.i.d.…

We lay the theoretical and mathematical foundations of the square root of Browniam motion and we prove the existence of such a process. In doing so, we consider Brownian motion on quantized noncommutative Riemannian manifolds and show how a…

In this paper, a Feynman-Kac formula is established for stochastic partial differential equation driven by Gaussian noise which is, with respect to time, a fractional Brownian motion with Hurst parameter $H<1/2$. To establish such a…

We consider two kinds of stochastic volatility models. Both kinds of models contain a stationary volatility process, the density of which, at a fixed instant in time, we aim to estimate. We discuss discrete time models where for instance a…

We investigate stochastic differential equations with jumps and irregular coefficients, and obtain the existence and uniqueness of generalized stochastic flows. Moreover, we also prove the existence and uniqueness of $L^p$-solutions or…

Numerical algorithms for the integration of stochastic differential equations in the presence of white noise are introduced and compared. Algorithms for the integration of stochastic correlated forces are also briefly reviewed. Finally, a…