相关论文: Stochastic equations with time-dependent drift dri…
The maximum likelihood approach is adapted to the problem of estimation of drift and diffusion functions of stochastic processes from measured time series. We reconcile a previously devised iterative procedure [Kleinhans et al., Physics…
We develop an explicit Milstein-type scheme for McKean-Vlasov stochastic differential equations using the notion of derivative with respect to measure introduced by Lions and discussed in \cite{cardaliaguet2013}. The drift coefficient is…
Stochastic Stokes' drift and hypersensitive transport driven by dichotomous noise are theoretically investigated. Explicit mathematical expressions for the asymptotic probability density and drift velocity are derived including the…
By using lower bound conditions of the L\'evy measure, derivative formulae and Harnack inequalities are derived for linear stochastic differential equations driven by L\'evy processes. As applications, explicit gradient estimates and heat…
We consider the problem of approximation of the solution of the backward stochastic differential equation in the Markovian case. We suppose that the trend coefficient of the diffusion process depends on some unknown parameter and the…
We establish the existence and uniqueness of pathwise strong solutions to the stochastic 3D primitive equations with only horizontal viscosity and diffusivity driven by transport noise on a cylindrical domain $M=(-h,0) \times G$, $G\subset…
We prove strong existence and uniqueness of solutions of It\^o's stochastic time dependent equations with irregular diffusion and drift terms of Morrey class type. In a sense we are treating a "supercritical" case.
We consider potential type dynamical systems in finite dimensions with two meta-stable states. They are subject to two sources of perturbation: a slow external periodic perturbation of period $T$ and a small Gaussian random perturbation of…
We prove strong existense of solutions of It\^o's stochastic time dependent equations with irregular diffusion and drift terms of Morrey class type.
We consider a process given as the solution of a one-dimensional stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. H\"older continuity of the Lebesgue density of…
This paper explores the reconstruction of drift or diffusion coefficients of a scalar stochastic diffusion processes as it starts from an initial value and reaches, for the first time, a threshold value. We show that the distribution…
With the rapid increase of valuable observational, experimental and simulating data for complex systems, great efforts are being devoted to discovering governing laws underlying the evolution of these systems. However, the existing…
We study a fairly general class of time-homogeneous stochastic evolutions driven by noises that are not white in time. As a consequence, the resulting processes do not have the Markov property. In this setting, we obtain constructive…
This article deals with time-fractional diffusion equations with time-dependent singular source term. Whenever the order of the time-fractional derivative is either multi-term, distributed or space-dependent, we prove that the system admits…
We study efficiency of non-parametric estimation of diffusions (stochastic differential equations driven by Brownian motion) from long stationary trajectories. First, we introduce estimators based on conditional expectation which is…
Cross-sectional observations from a dynamical system can be modeled via steady-state distributions of Markov processes. The major challenge is then to determine whether the process parameters can be identified and estimated from the…
This work is devoted to averaging principle of a two-time-scale stochastic partial differential equation on a bounded interval $[0, l]$, where both the fast and slow components are directly perturbed by additive noises. Under some regular…
In this paper, we investigate a class of McKean-Vlasov stochastic differential equations under L\'evy-type perturbations. We first establish the existence and uniqueness theorem for solutions of the McKean-Vlasov stochastic differential…
A new approach for the analysis of Langevin-type stochastic processes in the presence of strong measurement noise is presented. For the case of Gaussian distributed, exponentially correlated, measurement noise it is possible to extract the…
We study the strong approximation of stochastic differential equations with discontinuous drift coefficients and (possibly) degenerate diffusion coefficients. To account for the discontinuity of the drift coefficient we construct an…