相关论文: Stochastic trace formulas

A method is developed to estimate the properties of a global hydrodynamic instability in turbulent flows from measurement data of the limit-cycle oscillations. For this purpose, the flow dynamics are separated in deterministic contributions…

We demonstrate that the conventional path integral formulations generate inconsistent results exemplified by the geometric Brownian motion under the general stochastic interpretation. We thus develop a novel path integral formulation for…

In this paper we prove, for small Hurst parameters, the higher order differentiability of a stochastic flow associated with a stochastic differential equation driven by an additive multi-dimensional fractional Brownian noise, where the…

We study stochastic resonance in an over-damped approximation of the stochastic Duffing oscillator from a random dynamical systems point of view. We analyse this problem in the general framework of random dynamical systems with a…

We prove existence and uniqueness of strong solutions for a class of semilinear stochastic evolution equations driven by general Hilbert space-valued semimartingales, with drift equal to the sum of a linear maximal monotone operator in…

The paper studies asymptotic properties of estimators of multidimensional stochastic differential equations driven by Brownian motions from high-frequency discrete data. Consistency and central limit properties of a class of estimators of…

The problem of determining the mathematical model of the dynamics of multi-dimensional control systems in the presence of noise under the condition that the correlation functions cannot be found. Known statistical dynamics of linear systems…

Let $ H:=-\tfrac12\Delta+V$ be a one-dimensional continuum Schr\"odinger operator. Consider ${\hat H}:= H+\xi$, where $\xi$ is a translation invariant Gaussian noise. Under some assumptions on $\xi$, we prove that if $V$ is locally…

Sequential quadratic optimization algorithms are proposed for solving smooth nonlinear optimization problems with equality constraints. The main focus is an algorithm proposed for the case when the constraint functions are deterministic,…

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…

In this paper, we present a novel semi-implicit numerical scheme for the stochastic Cahn--Hilliard equation driven by multiplicative noise. By reformulating the original equation into an equivalent stochastic scalar auxiliary variable…

A parameter estimation problem is considered for a diagonaliazable stochastic evolution equation using a finite number of the Fourier coefficients of the solution. The equation is driven by additive noise that is white in space and…

We present the numerical estimation of noise parameter induced in the dynamics of the variables by random particle interactions involved in the stochastic chemical oscillator and use it as order parameter to detect the transition from…

We evaluate the variance of coefficients of the characteristic polynomial for binary quantum graphs using a dynamical approach. This is the first example where a spectral statistic can be evaluated in terms of periodic orbits for a system…

The article investigates an algorithm for identifying an unknown constant parameter for a scalar regression model using a nonlinear operator that allows us to obtain a new regression equation (with an expanded number of unknown parameters)…

This paper deals with the resolution of inverse problems in a periodic setting or, in other terms, the reconstruction of periodic continuous-domain signals from their noisy measurements. We focus on two reconstruction paradigms: variational…

We study classical and quantum maps on the torus phase space, in the presence of noise. We focus on the spectral properties of the noisy evolution operator, and prove that for any amount of noise, the quantum spectrum converges to the…

This paper continues the study of [11, 13] for stationary solutions of stochastic linear retarded functional differential equations with the emphasis on delays which appear in those terms including spatial partial derivatives. As a…

A new method is described for constructing a generalized solution for stochastic differential equations. The method is based on the Cameron-Martin version of the Wiener Chaos expansion and provides a unified framework for the study of…

In this paper, we combine the operator splitting methodology for abstract evolution equations with that of stochastic methods for large-scale optimization problems. The combination results in a randomized splitting scheme, which in a given…