Publications related to Asymptotic symmetry and asymptotic solutions to Ito stochastic differential equations

Related publications (34)

C0,1-ito Chain Rules and Generalized Solutions of Parabolic Pdes

In this paper, we first establish an Ito formula for a finite quadratic variation process X expanding f(t,X-t), when f is of class C-2 in space and is absolutely continuous in time. Second, via a Fukushima-Dirichlet decomposition we obtain an explicit chai ...

WORLD SCIENTIFIC PUBL CO PTE LTD2025

A Combination Technique for Optimal Control Problems Constrained by Random PDEs

Fabio Nobile, Tommaso Vanzan

We present a combination technique based on mixed differences of both spatial approximations and quadrature formulae for the stochastic variables to solve efficiently a class of optimal control problems (OCPs) constrained by random partial differential equ ...

2024

Nonparametric estimation for SDE with sparsely sampled paths: An FDA perspective

Victor Panaretos, Leonardo Vincenzo Santoro, Neda Mohammadi Jouzdani

We consider the problem of nonparametric estimation of the drift and diffusion coefficients of a Stochastic Differential Equation (SDE), based on n independent replicates {Xi(t) : t is an element of [0 , 1]}13 d B(t), where alpha is an element of {0 , 1} a ...

Elsevier2024

Nonlinear inviscid damping and shear-buoyancy instability in the two-dimensional Boussinesq equations

Michele Dolce

We investigate the long-time properties of the two-dimensional inviscid Boussinesq equations near a stably stratified Couette flow, for an initial Gevrey perturbation of size & epsilon;. Under the classical Miles-Howard stability condition on the Richardso ...

WILEY2023

Local Nondeterminism and Local Times of the Stochastic Wave Equation Driven by Fractional-Colored Noise

Cheuk Yin Lee

We investigate the existence and regularity of the local times of the solution to a linear system of stochastic wave equations driven by a Gaussian noise that is fractional in time and colored in space. Using Fourier analytic methods, we establish strong l ...

SPRINGER BIRKHAUSER2022

Tensor-Based Numerical Method For Stochastic Homogenization

Quentin Olivier Martin Ayoul--Guilmard

This paper addresses the complexity reduction of stochastic homogenization of a class of random materials for a stationary diffusion equation. A cost-efficient approximation of the correctors is obtained using a method designed to exploit quasi-periodicity ...

SIAM PUBLICATIONS2022

Stochastic partial differential equations driven by Lévy white noises : generalized random processes, random field solutions and regularity

Thomas Marie Jean-Baptiste Humeau

We study various aspects of stochastic partial differential equations driven by Lévy white noise. This driving noise, which is a generalization of Gaussian white noise, can be viewed either as a generalized random process or as an independently scattered r ...

EPFL2017

Stabilized Numerical Methods for Stochastic Differential Equations driven by Diffusion and Jump-Diffusion Processes

Adrian Blumenthal

Stochastic models that account for sudden, unforeseeable events play a crucial role in many different fields such as finance, economics, biology, chemistry, physics and so on. That kind of stochastic problems can be modeled by stochastic differential equat ...

EPFL2015

Conductive-Type Behaviors In The Dynamics Of Complex Systems Through Scale Relativity Theory

Maria-Alexandra Paun

Conductive-type dynamics in complex systems in the framework of Scale Relativity Theory are analyzed. Using the Madeling scenario in the description o f complex system dynamics through continuous and nondifferentiable curves (fractal/multifractal curves), ...

UNIV POLITEHNICA BUCHAREST, SCI BULL2022

Charge ordering in Ir dimers in the ground state of Ba5AlIr2O11

Oleg Yazyev, Thorsten Schmitt, Vamshi Mohan Katukuri

It has been well established experimentally that the interplay of electronic correlations and spin-orbit interactions in Ir4+ and Ir5+ oxides results in insulating J(eff) = 1/2 and J(eff) = 0 ground states, respectively. However, in compounds where the str ...

AMER PHYSICAL SOC2022

On the Connection between the Hamilton-Jacobi-Bellman and the Fokker-Planck Control Frameworks

Fabio Nobile

In the framework of stochastic processes, the connection between the dynamic programming scheme given by the Hamilton-Jacobi-Bellman equation and a recently proposed control approach based on the Fokker-Planck equation is discussed. Under appropriate assum ...

2014

Fourier Analysis of Functional Time Series, with Applications to DNA Dynamics

Shahin Tavakoli

This work is about time series of functional data (functional time series), and consists of three main parts. In the first part (Chapter 2), we develop a doubly spectral decomposition for functional time series that generalizes the Karhunen–Loève expansion ...

EPFL2014

Positive Solutions of Transport Equations and Classical Nonuniqueness of Characteristic curves

Maria Colombo

The seminal work of DiPerna and Lions (Invent Math 98(3):511-547, 1989) guarantees the existence and uniqueness of regular Lagrangian flows for Sobolev vector fields. The latter is a suitable selection of trajectories of the related ODE satisfying addition ...

2021

A Unified Formulation of Gaussian Versus Sparse Stochastic Processes-Part II: Discrete-Domain Theory

Michaël Unser, Pouya Dehghani Tafti, Hagay Kirshner, Arash Amini

This paper is devoted to the characterization of an extended family of continuous-time autoregressive moving average (CARMA) processes that are solutions of stochastic differential equations driven by white Levy innovations. These are completely specified ...

Ieee-Inst Electrical Electronics Engineers Inc2014

Moments, Intermittency, and Growth Indices for Nonlinear Stochastic PDE's with Rough Initial Conditions

Le Chen

In this thesis, we study several stochastic partial differential equations (SPDE’s) in the spatial domain R, driven by multiplicative space-time white noise. We are interested in how rough and unbounded initial data affect the random field solution and the ...

EPFL2013

Reconstructing the base field from imaginary multiplicative chaos

Juhan Aru, Janne Matias Junnila

We show that the imaginary multiplicative chaos exp(i beta Gamma) determines the gradient of the underlying field Gamma for all log-correlated Gaussian fields with covariance of the form -log|x-y|+g(x,y) with mild regularity conditions on g, for all d >= 2 ...

WILEY2021

On the asymptotic behavior of solutions to the Vlasov-Poisson system

Klaus Martin Widmayer

We prove small data modified scattering for the Vlasov-Poisson system in dimension

d=3

using a method inspired from dispersive analysis. In particular, we identify a simple asymptotic dynamic related to the scattering mass. ...

2022

The Stationary Behaviour of Fluid Limits of Reversible Processes is Concentrated on Stationary Points

Jean-Yves Le Boudec

Assume that a stochastic process can be approximated, when some scale parameter gets large, by a fluid limit (also called mean field limit", or hydrodynamic limit"). A common practice, often called the ``fixed point approximation" consists in approxima ...

2013

Stochastic Control and Free Boundary Problems for Sailboat Trajectory Optimization

Laura Claudia Catherine Vinckenbosch

The topic of this thesis is the study of several stochastic control problems motivated by sailing races. The goal is to minimize the travel time between two locations, by selecting the fastest route in face of randomly changing weather conditions, such as ...

EPFL2012

Stochastic integrals for spde's: A comparison

Robert Dalang

We present the Walsh theory of stochastic integrals with respect to martingale measures, and various extensions of this theory, alongside of the Da Prato and Zabczyk theory of stochastic integrals with respect to Hilbert-space-valued Wiener processes, and ...

Elsevier2011