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Displaying 301 – 316 of 316

Using stochastic comparison to estimate Green's functions

Richard F. Bass (1989)

Séminaire de probabilités de Strasbourg

Variation des solutions d'une E.D.S., d'après J. M. Bismut

Paul-André Meyer (1982)

Séminaire de probabilités de Strasbourg

Variational representations for continuous time processes

Amarjit Budhiraja, Paul Dupuis, Vasileios Maroulas (2011)

Annales de l'I.H.P. Probabilités et statistiques

A variational formula for positive functionals of a Poisson random measure and brownian motion is proved. The formula is based on the relative entropy representation for exponential integrals, and can be used to prove large deviation type estimates. A general large deviation result is proved, and illustrated with an example.

Weak averaging of stochastic evolution equations

Ivo Vrkoč (1995)

Mathematica Bohemica

A theorem on continuous dependence of solutions to stochastic evolution equations on coefficients is established, covering the classical averaging procedure for stochastic parabolic equations with rapidly oscillating both the drift and the diffusion term.

Weak infinitesimal generator for a stochastic partial differential equation with time delay.

Chang, Mou-Hsiung (1995)

Journal of Applied Mathematics and Stochastic Analysis

Weak solutions of stochastic differential inclusions and their compactness

Mariusz Michta (2009)

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

In this paper, we consider weak solutions to stochastic inclusions driven by a semimartingale and a martingale problem formulated for such inclusions. Using this we analyze compactness of the set of solutions. The paper extends some earlier results known for stochastic differential inclusions driven by a diffusion process.

Weakly nonlinear stochastic CGL equations

Sergei B. Kuksin (2013)

Annales de l'I.H.P. Probabilités et statistiques

We consider the linear Schrödinger equation under periodic boundary conditions, driven by a random force and damped by a quasilinear damping: $\frac{d}{d t} u + i (- Δ + V (x)) u = ν (Δ u - γ_{R} {| u |}^{2 p} u - i γ_{I} {| u |}^{2 q} u) + \sqrt{ν} η (t, x) . (*)$ The force $η$ is white in time and smooth in $x$ ; the potential $V (x)$ is typical. We are concerned with the limiting, as $ν \to 0$ , behaviour of solutions on long time-intervals $0 \leq t \leq ν^{- 1} T$ , and with behaviour of these solutions under the double limit $t \to \infty$ and $ν \to 0$ . We show that these two limiting behaviours may be described in terms of solutions for thesystem of effective equations for(...