Variance reduction in a stochastic volatility scenario.
Guerra, Maria Letizia, Sorini, Laerte (2007)
APPS. Applied Sciences
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Displaying similar documents to “Polynomial chaos in evaluating failure probability: A comparative study”
Variance reduction in a stochastic volatility scenario.
The stochastic limit in the analysis of some modified open BCS models
Fabio Bagarello (2006)
Banach Center Publications
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Covariate-based stochastic parameterization of baroclinic ocean eddies
Nick Verheul, Jan Viebahn, Daan Crommelin (2017)
Mathematics of Climate and Weather Forecasting
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In this study we investigate a covariate-based stochastic approach to parameterize unresolved turbulent processes within a standard model of the idealised, wind-driven ocean circulation. We focus on vertical instead of horizontal coarse-graining, such that we avoid the subtle difficulties of horizontal coarsegraining. The corresponding eddy forcing is uniquely defined and has a clear physical interpretation related to baroclinic instability.We propose to emulate the baroclinic eddy forcing...
On the General Stochastic Epidemic
J. Gani (1966-1967)
Publications mathématiques et informatique de Rennes
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Cylindrical Stochastic Integral
M. Métivier, J. Pellaumail (1976)
Publications mathématiques et informatique de Rennes
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Stochastic analysis of a three unit standby system.
Sridharan, V., Kalyani, T.V. (2005)
APPS. Applied Sciences
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Extension of the averaging method to stochastic equations
Ivo Vrkoč (1966)
Czechoslovak Mathematical Journal
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Numerical solution of a stochastic model of a ball-type vibration absorber
Fischer, Cyril, Náprstek, Jiří
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The mathematical model of a ball-type vibration absorber represents a non-linear differential system which includes non-holonomic constraints. When a random ambient excitation is taken into account, the system has to be treated as a stochastic deferential equation. Depending on the level of simplification, an analytical solution is not practicable and numerical solution procedures have to be applied. The contribution presents a simple stochastic analysis of a particular resonance effect...
Transforming stochastic matrices for stochastic comparison with the st-order
Tuğrul Dayar, Jean-Michel Fourneau, Nihal Pekergin (2010)
RAIRO - Operations Research
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We present a transformation for stochastic matrices and analyze the effects of using it in stochastic comparison with the strong stochastic (st) order. We show that unless the given stochastic matrix is row diagonally dominant, the transformed matrix provides better st bounds on the steady state probability distribution.
Stochastic finite element technique for stochastic one-dimensional time-dependent differential equations with random coefficients.
Saleh, M.M., El-Kalla, I.L., Ehab, M.M. (2007)
Differential Equations & Nonlinear Mechanics
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A Basic Course on General Stochastic Integration
M. Métivier, J. Pellaumail (1977)
Publications mathématiques et informatique de Rennes
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Stabilization of partially linear composite stochastic systems via stochastic Luenberger observers
Patrick Florchinger (2022)
Kybernetika
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The present paper addresses the problem of the stabilization (in the sense of exponential stability in mean square) of partially linear composite stochastic systems by means of a stochastic observer. We propose sufficient conditions for the existence of a linear feedback law depending on an estimation given by a stochastic Luenberger observer which stabilizes the system at its equilibrium state. The novelty in our approach is that all the state variables but the output can be corrupted...
Stochastic differential inclusions
Michał Kisielewicz (1997)
Discussiones Mathematicae, Differential Inclusions, Control and Optimization
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The definition and some existence theorems for stochastic differential inclusions depending only on selections theorems are given.