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Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series

M. Magdziarz, A. Weron (2007)

Studia Mathematica

We introduce a fractional Langevin equation with α-stable noise and show that its solution $Y_{κ} (t), t \geq 0$ is the stationary α-stable Ornstein-Uhlenbeck-type process recently studied by Taqqu and Wolpert. We examine the asymptotic dependence structure of $Y_{κ} (t)$ via the measure of its codependence r(θ₁,θ₂,t). We prove that $Y_{κ} (t)$ is not a long-memory process in the sense of r(θ₁,θ₂,t). However, we find two natural continuous-time analogues of fractional ARIMA time series with long memory in the framework of the Langevin...

Fractional Ornstein-Uhlenbeck processes.

Cheridito, Patrick, Kawaguchi, Hideyuki, Maejima, Makoto (2003)

Electronic Journal of Probability [electronic only]

Full cooperation applied to environmental improvements

Monique Jeanblanc, Rafał M. Łochowski, Wojciech Szatzschneider (2015)

Banach Center Publications

We analyse the case of certificates of environmental improvements and full cooperation of two identical agents. We model pollution levels as geometric Brownian motions with quadratic costs of improvements. Our main result is the construction of the optimal improvements strategy in the case of separate actions, collusive actions and fusion. In certain range of the model parameters, the fusion solution generates lower pollution levels than separate and collusive actions.

Functional integro-differential stochastic evolution equations in Hilbert space.

Keck, David N., McKibben, Mark A. (2003)

Journal of Applied Mathematics and Stochastic Analysis

Fundamental solutions to Kolmogorov equations via reduction to canonical form.

Goard, Joanna (2006)

Journal of Applied Mathematics and Decision Sciences

Fundamental theorems for linear measure differential equations.

Jan Persson (1988)

Mathematica Scandinavica

Gaussian density estimates for the solution of singular stochastic Riccati equations

Tien Dung Nguyen (2016)

Applications of Mathematics

Stochastic Riccati equation is a backward stochastic differential equation with singular generator which arises naturally in the study of stochastic linear-quadratic optimal control problems. In this paper, we obtain Gaussian density estimates for the solutions to this equation.

General decay stability for stochastic functional differential equations with infinite delay.

Liu, Yue, Meng, Xuejing, Wu, Fuke (2010)

International Journal of Stochastic Analysis

General theorems for numerical approximation of stochastic processes on the Hilbert space $H_{2} ([0, T], μ, ℝ^{d})$ .

Schurz, Henri (2003)

ETNA. Electronic Transactions on Numerical Analysis [electronic only]

Generalization of the Girsanov theorem

Václav Skokan (1988)

Commentationes Mathematicae Universitatis Carolinae

Generalized RBSDEs with Random Terminal Time and Applications to PDEs

Katarzyna Jańczak-Borkowska (2011)

Bulletin of the Polish Academy of Sciences. Mathematics

Generalized reflected backward stochastic differential equations have been considered so far only in the case of a deterministic interval. In this paper the existence and uniqueness of solution for generalized reflected backward stochastic differential equations in a convex domain with random terminal time is studied. Applications to the obstacle problem with Neumann boundary conditions for partial differential equations of elliptic type are given.

Géométrie différentielle du 2ème ordre, semi-martingales et équations différentielles stochastiques sur une variété différentielle

Laurent Schwartz (1982)

Séminaire de probabilités de Strasbourg

Currently displaying 221 – 240 of 612

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Displaying 221 – 240 of 612

Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series

Fractional Ornstein-Uhlenbeck processes.

Full cooperation applied to environmental improvements

Functional integro-differential stochastic evolution equations in Hilbert space.

Fundamental solutions to Kolmogorov equations via reduction to canonical form.

Fundamental theorems for linear measure differential equations.

Gaussian density estimates for the solution of singular stochastic Riccati equations

General decay stability for stochastic functional differential equations with infinite delay.

General theorems for numerical approximation of stochastic processes on the Hilbert space $H_{2} ([0, T], μ, ℝ^{d})$ .

Generalization of the Girsanov theorem

Generalized RBSDEs with Random Terminal Time and Applications to PDEs

Generalized variational principles

Generation of one-sided random dynamical systems by stochastic differential equations.

Genericity in deterministic and stochastic differential equations

Geometric evolution under isotropic stochastic flow.

Géométrie différentielle du 2ème ordre, semi-martingales et équations différentielles stochastiques sur une variété différentielle

Géométrie stochastique sans larmes, I

Geometry of stochastic delay differential equations.

Global existence and controllability to a stochastic integro-differential equation.

Grossissement d'une filtration et retournement du temps d'une diffusion

Currently displaying 221 – 240 of 612