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A number of approaches for discretizing partial differential equations with random data
are based on generalized polynomial chaos expansions of random variables. These constitute
generalizations of the polynomial chaos expansions introduced by Norbert Wiener to
expansions in polynomials orthogonal with respect to non-Gaussian probability measures. We
present conditions on such measures which imply mean-square convergence of generalized
polynomial...
In this work a family of stochastic differential equations whose solutions are multidimensional diffusion-type (non necessarily markovian) processes is considered, and the estimation of a parametric vector θ which relates the coefficients is studied. The conditions for the existence of the likelihood function are proved and the estimator is obtained by continuously observing the process. An application for Diffusion Branching Processes is given. This problem has been studied in some special cases...
In this paper we solve the basic fractional analogue of the classical infinite time horizon linear-quadratic gaussian regulator problem. For a completely observable controlled linear system driven by a fractional brownian motion, we describe explicitely the optimal control policy which minimizes an asymptotic quadratic performance criterion.
In this paper we solve the basic fractional
analogue of the classical infinite time horizon linear-quadratic Gaussian
regulator problem. For a completely observable controlled linear
system driven by a fractional Brownian motion, we describe
explicitely the optimal control policy which minimizes an
asymptotic quadratic performance criterion.
In this article we prove new results concerning the structure and the stability properties of the global attractor associated with a class of nonlinear parabolic stochastic partial differential equations driven by a standard multidimensional brownian motion. We first use monotonicity methods to prove that the random fields either stabilize exponentially rapidly with probability one around one of the two equilibrium states, or that they set out to oscillate between them. In the first case we can...
In this article we prove new results concerning the
structure and the stability properties of the global attractor associated
with a class of nonlinear parabolic stochastic partial differential equations
driven by a standard multidimensional Brownian motion.
We first use monotonicity methods
to prove that the random fields either stabilize exponentially rapidly with
probability one around one of the two equilibrium states, or that they set out
to oscillate between them. In the first case we can...
In this paper we are interested in term structure models for pricing zero coupon bonds under rapidly oscillating stochastic volatility. We analyze solutions to the generalized Cox–Ingersoll–Ross two factors model describing clustering of interest rate volatilities. The main goal is to derive an asymptotic expansion of the bond price with respect to a singular parameter representing the fast scale for the stochastic volatility process. We derive the second order asymptotic expansion of a solution...
In [Probab. Theory Related Fields141 (2008) 543–567], the authors proved the uniqueness among the solutions of quadratic BSDEs with convex generators and unbounded terminal conditions which admit every exponential moments. In this paper, we prove that uniqueness holds among solutions which admit some given exponential moments. These exponential moments are natural as they are given by the existence theorem. Thanks to this uniqueness result we can strengthen the nonlinear Feynman–Kac formula proved...
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