Zobrazeno 1 - 10
of 5 367
pro vyhledávání: '"60H10"'
Autor:
Behme, Anita, Mentemeier, Sebastian
We study the long-time behaviour of matrix-valued stochastic exponentials of L\'evy processes, i.e. of multiplicative L\'evy processes in the general linear group. In particular, we prove laws of large numbers as well as central limit theorems for th
Externí odkaz:
http://arxiv.org/abs/2411.14876
Autor:
Zlotchevski, Andrei, Chen, Linan
The Schr\"odinger bridge problem (SBP) seeks to find the measure $\hat{\mathbf{P}}$ on a certain path space which interpolates between state-space distributions $\rho_0$ at time $0$ and $\rho_T$ at time $T$ while minimizing the KL divergence (relativ
Externí odkaz:
http://arxiv.org/abs/2411.13765
Autor:
Huang, Hui, Kouhkouh, Hicham
Publikováno v:
Published in the journal: Applied Mathematics Letters, 2024, p. 109372
A self-interacting dynamics that mimics the standard Consensus-Based Optimization (CBO) model is introduced. This single-particle dynamics is shown to converge to a unique invariant measure that approximates the global minimum of a given function. As
Externí odkaz:
http://arxiv.org/abs/2411.10295
By establishing the regularity estimates for nonlocal Stein/Poisson equations under $\gamma$-order H\"older and dissipative conditions on the coefficients, we derive the $W_{\bf d}$-convergence rate for the Euler-Maruyama schemes applied to the invar
Externí odkaz:
http://arxiv.org/abs/2411.09949
This paper investigates the long time dynamics of interacting particle systems subject to singular interactions. We consider a microscopic system of $N$ interacting point particles, where the time evolution of the joint distribution $f_N(t)$ is gover
Externí odkaz:
http://arxiv.org/abs/2411.08614
Autor:
Strang, Alexander
A stochastic process is at thermodynamic equilibrium if it obeys time-reversal symmetry; forward and reverse time are statistically indistinguishable at steady state. Non-equilibrium processes break time-reversal symmetry by maintaining circulating p
Externí odkaz:
http://arxiv.org/abs/2411.07613
Autor:
Fan, Xiliang, Zhang, Shao-Qin
The well-posedness is investigated for distribution dependent stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H\in (\ff {\sq 5-1} 2,1)$ and distribution dependent multiplicative noise. To this aim, we intr
Externí odkaz:
http://arxiv.org/abs/2411.06974
Autor:
Liu, Zhihui, Wu, Xiaoming
We construct a family of explicit tamed Euler--Maruyama (TEM) schemes, which can preserve the same Lyapunov structure for super-linear stochastic ordinary differential equations (SODEs) driven by multiplicative noise.These TEM schemes are shown to in
Externí odkaz:
http://arxiv.org/abs/2411.06049
Data assimilation (DA) combines partial observations with a dynamical model to improve state estimation. Filter-based DA uses only past and present data and is the prerequisite for real-time forecasts. Smoother-based DA exploits both past and future
Externí odkaz:
http://arxiv.org/abs/2411.05870
The relative arbitrage problem in Stochastic Portfolio Theory seeks to generate an investment strategy that almost surely outperforms a benchmark portfolio at the end of a certain time horizon. The highest relative return in relative arbitrage opport
Externí odkaz:
http://arxiv.org/abs/2411.13558