Zobrazeno 1 - 10
of 67
pro vyhledávání: '"Dorogovtsev, Andrey"'
In this paper, we study the optimal filtering problem for a interacting particle system generated by stochastic differential equations with interaction. By using Malliavin calculus, we construct the differential equation of the covariance process and
Externí odkaz:
http://arxiv.org/abs/2409.00126
The modified massive Arratia flow is a model for the dynamics of passive particle clusters moving in a random fluid that accounts for the effects of mass aggregation. We show a central limit theorem for the point process associated to the cluster pos
Externí odkaz:
http://arxiv.org/abs/2408.05030
Autor:
Dorogovtsev, Andrey A., Salhi, Naoufel
In this paper we consider examples of positive generalized Wiener functions and we establish a large deviation principle for the generalized multiple intersection local time of the multidimensional Brownian motion.
Externí odkaz:
http://arxiv.org/abs/2406.07173
Autor:
Dorogovtsev, Andrey, Weiß, Alexander
The intermittency phenomenon is the occurrence of very high but rare peaks, which despite their rarity influence the asymptotic behaviour of the underlying system. Mathematically this can be characterised with the asymptotics of moments. In this arti
Externí odkaz:
http://arxiv.org/abs/2304.02571
Autor:
Dorogovtsev, Andrey A.
In this article the construction of a stationary random knot is proposed. The corresponding smooth random curve has no self-intersections in deterministic moments of time and changes its topological type at random moments.
Comment: 18 pages
Comment: 18 pages
Externí odkaz:
http://arxiv.org/abs/2303.09211
Autor:
Đorđević, Jasmina, Dorogovtsev, Andrey
In this paper backward stochastic differential equations with interaction (shorter BSDEs with interaction) are introduced. Far to our knowledge, this type of equation is not seen in the literature before. Existence and uniqueness result for BSDE with
Externí odkaz:
http://arxiv.org/abs/2212.13446
Autor:
Đorđević, Jasmina, Dorogovtsev, Andrey
In this paper Clark-Ocone representation for solution to measure-valued equation with interaction is studied. It is proven that the integrand is absolutely continuous with respect to Lebesgue measure.
Comment: 6 pages, 0 figures
Comment: 6 pages, 0 figures
Externí odkaz:
http://arxiv.org/abs/2103.04879
In this article we study transformations of Gaussian field by stochastic flow on the plane. A stochastic flow is a solution to the equation with interaction whose coefficients depend on the occupation measure of the field. We consider nonsmooth Gauss
Externí odkaz:
http://arxiv.org/abs/1910.09492
This work is devoted to long-time properties of the Arratia flow with drift -- a stochastic flow on $\mathbb{R}$ whose one-point motions are weak solutions to a stochastic differential equation $dX(t)=a(X(t))dt+dw(t)$ that move independently before t
Externí odkaz:
http://arxiv.org/abs/1808.05969
In the article we study properties of the random integral operator in $L_2(\mathbb{R})$ whose kernel is obtained as a convolution of Gaussian density with a stationary point process.
Comment: 6 pages
Comment: 6 pages
Externí odkaz:
http://arxiv.org/abs/1707.09922