Zobrazeno 1 - 10
of 96
pro vyhledávání: '"Dozzi, Marco"'
We study the trajectorywise blowup behavior of a semilinear partial differential equation that is driven by a mixture of multiplicative Brownian and fractional Brownian motion, modeling different types of random perturbations. The linear operator is
Externí odkaz:
http://arxiv.org/abs/2301.02174
Autor:
Knani, Habiba, Dozzi, Marco
Explicit solutions for a class of linear backward stochastic differential equations (BSDE) driven by Gaussian Volterra processes are given. These processes include the multifractional brownian motion and the multifractional Ornstein-Uhlenbeck process
Externí odkaz:
http://arxiv.org/abs/1912.00054
In this article we prove new results regarding the existence and the uniqueness of global variational solutions to Neumann initial-boundary value problems for a class of non-autonomous stochastic parabolic partial differential equations. The equation
Externí odkaz:
http://arxiv.org/abs/1806.10815
We construct the least-square estimator for the unknown drift parameter in the multifractional Ornstein-Uhlenbeck model and establish its strong consistency in the non-ergodic case. The proofs are based on the asymptotic bounds with probability 1 for
Externí odkaz:
http://arxiv.org/abs/1602.05848
Autor:
Dozzi, Marco
This essay is a project aimed primarily at mapping certain philosophical and theological ontologies onto psychology; in particular, existential psychology. The existential psychology is strongly inspired by Sartre, and the ontologies which are invest
Autor:
Dozzi, Marco D.1 marco.dozzi2@mcgill.ca
Publikováno v:
Sartre Studies International. 2023, Vol. 29 Issue 1, p22-89. 68p.
We obtain results on both weak and almost sure asymptotic behaviour of power variations of a linear combination of independent Wiener process and fractional Brownian motion. These results are used to construct strongly consistent parameter estimators
Externí odkaz:
http://arxiv.org/abs/1301.0993
Autor:
Debbi, Latifa, Dozzi, Marco
In this work, we introduce a new discretization to the fractional Laplacian and use it to elaborate an approximation scheme for fractional heat equations perturbed by a multiplicative cylindrical white noise. In particular, we estimate the rate of co
Externí odkaz:
http://arxiv.org/abs/1102.4689
Autor:
Dozzi, Marco, Shevchenko, Georgiy
Publikováno v:
Stochastic Processes and their Applications Volume 121, Issue 7, July 2011, Pages 1509-1523
A real harmonizable multifractional stable process is defined, its H\"older continuity and localizability are proved. The existence of local time is shown and its regularity is established.
Externí odkaz:
http://arxiv.org/abs/1012.0503
Publikováno v:
Bernoulli 2010, Vol. 16, No. 4, 1294-1311
The stochastic calculus for Gaussian processes is applied to obtain a Tanaka formula for a Volterra-type multifractional Gaussian process. The existence and regularity properties of the local time of this process are obtained by means of Berman's Fou
Externí odkaz:
http://arxiv.org/abs/1011.6139