Zobrazeno 1 - 10
of 140
pro vyhledávání: '"Goldys, B."'
Autor:
Goldys, B., Neklyudov, M.
In this paper we will show that the solution of 1D stochastic parabolic equation with additive noise converges to a martingale (independent upon space variable) when we rescale noise at the extremum points of the process.
Comment: 14 pages; Mino
Comment: 14 pages; Mino
Externí odkaz:
http://arxiv.org/abs/1502.03574
We study a stochastic Landau-Lifshitz equation on a bounded interval and with finite dimensional noise. We first show that there exists a pathwise unique solution to this equation and that this solution enjoys the maximal regularity property. Next, w
Externí odkaz:
http://arxiv.org/abs/1202.0370
The paper is concerned with the properties of solutions to linear evolution equation perturbed by cylindrical L\'evy processes. It turns out that solutions, under rather weak requirements, do not have c\`adl\`ag modification. Some natural open questi
Externí odkaz:
http://arxiv.org/abs/0911.2418
Autor:
Brzezniak, Z., Goldys, B.
The Landau-Lifshitz-Gilbert equation perturbed by a multiplicative space-dependent noise is considered for a ferromagnet filling a bounded three-dimensional domain. We show the existence of weak martingale solutions taking values in a sphere $\mathbb
Externí odkaz:
http://arxiv.org/abs/0901.0039
Autor:
Fabbri, G., Goldys, B.
We study a linear quadratic problem for a system governed by the heat equation on a halfline with Dirichlet boundary control and Dirichlet boundary noise. We show that this problem can be reformulated as a stochastic evolution equation in a certain w
Externí odkaz:
http://arxiv.org/abs/0801.3888
We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European call options, varying the maturing time and the strike price $T$ an $K$
Externí odkaz:
http://arxiv.org/abs/0712.1343
Autor:
Goldys, B., Maslowski, B.
Publikováno v:
Annals of Probability 2006, Vol. 34, No. 4, 1451-1496
A formula for the transition density of a Markov process defined by an infinite-dimensional stochastic equation is given in terms of the Ornstein--Uhlenbeck bridge and a useful lower estimate on the density is provided. As a consequence, uniform expo
Externí odkaz:
http://arxiv.org/abs/math/0402307
Autor:
Chojnowska-Michalik, A., Goldys, B.
We provide necessary and sufficient conditions for a Hilbert space-valued Ornstein-Uhlenbeck process to be reversible with respect to its invariant measure $\mu$. For a reversible process the domain of its generator in $L^p(\mu )$ is characterized in
Externí odkaz:
http://arxiv.org/abs/math/0205315
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