Zobrazeno 1 - 9
of 9
pro vyhledávání: '"msc:60G51"'
Publikováno v:
Stochastic Processes and their Applications. 128:2153-2178
This article assesses the distance between the laws of stochastic differential equations with multiplicative Levy noise on path space in terms of their characteristics. The notion of transportation distance on the set of Levy kernels introduced by Ko
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5ed5101a99f4b03959fb48118be9025f
https://doi.org/10.1016/j.spa.2017.09.003
https://doi.org/10.1016/j.spa.2017.09.003
Autor:
Conforti, Giovanni
In this work we study reciprocal classes of Markov walks on graphs. Given a continuous time reference Markov chain on a graph, its reciprocal class is the set of all probability measures which can be represented as a mixture of the bridges of the ref
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______266::0c33cd0c09260d99d89c0a70fa09dc02
https://publishup.uni-potsdam.de/frontdoor/index/index/docId/7823
https://publishup.uni-potsdam.de/frontdoor/index/index/docId/7823
Autor:
Flandoli, Franco, Högele, Michael
The zero-noise limit of differential equations with singular coefficients is investigated for the first time in the case when the noise is a general alpha-stable process. It is proved that extremal solutions are selected and the probability of select
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______266::682a1f01b2eb85132d8d42903f5f1e09
https://publishup.uni-potsdam.de/files/6864/premath08.pdf
https://publishup.uni-potsdam.de/files/6864/premath08.pdf
Autor:
Högele, Michael, Pavlyukevich, Ilya
We consider a general class of finite dimensional deterministic dynamical systems with finitely many local attractors each of which supports a unique ergodic probability measure, which includes in particular the class of Morse–Smale systems in any
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______266::0785d370d1415557d2aa94fd7c3885d6
https://publishup.uni-potsdam.de/frontdoor/index/index/docId/6812
https://publishup.uni-potsdam.de/frontdoor/index/index/docId/6812
This article aims at the statistical assessment of time series with large fluctuations in short time, which are assumed to stem from a continuous process perturbed by a Lévy process exhibiting a heavy tail behavior. We propose an easily implementabl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______266::5654bba9ccccf005e53a8ff3780c3028
https://publishup.uni-potsdam.de/frontdoor/index/index/docId/6735
https://publishup.uni-potsdam.de/frontdoor/index/index/docId/6735
Autor:
Högele, Michael, Ruffino, Paulo
We consider an SDE driven by a Lévy noise on a foliated manifold, whose trajectories stay on compact leaves. We determine the effective behavior of the system subject to a small smooth transversal perturbation of positive order epsilon. More precise
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______266::9ffa501bbcbbf7dc9eecbf8acdc4e32f
https://publishup.uni-potsdam.de/files/6281/pre_math10.pdf
https://publishup.uni-potsdam.de/files/6281/pre_math10.pdf
Autor:
Murr, Rüdiger
In this work we are concerned with the characterization of certain classes of stochastic processes via duality formulae. First, we introduce a new formulation of a characterization of processes with independent increments, which is based on an integr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______266::f3260d8213aa89eebe87a7a1df2d6f1b
https://publishup.uni-potsdam.de/frontdoor/index/index/docId/6070
https://publishup.uni-potsdam.de/frontdoor/index/index/docId/6070
Autor:
Heidenreich, Felix
The main topic of this thesis is to define and analyze a multilevel Monte Carlo algorithm for path-dependent functionals of the solution of a stochastic differential equation (SDE) which is driven by a square integrable, \(d_X\)-dimensional Lévy pro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::cf78aa72d11366696b92cd3c4bc4484b
https://kluedo.ub.rptu.de/frontdoor/index/index/docId/3360
https://kluedo.ub.rptu.de/frontdoor/index/index/docId/3360
Publikováno v:
Stochastics and Dynamics. 15:1550009
We introduce the notion of coupling distances on the space of Lévy measures in order to quantify rates of convergence towards a limiting Lévy jump diffusion in terms of its characteristic triplet, in particular in terms of the tail of the Lévy mea
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::56cb7b820f3d8e3cfca55decaf820d3a
https://doi.org/10.1142/s0219493715500094
https://doi.org/10.1142/s0219493715500094