Zobrazeno 1 - 10
of 5 380
pro vyhledávání: '"poisson random measure"'
In this work, we present a general Milstein-type scheme for McKean-Vlasov stochastic differential equations (SDEs) driven by Brownian motion and Poisson random measure and the associated system of interacting particles where drift, diffusion and jump
Externí odkaz:
http://arxiv.org/abs/2411.11759
The aim of this work is to provide the strong convergence results of numerical approximations of a general second order non-autonomous semilinear stochastic partial differential equation (SPDE) driven simultaneously by an additive fractional Brownian
Externí odkaz:
http://arxiv.org/abs/2409.06045
Akademický článek
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Autor:
Sobieraj, Michał
In this paper, we investigate the properties of standard and multilevel Monte Carlo methods for weak approximation of solutions of stochastic differential equations (SDEs) driven by the infinite-dimensional Wiener process and Poisson random measure w
Externí odkaz:
http://arxiv.org/abs/2307.16640
Autor:
Chen, Yidong, Junge, Marius
We introduce a noncommutative Poisson random measure on a von Neumann algebra. This is a noncommutative generalization of the classical Poisson random measure. We call this construction Poissonization. Poissonization is a functor from the category of
Externí odkaz:
http://arxiv.org/abs/2303.14580
In this paper we deal with pointwise approximation of solutions of stochastic differential equations (SDEs) driven by infinite dimensional Wiener process with additional jumps generated by Poisson random measure. The further investigations contain up
Externí odkaz:
http://arxiv.org/abs/2108.02394
Autor:
Oufdil, Khalid
In this paper, we study one-dimensional backward stochastic differential equation with jump under logarithmic growth assumption in the z-variable (|z|\sqrt{|\ln|z|}|) and an L^p terminal value (for a suitable p>2). We show the existence and the uniqu
Externí odkaz:
http://arxiv.org/abs/2012.09072
We present a new Bayesian inference method for compartmental models that takes into account the intrinsic stochasticity of the process. We show how to formulate a SIR-type Markov jump process as the solution of a stochastic differential equation with
Externí odkaz:
http://arxiv.org/abs/2004.10264
In this paper, we study the numerical approximation of a general second order semilinear stochastic partial differential equation (SPDE) driven by a additive fractional Brownian motion (fBm) with Hurst parameter $H>\frac 12$ and Poisson random measur
Externí odkaz:
http://arxiv.org/abs/1912.12751
Autor:
Milošević, Marija
Publikováno v:
Filomat, 2013 Jan 01. 27(1), 201-214.
Externí odkaz:
https://www.jstor.org/stable/24896347
