Publications related to Stratonovich integral

Nonparametric estimation for SDE with sparsely sampled paths: An FDA perspective

Victor Panaretos, Neda Mohammadi Jouzdani

We consider the problem of nonparametric estimation of the drift and diffusion coefficients of a Stochastic Differential Equation (SDE), based on n independent replicates {Xi(t) : t is an element of [0 , 1]}13 d B(t), where alpha is an element of {0 , 1} a ...

Elsevier2024

Asymptotic symmetry and asymptotic solutions to Ito stochastic differential equations

Francesco Spadaro

We consider several aspects of conjugating symmetry methods, including the method of invariants, with an asymptotic approach. In particular we consider how to extend to the stochastic setting several ideas which are well established in the deterministic on ...

AMER INST MATHEMATICAL SCIENCES-AIMS2021

Symplectic dynamical low rank approximation of wave equations with random parameters

Fabio Nobile, Eleonora Musharbash, Eva Vidlicková

In this paper we propose a dynamical low-rank strategy for the approximation of second order wave equations with random parameters. The governing equation is rewritten in Hamiltonian form and the approximate solution is expanded over a set of 2S dynamical ...

2020

Integral Convexity And Parabolic Systems

Bernard Dacorogna

In this work we give optimal, i.e., necessary and sufficient, conditions for integrals of the calculus of variations to guarantee the existence of solutions-both weak and variational solutions-to the associated L-2-gradient flow. The initial values are mer ...

SIAM PUBLICATIONS2020

On Jump-Diffusive Driving Noise Sources: Some Explicit Results and Applications

Max-Olivier Hongler, Roger Filliger

We study some linear and nonlinear shot noise models where the jumps are drawn from a compound Poisson process with jump sizes following an Erlang-m distribution. We show that the associated Master equation can be written as a spatial mth order partial dif ...

Springer2019

Sparse Gradient Optimization and its Applications in Image Processing

Nikolaos Arvanitopoulos Darginis

Millions of digital images are captured by imaging devices on a daily basis. The way imaging devices operate follows an integral process from which the information of the original scene needs to be estimated. The estimation is done by inverting the integra ...

EPFL2017

Feynman-Kac representation for the parabolic Anderson model driven by fractional noise

Thomas Mountford, Kamran Kalbasi

We consider the parabolic Anderson model driven by fractional noise: partial derivative/partial derivative t u(t,x) = k Delta u(t,x) + u(t,x)partial derivative/partial derivative t W(t,x) x is an element of Z(d), t >= 0, where k > 0 is a diffusion constant ...

Academic Press Inc Elsevier Science2015

Error Analysis of the Dynamically Orthogonal Approximation of Time Dependent Random PDEs

Fabio Nobile, Eleonora Musharbash

In this work we discuss the dynamically orthogonal (DO) approximation of time dependent partial differential equations with random data. The approximate solution is expanded at each time instant on a time dependent orthonormal basis in the physical domain ...

2015

Stochastic interpretation of the advection diffusion equation and its relevance to bed load transport

Christophe Ancey, Joris Heyman

The advection diffusion equation is one of the most widespread equations in physics. It arises quite often in the context of sediment transport, e.g., for describing time and space variations in the particle activity (the solid volume of particles in motio ...

American Geophysical Union2015

Stabilized Numerical Methods for Stochastic Differential Equations driven by Diffusion and Jump-Diffusion Processes

Adrian Blumenthal

Stochastic models that account for sudden, unforeseeable events play a crucial role in many different fields such as finance, economics, biology, chemistry, physics and so on. That kind of stochastic problems can be modeled by stochastic differential equat ...

EPFL2015

Fourier Analysis of Functional Time Series, with Applications to DNA Dynamics

Shahin Tavakoli

This work is about time series of functional data (functional time series), and consists of three main parts. In the first part (Chapter 2), we develop a doubly spectral decomposition for functional time series that generalizes the Karhunen–Loève expansion ...

EPFL2014

Moments, Intermittency, and Growth Indices for Nonlinear Stochastic PDE's with Rough Initial Conditions

Le Chen

In this thesis, we study several stochastic partial differential equations (SPDE’s) in the spatial domain R, driven by multiplicative space-time white noise. We are interested in how rough and unbounded initial data affect the random field solution and the ...

EPFL2013

Bin Packing via Discrepancy of Permutations

Friedrich Eisenbrand, Thomas Rothvoss, Doemoetoer Palvoelgyi

A well-studied special case of bin packing is the 3-partition problem, where n items of size > 1/4 have to be packed in a minimum number of bins of capacity one. The famous Karmarkar-Karp algorithm transforms a fractional solution of a suitable LP relaxati ...

Association for Computing Machinery2013

Le "Fragmentum de inventionibus scientiarum" de Diego Palomino

Nouara Chekhar

The objective of this PhD thesis is the translation of, and the mathematical commentary on, a 16th-century Latin book. Its author, Diego Palomino is not well known. With a background in theology, he was a prior. In order to obtain his PhD at the University ...

EPFL2012

Stochastic integrals for spde's: A comparison

Robert Dalang

We present the Walsh theory of stochastic integrals with respect to martingale measures, and various extensions of this theory, alongside of the Da Prato and Zabczyk theory of stochastic integrals with respect to Hilbert-space-valued Wiener processes, and ...

Elsevier2011

Ecohydrological Footprints : Quantitative Response of Ecosystems to Changes in their Hydrological Drivers

Samir Suweis

Ecohydrological footprints are defined as the response of ecosystem functions or services to changes in their hydrologic drivers. In this thesis, several diverse footprints are addressed: noise-driven effects on storage-discharge relations and catchment st ...

EPFL2011

Bin Packing via Discrepancy of Permutations

Friedrich Eisenbrand, Thomas Rothvoss, Doemoetoer Palvoelgyi

A well studied special case of bin packing is the 3-partition problem, where n items of size > 1/4 have to be packed in a minimum number of bins of capacity one. The famous Karmarkar-Karp algorithm transforms a fractional solution of a suitable LP relaxati ...

Siam, 3600 Univ City Science Center, Philadelphia, Pa 19104-2688 Usa2011

On The Stochastic Modeling Of Rigid Body Systems With Application To Polymer Dynamics

John Maddocks

The stochastic equations of motion for a system of interacting rigid bodies in a solvent are formulated and studied. Three-dimensional bodies of arbitrary shape, with arbitrary couplings between translational and rotational degrees of freedom, as arise in ...

2010

Surface integral formulation for 3D simulations of plasmonic and high permittivity nanostructures

Olivier Martin, Andreas Kern

Among the most popular approaches used for simulating plasmonic systems, the discrete dipole approximation suffers from poorly scaling volume discretization and limited near-field accuracy. We demonstrate that transformation to a surface integral formulati ...

2009

Introducing symmetry conditions in the integral equation technique applied to quasi-waveguide structures

Juan Ramon Mosig, Michael Mattes, Laleh Golestanirad

Integral Equation (IE) formulation solved by Method of Moments may be used efficiently to address the problem of quasi-waveguide structures, i.e. structures consisting of a main waveguide with a constant cross section that may bear an arbitrary number of p ...

2009