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Random Operators and Stochastic Equations最新文献

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Malliavin calculus used to derive a stochastic maximum principle for system driven by fractional Brownian and standard Wiener motions with application 用马利亚文微积分推导了分数阶布朗运动和标准维纳运动驱动系统的随机极大值原理，并给出了应用
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2020-11-07 DOI: 10.1515/rose-2020-2047
Tayeb Bouaziz, A. Chala
{"title":"Malliavin calculus used to derive a stochastic maximum principle for system driven by fractional Brownian and standard Wiener motions with application","authors":"Tayeb Bouaziz, A. Chala","doi":"10.1515/rose-2020-2047","DOIUrl":"https://doi.org/10.1515/rose-2020-2047","url":null,"abstract":"Abstract We consider a stochastic control problem in the case where the set of the control domain is convex, and the system is governed by fractional Brownian motion with Hurst parameter H ∈ ( 1 2 , 1 ) {Hin(frac{1}{2},1)} and standard Wiener motion. The criterion to be minimized is in the general form, with initial cost. We derive a stochastic maximum principle of optimality by using two famous approaches. The first one is the Doss–Sussmann transformation and the second one is the Malliavin derivative.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":null,"pages":null},"PeriodicalIF":0.4,"publicationDate":"2020-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/rose-2020-2047","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48690383","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A stochastic operational matrix method for numerical solutions of multi-dimensional stochastic Itô–Volterra integral equations 多维随机Itô-Volterra积分方程数值解的随机操作矩阵法
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2020-09-01 DOI: 10.1515/rose-2020-2040
S. Singh, S. Ray
{"title":"A stochastic operational matrix method for numerical solutions of multi-dimensional stochastic Itô–Volterra integral equations","authors":"S. Singh, S. Ray","doi":"10.1515/rose-2020-2040","DOIUrl":"https://doi.org/10.1515/rose-2020-2040","url":null,"abstract":"Abstract In this article, hybrid Legendre block-pulse functions are implemented in determining the approximate solutions for multi-dimensional stochastic Itô–Volterra integral equations. The block-pulse function and the proposed scheme are used for deriving a methodology to obtain the stochastic operational matrix. Error and convergence analysis of the scheme is discussed. A brief discussion including numerical examples has been provided to justify the efficiency of the mentioned method.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":null,"pages":null},"PeriodicalIF":0.4,"publicationDate":"2020-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/rose-2020-2040","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41625282","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Frontmatter Frontmatter
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2020-09-01 DOI: 10.1515/rose-2020-frontmatter3
{"title":"Frontmatter","authors":"","doi":"10.1515/rose-2020-frontmatter3","DOIUrl":"https://doi.org/10.1515/rose-2020-frontmatter3","url":null,"abstract":"","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":null,"pages":null},"PeriodicalIF":0.4,"publicationDate":"2020-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/rose-2020-frontmatter3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47020276","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Large deviations and Berry–Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion 分数布朗运动下非齐次扩散估计量的大偏差和Berry-Esseen不等式
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2020-09-01 DOI: 10.1515/rose-2020-2037
Kouacou Tanoh, M. N’zi, A. F. Yodé
{"title":"Large deviations and Berry–Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion","authors":"Kouacou Tanoh, M. N’zi, A. F. Yodé","doi":"10.1515/rose-2020-2037","DOIUrl":"https://doi.org/10.1515/rose-2020-2037","url":null,"abstract":"Abstract We are interested in bounds on the large deviations probability and Berry–Esseen type inequalities for maximum likelihood estimator and Bayes estimator of the parameter appearing linearly in the drift of nonhomogeneous stochastic differential equation driven by fractional Brownian motion.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":null,"pages":null},"PeriodicalIF":0.4,"publicationDate":"2020-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/rose-2020-2037","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46998035","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Stochastic PDEs in 𝒮' for SDEs driven by Lévy noise 在𝒮'中随机偏微分方程的lsamvy噪声驱动
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2020-08-29 DOI: 10.1515/rose-2020-2041
Suprio Bhar, R. Bhaskaran, Barun Sarkar
{"title":"Stochastic PDEs in 𝒮' for SDEs driven by Lévy noise","authors":"Suprio Bhar, R. Bhaskaran, Barun Sarkar","doi":"10.1515/rose-2020-2041","DOIUrl":"https://doi.org/10.1515/rose-2020-2041","url":null,"abstract":"Abstract In this article we show that a finite-dimensional stochastic differential equation driven by a Lévy noise can be formulated as a stochastic partial differential equation (SPDE) driven by the same Lévy noise. We prove the existence result for such an SPDE by Itô’s formula for translation operators, and the uniqueness by an adapted form of “Monotonicity inequality”, proved earlier in the diffusion case. As a consequence, the solutions that we construct have the “translation invariance” property.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":null,"pages":null},"PeriodicalIF":0.4,"publicationDate":"2020-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/rose-2020-2041","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47081649","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A new family of positive recurrent semimartingale reflecting Brownian motions in an orthant 一个反映orthant中布朗运动的正递归半鞅的新族
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2020-08-27 DOI: 10.1515/rose-2020-2036
Abdelhak Yaacoubi
{"title":"A new family of positive recurrent semimartingale reflecting Brownian motions in an orthant","authors":"Abdelhak Yaacoubi","doi":"10.1515/rose-2020-2036","DOIUrl":"https://doi.org/10.1515/rose-2020-2036","url":null,"abstract":"Abstract Semimartingale reflecting Brownian motions (SRBMs) are diffusion processes, which arise as approximations for open d-station queueing networks of various kinds. The data for such a process are a drift vector θ, a nonsingular d × d {dtimes d} covariance matrix Δ, and a d × d {dtimes d} reflection matrix R. The state space is the d-dimensional nonnegative orthant, in the interior of which the processes evolve according to a Brownian motions, and that reflect against the boundary in a specified manner. A standard problem is to determine under what conditions the process is positive recurrent. Necessary and sufficient conditions are formulated for some classes of reflection matrices and in two- and three-dimensional cases, but not more. In this work, we identify a new family of reflection matrices R for which the process is positive recurrent if and only if the drift θ ∈ Γ ̊ {thetainmathring{Gamma}} , where Γ ̊ {mathring{Gamma}} is the interior of the convex wedge generated by the opposite column vectors of R.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":null,"pages":null},"PeriodicalIF":0.4,"publicationDate":"2020-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/rose-2020-2036","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47161732","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Large deviations for stochastic differential equations with general delayed generator 一般时滞发生器随机微分方程的大偏差问题
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2020-08-27 DOI: 10.1515/rose-2020-2039
C. Manga, A. Aman
{"title":"Large deviations for stochastic differential equations with general delayed generator","authors":"C. Manga, A. Aman","doi":"10.1515/rose-2020-2039","DOIUrl":"https://doi.org/10.1515/rose-2020-2039","url":null,"abstract":"Abstract This paper is devoted to derive a Freidlin–Wentzell type of the large deviation principle for stochastic differential equations with general delayed generator. We improve the result of Chi Mo and Jiaowan Luo [C. Mo and J. Luo, Large deviations for stochastic differential delay equations, Nonlinear Anal. 80 2013, 202–210].","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":null,"pages":null},"PeriodicalIF":0.4,"publicationDate":"2020-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/rose-2020-2039","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43285780","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Goodness-of-fit test for skew normality based on energy statistics 基于能量统计的偏态正态的拟合优度检验
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2020-08-15 DOI: 10.1515/rose-2020-2042
Logan Opperman, Wei Ning
{"title":"Goodness-of-fit test for skew normality based on energy statistics","authors":"Logan Opperman, Wei Ning","doi":"10.1515/rose-2020-2042","DOIUrl":"https://doi.org/10.1515/rose-2020-2042","url":null,"abstract":"Abstract In this paper, we propose a goodness-of-fit test based on the energy statistic for skew normality. Simulations indicate that the Type-I error of the proposed test can be controlled reasonably well for given nominal levels. Power comparisons to other existing methods under different settings show the advantage of the proposed test. Such a test is applied to two real data sets to illustrate the testing procedure.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":null,"pages":null},"PeriodicalIF":0.4,"publicationDate":"2020-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/rose-2020-2042","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43028117","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Frontmatter Frontmatter
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2020-06-01 DOI: 10.1515/rose-2020-frontmatter2
{"title":"Frontmatter","authors":"","doi":"10.1515/rose-2020-frontmatter2","DOIUrl":"https://doi.org/10.1515/rose-2020-frontmatter2","url":null,"abstract":"","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":null,"pages":null},"PeriodicalIF":0.4,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/rose-2020-frontmatter2","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49163575","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Nonparametric estimation of trend for stochastic differential equations driven by sub-fractional Brownian motion 次分数布朗运动驱动的随机微分方程趋势的非参数估计
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2020-05-19 DOI: 10.1515/rose-2020-2032
B. P. Rao
{"title":"Nonparametric estimation of trend for stochastic differential equations driven by sub-fractional Brownian motion","authors":"B. P. Rao","doi":"10.1515/rose-2020-2032","DOIUrl":"https://doi.org/10.1515/rose-2020-2032","url":null,"abstract":"Abstract We discuss nonparametric estimation of a trend coefficient in models governed by a stochastic differential equation driven by a sub-fractional Brownian motion with small noise.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":null,"pages":null},"PeriodicalIF":0.4,"publicationDate":"2020-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/rose-2020-2032","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46606731","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
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