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Random Operators and Stochastic Equations最新文献

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Stationary density function for a random evolution driven by a Markov-switching Ornstein–Uhlenbeck process with finite velocity 有限速度Markov切换Ornstein–Uhlenbeck过程驱动的随机进化的平稳密度函数
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2022-04-06 DOI: 10.1515/rose-2022-2075
A. Pogorui, R. Rodríguez-Dagnino
{"title":"Stationary density function for a random evolution driven by a Markov-switching Ornstein–Uhlenbeck process with finite velocity","authors":"A. Pogorui, R. Rodríguez-Dagnino","doi":"10.1515/rose-2022-2075","DOIUrl":"https://doi.org/10.1515/rose-2022-2075","url":null,"abstract":"Abstract In this paper, we consider a new telegraph process of Ornstein–Uhlenbeck type. The process is obtained by generalizing the telegraph process in a similar manner to how the Ornstein–Uhlenbeck process was obtained from the Wiener process, namely by adding a drift coefficient proportional to a displacement from the origin. This process was first introduced by Ratanov in [N. Ratanov, Ornstein–Uhlenbeck process of bounded variation, Methodol. Comput. Appl. Probab. 23 2021, 925–946]. We obtain the infinitesimal operator of this process and we present formulas for finding its stationary probability density. We consider both the symmetric and asymmetric cases.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"30 1","pages":"113 - 120"},"PeriodicalIF":0.4,"publicationDate":"2022-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49663951","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
The main probability G-density of the theory of non-Hermitian random matrices, VICTORIA transform, RESPECT and REFORM methods 非埃尔米特随机矩阵理论的主概率G密度、VICTORIA变换、RESPECT和REFORM方法
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2022-03-01 DOI: 10.1515/rose-2022-2071
V. Girko
{"title":"The main probability G-density of the theory of non-Hermitian random matrices, VICTORIA transform, RESPECT and REFORM methods","authors":"V. Girko","doi":"10.1515/rose-2022-2071","DOIUrl":"https://doi.org/10.1515/rose-2022-2071","url":null,"abstract":"Abstract The main probability G-density of the global law for random matrices whose entries are independent is founded.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"30 1","pages":"39 - 69"},"PeriodicalIF":0.4,"publicationDate":"2022-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45045429","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: 2
The G-pencil law under G-Lindeberg condition. The canonical equation K_98 and G-logarithmic law G-Lindeberg条件下的G-铅笔定律。正则方程K_98与G-对数律
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2022-03-01 DOI: 10.1515/rose-2022-2072
V. Girko, B. Shevchuk, L. Shevchuk
{"title":"The G-pencil law under G-Lindeberg condition. The canonical equation K_98 and G-logarithmic law","authors":"V. Girko, B. Shevchuk, L. Shevchuk","doi":"10.1515/rose-2022-2072","DOIUrl":"https://doi.org/10.1515/rose-2022-2072","url":null,"abstract":"Abstract The examples of the pencil law for two random matrices whose pairs of entries are independent are considered.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"30 1","pages":"71 - 84"},"PeriodicalIF":0.4,"publicationDate":"2022-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42275278","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
Solving equations with semimartingale noise 求解带有半鞅噪声的方程
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2022-01-23 DOI: 10.1515/rose-2021-2070
Jonathan Gutierrez-Pavón, Carlos G. Pacheco
{"title":"Solving equations with semimartingale noise","authors":"Jonathan Gutierrez-Pavón, Carlos G. Pacheco","doi":"10.1515/rose-2021-2070","DOIUrl":"https://doi.org/10.1515/rose-2021-2070","url":null,"abstract":"Abstract In this work we focus on a method for solving equations with a coefficient formally given in terms of the derivative of a continuous semimartingale. This generalizes the case of coefficients being the white noise. The idea for solving the equation is to find explicitly the inverse of the ill-posed differential operator, which boils down to finding the associated Green kernel. To find the kernel we give explicitly two homogeneous solutions in terms of the so-called Dolean–Dade exponential. The general idea to define rigorously differential operators lies on dealing with them through bilinear forms. We give several examples with explicit calculations.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"30 1","pages":"33 - 38"},"PeriodicalIF":0.4,"publicationDate":"2022-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48218477","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
Multivalued and random version of Perov fixed point theorem in generalized gauge spaces 广义规范空间中Perov不动点定理的多值和随机版本
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2022-01-06 DOI: 10.1515/rose-2021-2068
A. Laadjel, J. Nieto, A. Ouahab, R. Rodríguez-López
{"title":"Multivalued and random version of Perov fixed point theorem in generalized gauge spaces","authors":"A. Laadjel, J. Nieto, A. Ouahab, R. Rodríguez-López","doi":"10.1515/rose-2021-2068","DOIUrl":"https://doi.org/10.1515/rose-2021-2068","url":null,"abstract":"Abstract In this paper, we present some random fixed point theorems in complete gauge spaces. We establish then a multivalued version of a Perov–Gheorghiu’s fixed point theorem in generalized gauge spaces. Finally, some examples are given to illustrate the results.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"30 1","pages":"1 - 19"},"PeriodicalIF":0.4,"publicationDate":"2022-01-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44703902","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
Deplay BSDEs driven by fractional Brownian motion 分数布朗运动驱动的Deplay BSDE
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2022-01-06 DOI: 10.1515/rose-2021-2069
Sadibou Aidara, Ibrahima Sané
{"title":"Deplay BSDEs driven by fractional Brownian motion","authors":"Sadibou Aidara, Ibrahima Sané","doi":"10.1515/rose-2021-2069","DOIUrl":"https://doi.org/10.1515/rose-2021-2069","url":null,"abstract":"Abstract This paper deals with a class of deplay backward stochastic differential equations driven by fractional Brownian motion (with Hurst parameter H greater than 1 2 {frac{1}{2}} ). In this type of equation, a generator at time t can depend not only on the present but also the past solutions. We essentially establish existence and uniqueness of a solution in the case of Lipschitz coefficients and non-Lipschitz coefficients. The stochastic integral used throughout this paper is the divergence-type integral.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"30 1","pages":"21 - 31"},"PeriodicalIF":0.4,"publicationDate":"2022-01-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43966204","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
L 1 and L ∞ stability of transition densities of perturbed diffusions 扰动扩散跃迁密度的L1和L∞稳定性
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2021-11-20 DOI: 10.1515/rose-2021-2067
I. Bitter, V. Konakov
{"title":"L 1 and L ∞ stability of transition densities of perturbed diffusions","authors":"I. Bitter, V. Konakov","doi":"10.1515/rose-2021-2067","DOIUrl":"https://doi.org/10.1515/rose-2021-2067","url":null,"abstract":"Abstract In this paper, we derive a stability result for L 1 {L_{1}} and L ∞ {L_{infty}} perturbations of diffusions under weak regularity conditions on the coefficients. In particular, the drift terms we consider can be unbounded with at most linear growth, and the estimates reflect the transport of the initial condition by the unbounded drift through the corresponding flow. Our approach is based on the study of the distance in L 1 {L_{1}} - L 1 {L_{1}} metric between the transition densities of a given diffusion and the perturbed one using the McKean–Singer parametrix expansion. In the second part, we generalize the well-known result on the stability of diffusions with bounded coefficients to the case of at most linearly growing drift.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"29 1","pages":"287 - 308"},"PeriodicalIF":0.4,"publicationDate":"2021-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44174105","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
Coupled fractional differential systems with random effects in Banach spaces Banach空间中具有随机效应的耦合分数阶微分系统
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2021-10-27 DOI: 10.1515/rose-2021-2064
O. Zentar, M. Ziane, S. Khelifa
{"title":"Coupled fractional differential systems with random effects in Banach spaces","authors":"O. Zentar, M. Ziane, S. Khelifa","doi":"10.1515/rose-2021-2064","DOIUrl":"https://doi.org/10.1515/rose-2021-2064","url":null,"abstract":"Abstract The purpose of this work is to investigate the existence of solutions for a system of random differential equations involving the Riemann–Liouville fractional derivative. The existence result is established by means of a random abstract formulation to Sadovskii’s fixed point theorem principle [A. Baliki, J. J. Nieto, A. Ouahab and M. L. Sinacer, Random semilinear system of differential equations with impulses, Fixed Point Theory Appl. 2017 2017, Paper No. 27] combined with a technique based on vector-valued metrics and convergent to zero matrices. An example is also provided to illustrate our result.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"0 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2021-10-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41356211","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
Small double limit with reflecting Wentzel boundary condition 具有反映Wentzel边界条件的小双极限
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2021-10-21 DOI: 10.1515/rose-2021-2066
Ibrahima Sané, A. Diédhiou
{"title":"Small double limit with reflecting Wentzel boundary condition","authors":"Ibrahima Sané, A. Diédhiou","doi":"10.1515/rose-2021-2066","DOIUrl":"https://doi.org/10.1515/rose-2021-2066","url":null,"abstract":"Abstract We provide a large deviation principle on the stochastic differential equations with reflecting Wentzel boundary condition if δ ε {frac{delta}{varepsilon}} tends to 0 when the two parameters δ (homogenization parameter) and ε (the large deviations parameter) tend to zero. Here, we suppose that the homogenization parameter converges sufficiently quickly more than the large deviations parameter. Furthermore, we will make explicit the associated rate function.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"29 1","pages":"279 - 286"},"PeriodicalIF":0.4,"publicationDate":"2021-10-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48675819","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
Maximum likelihood estimation for sub-fractional Vasicek model 亚分数阶Vasicek模型的最大似然估计
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2021-10-10 DOI: 10.1515/rose-2021-2065
B. Prakasa Rao
{"title":"Maximum likelihood estimation for sub-fractional Vasicek model","authors":"B. Prakasa Rao","doi":"10.1515/rose-2021-2065","DOIUrl":"https://doi.org/10.1515/rose-2021-2065","url":null,"abstract":"Abstract We investigate the asymptotic properties of maximum likelihood estimators of the drift parameters for the fractional Vasicek model driven by a sub-fractional Brownian motion.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"29 1","pages":"265 - 277"},"PeriodicalIF":0.4,"publicationDate":"2021-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47762263","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
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