Concept

Stochastic calculus

Related publications (165)

Stochastic Modelling of Reservoir Sedimentation in a Semi-Arid Watershed

Nicolas Jean François Pascal Ghislain Adam, Michel Pirotton

Sedimentation in large reservoirs is a major concern in semi-arid regions characterized by severe seasonal water scarcity. As a contribution to improved sediment management, this study analyses the real case of the reservoir of Sidi Yacoub in the north of ...

2015

On the Connection between the Hamilton-Jacobi-Bellman and the Fokker-Planck Control Frameworks

Fabio Nobile

In the framework of stochastic processes, the connection between the dynamic programming scheme given by the Hamilton-Jacobi-Bellman equation and a recently proposed control approach based on the Fokker-Planck equation is discussed. Under appropriate assum ...

2014

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

High order numerical approximation of the invariant measure of ergodic SDEs

Assyr Abdulle, Gilles Vilmart

We introduce new sufficient conditions for a numerical method to approximate with high order of accuracy the invariant measure of an ergodic system of stochastic differential equations, independently of the weak order of accuracy of the method. We then pre ...

Society for Industrial and Applied Mathematics2014

Moment equations for the mixed formulation of the Hodge Laplacian with stochastic loading term

Fabio Nobile, Annalisa Buffa, Francesca Bonizzoni

We study the mixed formulation of the stochastic Hodge-Laplace problem dened on a

n

-dimensional domain

D (n ≥ 1)

, with random forcing term. In particular, we focus on the magnetostatic problem and on the Darcy problem in the three dimensional case. We ...

2014

Comparison between reduced basis and stochastic collocation methods for elliptic problems

Alfio Quarteroni, Gianluigi Rozza, Peng Chen

The stochastic collocation method has recently been applied to stochastic problems that can be transformed into parametric systems. Meanwhile, the reduced basis method, primarily developed for solving parametric systems, has been recently used to deal with ...

Springer Verlag2014

Sensitivity of stochastic perturbations in a noise amplifier flow

François Gallaire, Edouard Boujo

It is a well-known fact that small-amplitude perturbations can be amplified in globally stable flows due to non-normal mechanisms. This leads in the time domain to the transient growth of some initial disturbances, and in the frequency domain to the amplif ...

2014

Periodic versus Intermittent Adaptive Cycles in Quasispecies Coevolution

Alexander Kevin Seeholzer

We study an abstract model for the coevolution between mutating viruses and the adaptive immune system. In sequence space, these two populations are localized around transiently dominant strains. Delocalization or error thresholds exhibit a novel interdepe ...

American Physical Society2014

Optimal Energy Management Strategy of an Improved Elevator With Energy Storage Capacity Based on Dynamic Programming

Alfred Rufer, Philippe Barrade

Efficiency and energy consumption reduction are becoming a key issue in elevation applications. Energy Storage Systems (ESS) can play a significant role in this field, together with their associated Energy Management Strategy (EMS) to optimize the overall ...

Institute of Electrical and Electronics Engineers2014

MATHICSE Technical Report : Low-rank tensor approximation for high-order correlation functions of Gaussian random fields

Fabio Nobile, Daniel Kressner, Christine Tobler, Rajesh Kumar

Gaussian random fields are widely used as building blocks for modeling stochastic processes. This paper is concerned with the efficient representation of d-point correlations for such fields, which in turn enables the representation of more general stochas ...

MATHICSE2014

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Moment equations for the mixed formulation of the Hodge Laplacian with stochastic loading term

Fabio Nobile, Annalisa Buffa, Francesca Bonizzoni

We study the mixed formulation of the stochastic Hodge-Laplace problem dened on a

n

-dimensional domain

D (n ≥ 1)

, with random forcing term. In particular, we focus on the magnetostatic problem and on the Darcy problem in the three dimensional case. We ...

2014