Concept

Stochastic calculus

Related publications (165)

Bed load transport over a broad range of timescales: Determination of three regimes of fluctuations

Christophe Ancey, Joris Heyman, François Mettra, Hongbo Ma

This paper describes the relationship between the statistics of bed load transport flux and the timescale over which it is sampled. A stochastic formulation is developed for the probability distribution function of bed load transport flux, based on the Anc ...

Wiley-Blackwell2014

STOCHASTIC PROCESSES AND CONSTRUCTION OF BROWNIAN MOTION

Christophe-Aschkan Mery

This project offers a rigorous introduction to the tools needed to construct a continuous stochastic process. Among other things, we give a very detailed proof of the Kolmogorov continuity criterion. We then construct a Brownian Motion following the formal ...

EPFL2013

Human needs as a driver for lighting design

Marilyne Andersen

Thanks to fundamental discoveries from neuroscience, biology and others, we have achieved a deeper understanding of how we interact with our environment. It is time to bring this knowledge back to architecture: we have access to the essential ingredients o ...

2013

The Stationary Behaviour of Fluid Limits of Reversible Processes is Concentrated on Stationary Points

Jean-Yves Le Boudec

Assume that a stochastic process can be approximated, when some scale parameter gets large, by a fluid limit (also called mean field limit", or hydrodynamic limit"). A common practice, often called the ``fixed point approximation" consists in approxima ...

2013

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

Coupling reduced basis and numerical homogenization methods for solving quasilinear elliptic problems

Assyr Abdulle

The workshop has brought together experts in the broad field of partial differential equations with highly heterogeneous coefficients. Analysts and computational and applied mathematicians have shared results and ideas on a topic of considerable interest b ...

EMS2013

An algorithm for automatic inertial sensor calibration

Jan Skaloud, Stéphane Guerrier

We present an algorithm for determining the nature of stochastic processes together with its parameters based on the analysis of time series of inertial errors. The algorithm is suitable mainly (but not only) for situations when several stochastic processe ...

2013

Stochastic Optimal Robin Boundary Control Problems of Advection-Dominated Elliptic Equations

Alfio Quarteroni, Gianluigi Rozza, Peng Chen

In this work we deal with a stochastic optimal Robin boundary control problem constrained by an advection-diffusion-reaction elliptic equation with advection-dominated term. We assume that the uncertainty comes from the advection led and consider a stochas ...

Society for Industrial and Applied Mathematics2013

Approximate solution of the probability density function of bedload transport rate over multiple time scales.

Christophe Ancey, Joris Heyman, François Mettra, Hongbo Ma

Bedload transport rate in mountain rivers is highly fluctuating and has strong stochastic behavior even under steady flow conditions. Its stochastic description thus offers deeper insights into its dynamics than the deterministic one. As a random quantity, ...

2013

Exploiting the color of Brownian motion for high-frequency microrheology of Newtonian fluids

László Forró, Flavio Maurizio Mor, Sylvia Jeney

Einstein's stochastic description of the random movement of small objects in a fluid, i.e. Brownian motion, reveals to be quite different, when observed on short timescales. The limitations of Einstein's theory with respect to particle inertia and hydrodyn ...

Spie-Int Soc Optical Engineering2013

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