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

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Gaussian upper density estimates for spatially homogeneous SPDEs

We consider a general class of SPDEs in mathbb{R}^d driven by a Gaussian spatially homogeneous noise which is white in time. We provide sufficient conditions on the coefficients and the spectral measure associated to the noise ensuring that the density of ...

2012

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

Efficient Solution of Ordinary Differential Equations with High-Dimensional Parametrized Uncertainty

Jan Sickmann Hesthaven, Zhen Gao

The important task of evaluating the impact of random parameters on the output of stochastic ordinary differential equations (SODE) can be computationally very demanding, in particular for problems with a high-dimensional parameter space. In this work we c ...

GLOBAL SCIENCE PRESS2011

Propagation Models for Biochemical Reaction Networks

Maria-Emanuela-Canini Mateescu

In this thesis we investigate different ways of approximating the solution of the chemical master equation (CME). The CME is a system of differential equations that models the stochastic transient behaviour of biochemical reaction networks. It does so by d ...

EPFL2011

Jump-diffusions in Hilbert spaces: existence, stability and numerics

Damir Filipovic

By means of an original approach, called 'method of the moving frame', we establish existence, uniqueness and stability results for mild and weak solutions of stochastic partial differential equations (SPDEs) with path-dependent coefficients driven by an i ...

2010

Numerical Integration of SDEs: A Short Tutorial

Thomas Schaffter

Introduction to numerical methods to simulate systems of stochastic differential equations (SDEs) both in Ito and Stratonovich scheme. ...

2010

Colored-Noise Thermostats à la Carte

Michele Ceriotti, Michele Parrinello

Recently, we have shown how a colored-noise Langevin equation can be used in the context of molecular dynamics as a tool to obtain dynamical trajectories whose properties are tailored to display desired sampling features. In the present paper, after having ...

2010

Rapid Fourier space solution of linear partial differential equations in toroidal magnetic confinement geometries

Laurent Villard, Trach-Minh Tran, Alberto Bottino, Sébastien Jolliet, Ben McMillan, Paolo Angelino

Fluctuating quantities in magnetic confinement geometries often inherit a strong anisotropy along the field lines. One technique for describing these structures is the use of a certain set of Fourier components on the tori of nested flux surfaces. We descr ...

Elsevier2009

The non-linear stochastic wave equation in high dimensions

Daniel Conus

The main topic of this thesis is the study of the non-linear stochastic wave equation in spatial dimension greater than 3 driven by spatially homogeneous Gaussian noise that is white in time. We are interested in questions of existence and uniqueness of so ...

EPFL2008

The stochastic wave equation

Robert Dalang

These notes give an overview of recent results concerning the non-linear stochastic wave equation in spatial dimensions d >= 1, in the case where the driving noise is Gaussian, spatially homogeneous and white in time. We mainly address issues of existence, ...

Springer Verlag2008