Asymptotic symmetry and asymptotic solutions to Ito stochastic differential equations
Publications associées (32)
Graph Chatbot
Chattez avec Graph Search
Posez n’importe quelle question sur les cours, conférences, exercices, recherches, actualités, etc. de l’EPFL ou essayez les exemples de questions ci-dessous.
AVERTISSEMENT : Le chatbot Graph n'est pas programmé pour fournir des réponses explicites ou catégoriques à vos questions. Il transforme plutôt vos questions en demandes API qui sont distribuées aux différents services informatiques officiellement administrés par l'EPFL. Son but est uniquement de collecter et de recommander des références pertinentes à des contenus que vous pouvez explorer pour vous aider à répondre à vos questions.
We consider the problem of nonparametric estimation of the drift and diffusion coefficients of a Stochastic Differential Equation (SDE), based on n independent replicates {Xi(t) : t is an element of [0 , 1]}13 d B(t), where alpha is an element of {0 , 1} a ...
We present a combination technique based on mixed differences of both spatial approximations and quadrature formulae for the stochastic variables to solve efficiently a class of optimal control problems (OCPs) constrained by random partial differential equ ...
We investigate the regularizing effect of certain additive continuous perturbations on SDEs with multiplicative fractional Brownian motion (fBm). Traditionally, a Lipschitz requirement on the drift and diffusion coefficients is imposed to ensure existence ...
We present a combination technique based on mixed differences of both spatial approximations and quadrature formulae for the stochastic variables to solve efficiently a class of Optimal Control Problems (OCPs) constrained by random partial differential equ ...
We prove small data modified scattering for the Vlasov-Poisson system in dimension d=3 using a method inspired from dispersive analysis. In particular, we identify a simple asymptotic dynamic related to the scattering mass. ...
Pickands constants play a crucial role in the asymptotic theory of Gaussian processes. They are commonly defined as the limits of a sequence of expectations involving fractional Brownian motions and, as such, their exact value is often unknown. Recently, D ...
Although our work lies in the field of random processes, this thesis was originally motivated by signal processing applications, mainly the stochastic modeling of sparse signals. We develop a mathematical study of the innovation model, under which a signal ...
We study various aspects of stochastic partial differential equations driven by Lévy white noise. This driving noise, which is a generalization of Gaussian white noise, can be viewed either as a generalized random process or as an independently scattered r ...
Inertial sensors are increasingly being employed in different types of applications. The reduced cost and the extremely small size makes them the number-one-choice in miniature embedded devices like phones, watches, and small unmanned aerial vehicles. The ...
We analyze (stochastic) gradient descent (SGD) with delayed updates on smooth quasi-convex and non-convex functions and derive concise, non-asymptotic, convergence rates. We show that the rate of convergence in all cases consists of two terms: (i) a stocha ...