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Optimal Portfolio and Consumption in a Switching Diffusion MarketOptimal Portfolio and Consumption in a Switching Diffusion Market
(Sociedade Brasileira de Econometria, 2004)
A Heat Flow Approach To The Godbillon-vey Class
(Univ Washington , Dept MathematicsSeattle, 2017)
Global asymptotic stability of solutions of cubic stochastic difference equations
(2004-07-12)
Global almost sure asymptotic stability of solutions of some nonlinear stochastic difference equations with cubic-type main part in their drift and diffusive part driven by square-integrable martingale differences is proven ...
A trajectorial interpretation of the dissipations of entropy and Fisher information for stochastic differential equations
(Institute of Mathematical Statidtics, 2016)
The dissipation of general convex entropies for continuous time Markov processes can be
described in terms of backward martingales with respect to the tail filtration. The relative
entropy is the expected value of a ...
Stochastic approach to diffusion inside the chaotic layer of a resonance
(American Physical Society, 2014-01)
We model chaotic diffusion in a symplectic four-dimensional (4D) map by using the result of a theorem that was developed for stochastically perturbed integrable Hamiltonian systems. We explicitly consider a map defined by ...
The quasi-deterministic limit of population dynamics
(Centre for Environment & Socio-Economic Research, 2012-02)
We discuss and compare different, but related, approximations to the stochastic dynamics of populations, all of them having as limit the same deterministic dynamics. The diffusion approximation,linearized diffusion ...
A stochastic spatially structured epidemic model with diffusive processes
(Águas de Lindóia, 2014-01-28)
We developed a stochastic lattice model to describe the vector-borne disease (like yellow fever or dengue). The model is spatially structured and its dynamical rules take into account the diffusion of vectors. We consider ...
Nonlocal growth processes and conformal invariance
(IOP PUBLISHING LTDBRISTOL, 2012)
Up to now the raise-and-peel model was the single known example of a one-dimensional stochastic process where one can observe conformal invariance. The model has one parameter. Depending on its value one has a gapped phase, ...