排序方式: 共有25条查询结果,搜索用时 15 毫秒
21.
In this note, a diffusion approximation result is shown for stochastic differential equations driven by a (Liouville) fractional Brownian motion B with Hurst parameter H∈(1/3,1/2). More precisely, we resort to the Kac–Stroock type approximation using a Poisson process studied in Bardina et al. (2003) [4] and Delgado and Jolis (2000) [9], and our method of proof relies on the algebraic integration theory introduced by Gubinelli in Gubinelli (2004) [14]. 相似文献
22.
We consider the family {X
, 0} of solution to the heat equation on [0,T]×[0,1] perturbed by a small space-time white noise, that is
t
X
=
X
+b({X
})+({X
})
. Then, for a large class of Borelian subsets of the continuous functions on [0,T]×[0,1], we get an asymptotic expansion of P({X
}A) as 0. This kind of expansion has been handled for several stochastic systems, ranging from Wiener integrals to diffusion processes. 相似文献
23.
Xavier Bardina David Márquez-Carreras Carles Rovira Samy Tindel 《Potential Analysis》2004,21(4):311-362
This paper is devoted to a detailed study of a p-spins interaction model with external field, including some sharp bounds on the speed of self averaging of the overlap as well as a central limit theorem for its fluctuations, the thermodynamical limit for the free energy and the definition of an Almeida–Thouless type line. Those results show that the external field dominates the tendency to disorder induced by the increasing level of interaction between spins, and our system will share many of its features with the SK model, which is certainly not the case when the external magnetic field vanishes. 相似文献
24.
In this note we prove a result of existence and uniqueness of solutions for a certain class of hyperbolic stochastic differential equations with additive white noise and nondecreasing coefficient. We then show the convergence of Euler's approximation scheme for this equation. 相似文献
25.
In a previous paper, we studied the ergodic properties of an Euler scheme of a stochastic differential equation with a Gaussian additive noise in order to approximate the stationary regime of such an equation. We now consider the case of multiplicative noise when the Gaussian process is a fractional Brownian motion with Hurst parameter H>1/2 and obtain some (functional) convergence properties of some empirical measures of the Euler scheme to the stationary solutions of such SDEs. 相似文献