Littérature scientifique sur le sujet « Mean-field stochastic differential equations (SDE) »
Créez une référence correcte selon les styles APA, MLA, Chicago, Harvard et plusieurs autres
Consultez les listes thématiques d’articles de revues, de livres, de thèses, de rapports de conférences et d’autres sources académiques sur le sujet « Mean-field stochastic differential equations (SDE) ».
À côté de chaque source dans la liste de références il y a un bouton « Ajouter à la bibliographie ». Cliquez sur ce bouton, et nous générerons automatiquement la référence bibliographique pour la source choisie selon votre style de citation préféré : APA, MLA, Harvard, Vancouver, Chicago, etc.
Vous pouvez aussi télécharger le texte intégral de la publication scolaire au format pdf et consulter son résumé en ligne lorsque ces informations sont inclues dans les métadonnées.
Articles de revues sur le sujet "Mean-field stochastic differential equations (SDE)"
1
Briand, Phillippe, Abir Ghannoum et Céline Labart. « Mean reflected stochastic differential equations with jumps ». Advances in Applied Probability 52, no 2 (juin 2020) : 523–62. http://dx.doi.org/10.1017/apr.2020.11.
Texte intégralRésumé :
AbstractIn this paper, a reflected stochastic differential equation (SDE) with jumps is studied for the case where the constraint acts on the law of the solution rather than on its paths. These reflected SDEs have been approximated by Briand et al. (2016) using a numerical scheme based on particles systems, when no jumps occur. The main contribution of this paper is to prove the existence and the uniqueness of the solutions to this kind of reflected SDE with jumps and to generalize the results obtained by Briand et al. (2016) to this context.
2
Sun, Yabing, Jie Yang et Weidong Zhao. « Itô-Taylor Schemes for Solving Mean-Field Stochastic Differential Equations ». Numerical Mathematics : Theory, Methods and Applications 10, no 4 (12 septembre 2017) : 798–828. http://dx.doi.org/10.4208/nmtma.2017.0007.
Texte intégralRésumé :
AbstractThis paper is devoted to numerical methods for mean-field stochastic differential equations (MSDEs). We first develop the mean-field Itô formula and mean-field Itô-Taylor expansion. Then based on the new formula and expansion, we propose the Itô-Taylor schemes of strong order γ and weak order η for MSDEs, and theoretically obtain the convergence rate γ of the strong Itô-Taylor scheme, which can be seen as an extension of the well-known fundamental strong convergence theorem to the mean-field SDE setting. Finally some numerical examples are given to verify our theoretical results.
3
Wang, Tianxiao. « On closed-loop equilibrium strategies for mean-field stochastic linear quadratic problems ». ESAIM : Control, Optimisation and Calculus of Variations 26 (2020) : 41. http://dx.doi.org/10.1051/cocv/2019057.
Texte intégralRésumé :
This article is concerned with linear quadratic optimal control problems of mean-field stochastic differential equations (MF-SDE) with deterministic coefficients. To treat the time inconsistency of the optimal control problems, linear closed-loop equilibrium strategies are introduced and characterized by variational approach. Our developed methodology drops the delicate convergence procedures in Yong [Trans. Amer. Math. Soc. 369 (2017) 5467–5523]. When the MF-SDE reduces to SDE, our Riccati system coincides with the analogue in Yong [Trans. Amer. Math. Soc. 369 (2017) 5467–5523]. However, these two systems are in general different from each other due to the conditional mean-field terms in the MF-SDE. Eventually, the comparisons with pre-committed optimal strategies, open-loop equilibrium strategies are given in details.
4
Kubilius, Kęstutis, et Aidas Medžiūnas. « A Class of Fractional Stochastic Differential Equations with a Soft Wall ». Fractal and Fractional 7, no 2 (21 janvier 2023) : 110. http://dx.doi.org/10.3390/fractalfract7020110.
Texte intégralRésumé :
In this paper we are interested in fractional stochactic differential equations (SDEs) with a soft wall. What do we mean by such a type of equation? It has been established that SDE with reflection can be imagined as equations having a hard wall. Now, by introducing repulsion instead of reflection, one obtains an SDE with a soft wall. In contrast to the SDE with reflection, where the process cannot pass the hard wall, the soft wall is repulsive but not impenetrable. As the process crosses the soft wall boundary, it experiences the force of a chosen magnitude in the opposite direction. When the process is far from the wall, the force acts weakly. We find conditions under which SDE with a soft wall has a unique solution and construct an implicit Euler approximation with a rate of convergence for this equation. Using the example of the fractional Vasicek process with soft walls, we illustrate the dependence of the behaviour of the solution on the repulsion force.
5
Ferreiro-Castilla, A., A. E. Kyprianou et R. Scheichl. « An Euler–Poisson scheme for Lévy driven stochastic differential equations ». Journal of Applied Probability 53, no 1 (mars 2016) : 262–78. http://dx.doi.org/10.1017/jpr.2015.23.
Texte intégralRésumé :
Abstract We describe an Euler scheme to approximate solutions of Lévy driven stochastic differential equations (SDEs) where the grid points are given by the arrival times of a Poisson process and thus are random. This result extends the previous work of Ferreiro-Castilla et al. (2014). We provide a complete numerical analysis of the algorithm to approximate the terminal value of the SDE and prove that the mean-square error converges with rate O(n-1/2). The only requirement of the methodology is to have exact samples from the resolvent of the Lévy process driving the SDE. Classical examples, such as stable processes, subclasses of spectrally one-sided Lévy processes, and new families, such as meromorphic Lévy processes (Kuznetsov et al. (2012), are examples for which our algorithm provides an interesting alternative to existing methods, due to its straightforward implementation and its robustness with respect to the jump structure of the driving Lévy process.
6
Wang, Yongguang, et Shuzhen Yao. « Neural Stochastic Differential Equations with Neural Processes Family Members for Uncertainty Estimation in Deep Learning ». Sensors 21, no 11 (26 mai 2021) : 3708. http://dx.doi.org/10.3390/s21113708.
Texte intégralRésumé :
Existing neural stochastic differential equation models, such as SDE-Net, can quantify the uncertainties of deep neural networks (DNNs) from a dynamical system perspective. SDE-Net is either dominated by its drift net with in-distribution (ID) data to achieve good predictive accuracy, or dominated by its diffusion net with out-of-distribution (OOD) data to generate high diffusion for characterizing model uncertainty. However, it does not consider the general situation in a wider field, such as ID data with noise or high missing rates in practice. In order to effectively deal with noisy ID data for credible uncertainty estimation, we propose a vNPs-SDE model, which firstly applies variants of neural processes (NPs) to deal with the noisy ID data, following which the completed ID data can be processed more effectively by SDE-Net. Experimental results show that the proposed vNPs-SDE model can be implemented with convolutional conditional neural processes (ConvCNPs), which have the property of translation equivariance, and can effectively handle the ID data with missing rates for one-dimensional (1D) regression and two-dimensional (2D) image classification tasks. Alternatively, vNPs-SDE can be implemented with conditional neural processes (CNPs) or attentive neural processes (ANPs), which have the property of permutation invariance, and exceeds vanilla SDE-Net in multidimensional regression tasks.
7
Higham, Desmond J., Xuerong Mao et Andrew M. Stuart. « Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations ». LMS Journal of Computation and Mathematics 6 (2003) : 297–313. http://dx.doi.org/10.1112/s1461157000000462.
Texte intégralRésumé :
AbstractPositive results are proved here about the ability of numerical simulations to reproduce the exponential mean-square stability of stochastic differential equations (SDEs). The first set of results applies under finite-time convergence conditions on the numerical method. Under these conditions, the exponential mean-square stability of the SDE and that of the method (for sufficiently small step sizes) are shown to be equivalent, and the corresponding second-moment Lyapunov exponent bounds can be taken to be arbitrarily close. The required finite-time convergence conditions hold for the class of stochastic theta methods on globally Lipschitz problems. It is then shown that exponential mean-square stability for non-globally Lipschitz SDEs is not inherited, in general, by numerical methods. However, for a class of SDEs that satisfy a one-sided Lipschitz condition, positive results are obtained for two implicit methods. These results highlight the fact that for long-time simulation on nonlinear SDEs, the choice of numerical method can be crucial.
8
Kubilius, Kęstutis, et Aidas Medžiūnas. « Pathwise Convergent Approximation for the Fractional SDEs ». Mathematics 10, no 4 (21 février 2022) : 669. http://dx.doi.org/10.3390/math10040669.
Texte intégralRésumé :
Fractional stochastic differential equation (FSDE)-based random processes are used in a wide spectrum of scientific disciplines. However, in the majority of cases, explicit solutions for these FSDEs do not exist and approximation schemes have to be applied. In this paper, we study one-dimensional stochastic differential equations (SDEs) driven by stochastic process with Hölder continuous paths of order 1/2<γ<1. Using the Lamperti transformation, we construct a backward approximation scheme for the transformed SDE. The inverse transformation provides an approximation scheme for the original SDE which converges at the rate h2γ, where h is a time step size of a uniform partition of the time interval under consideration. This approximation scheme covers wider class of FSDEs and demonstrates higher convergence rate than previous schemes by other authors in the field.
9
Rupšys, Petras. « Modeling Dynamics of Structural Components of Forest Stands Based on Trivariate Stochastic Differential Equation ». Forests 10, no 6 (14 juin 2019) : 506. http://dx.doi.org/10.3390/f10060506.
Texte intégralRésumé :
Research Highlights: Today’s approaches to modeling of forest stands are in most cases based on that the regression models and they are constructed as static sub-models describing individual stands variables. The disadvantages of this method; it is laborious because too many different equations need to be assessed and empirical choices of candidate equations make the results subjective; it does not relate to the stand variables dynamics against the age dimension (time); and does not consider the underlying covariance structure driving changes in the stand variables. In this study, the dynamical model defined by a fixed-and mixed effect parameters trivariate stochastic differential equation (SDE) is introduced and described how such a model can be used to model quadratic mean diameter, mean height, number of trees per hectare, self-thinning line, stand basal area, stand volume per hectare and much more. Background and Objectives: New developed marginal and conditional trivariate probability density functions, combining information generated from an age-dependent variance-covariance matrix of quadratic mean diameter, mean height and number of trees per hectare, improve stand growth prediction, and forecast (in forecast the future is completely unavailable and must only be estimated from historical patterns) accuracies. Materials and Methods: Fixed-and mixed effect parameters SDE models were harmonized to predict and forecast the dynamics of quadratic mean diameter, mean height, number of trees per hectare, basal area, stand volume per hectare, and their current and mean increments. The results and experience from applying the SDE concepts and techniques in an extensive whole stand growth and yield analysis are described using a Scots pine (Pinus sylvestris L.) experimental dataset in Lithuania. Results: The mixed effects scenario SDE model showed high accuracy, the percentage root mean square error values for quadratic mean diameter, mean height, number of trees per hectare, stand basal area and stand volume per hectare predictions (forecasts) were 3.37% (10.44%), 1.82% (2.07%), 1.76% (2.93%), 6.65% (10.41%) and 6.50% (8.93%), respectively. In the same way, the quadratic mean diameter, mean height, number of trees per hectare, stand basal area and stand volume per hectare prediction (forecast) relationships had high values of the coefficient of determination, R2, 0.998 (0.987), 0.997 (0.992), 0.997 (0.988), 0.968 (0.984) and 0.966 (0.980), respectively. Conclusions: The approach presented in this paper can be used for developing a new generation stand growth and yield models.
10
Jaworski, Piotr. « On Copula-Itô processes ». Dependence Modeling 7, no 1 (1 novembre 2019) : 322–47. http://dx.doi.org/10.1515/demo-2019-0017.
Texte intégralRésumé :
AbstractWe study the dynamics of the family of copulas {Ct}t≥0 of a pair of stochastic processes given by stochastic differential equations (SDE). We associate to it a parabolic partial differential equation (PDE). Having embedded the set of bivariate copulas in a dual of a Sobolev Hilbert space H1 (ℝ2)* we calculate the derivative with respect to t and the *weak topology i.e. the tangent vector field to the image of the curve t → Ct. Furthermore we show that the family {Ct}t≥0 is an orbit of a strongly continuous semigroup of transformations and provide the infinitesimal generator of this semigroup.
Thèses sur le sujet "Mean-field stochastic differential equations (SDE)"
1
Manai, Arij. « Some contributions to backward stochastic differential equations and applications ». Thesis, Le Mans, 2019. http://www.theses.fr/2019LEMA1022.
Texte intégralRésumé :
Cette thèse est consacrée à l'étude des équations différentielles stochastiques rétrogrades (EDSR) et leurs applications. Dans le chapitre 1, on étudie le problème de maximisation de l'utilité de la richesse terminale où le prix de l'actif peut être discontinue sous des contraintes sur les stratégies de l'agent. Nous nous concentrons sur l'EDSR dont la solution représente l'utilité maximale, ce qui permet de transférer des résultats sur les EDSR quadratiques, en particulier les résultats de stabilité, au problème de maximisation d'utilité. Dans le chapitre 2, nous considèrons le problème de valorisation d'options Américaines des points de vue théorique et numérique en s'appuyant sur la représentation du prix de l'option comme solution de viscosité d'une équation parabolique non linéaire. Nous étendons le résultat prouvé dans [Benth, Karlsen and Reikvam 2003] pour un put ou call Américain à un cas plus général dans un cadre multidimensionnel. Nous proposons deux schémas numériques inspirés par les processus de branchement. Nos expériences numériques montrent que l'approximation du générateur discontinu, associé à l'EDP, par des polynômes locaux n'est pas efficace tandis qu'une simple procédure de randomisation donne de très bon résultats. Dans le chapitre 3, nous prouvons des résultats d'existence et d'unicité pour une classe générale d'équations progressives-rétrogrades à champs moyen sous une condition de monotonicité faible et une hypothèse non-dégénérescence sur l'équation progressive et nous donnons une application dans le domaine de stockage d'énergie dans le cas où la production d'électricité est imprévisibleThis thesis is dedicated to the study of backward stochastic differential equations (BSDEs) and their applications. In chapter 1, we study the problem of maximizing the utility from terminal wealth where the stock price may jump and there are investment constraints on the agent 's strategies. We focus on the BSDE whose solution represents the maximal utility, which allows transferring results on quadratic BSDEs, in particular the stability results, to the problem of utility maximisation. In chapter 2, we consider the problem of pricing American options from theoretical and numerical sides based upon an alternative representation of the value of the option in the form of a viscosity solution of a parabolic equation with a nonlinear reaction term. We extend the viscosity solution characterization proved in [Benth, Karlsen and Reikvam 2003] for call/put American option prices to the case of a general payoff function in a multi-dimensional setting. We address two new numerical schemes inspired by the branching processes. Our numerical experiments show that approximating the discontinuous driver of the associated reaction/diffusion PDE by local polynomials is not efficient, while a simple randomization procedure provides very good results. In chapter 3, we prove existence and uniqueness results for a general class of coupled mean-field forward-backward SDEs with jumps under weak monotonicity conditions and without the non-degeneracy assumption on the forward equation and we give an application in the field of storage in smart grids in the case where the production of electricity is unpredictable
2
Salhi, Rym. « Contributions to quadratic backward stochastic differential equations with jumps and applications ». Thesis, Le Mans, 2019. http://www.theses.fr/2019LEMA1023.
Texte intégralRésumé :
Cette thèse porte sur l'étude des équations différentielles stochastiques rétrogrades (EDSR) avec sauts et leurs applications.Dans le chapitre 1, nous étudions une classe d'EDSR lorsque le bruit provient d'un mouvement Brownien et d'une mesure aléatoire de saut indépendante à activité infinie. Plus précisément, nous traitons le cas où le générateur est à croissance quadratique et la condition terminale est non bornée. L'existence et l'unicité de la solution sont prouvées en combinant à la fois la procédure d'approximation monotone et une approche progressive. Cette méthode permet de résoudre le cas où la condition terminale est non bornée.Le chapitre 2 est consacré aux EDSR avec sauts généralisées doublement réfléchies sous des hypothèses d’intégrabilités faibles. Plus précisément, on montre l'existence d'une solution pour un générateur à croissance quadratique stochastique et une condition terminale non bornée. Nous montrons également, dans un cadre approprié, la connexion entre notre classe d’équations différentielles stochastiques rétrogrades et les jeu à somme nuls.Dans le chapitre 3, nous considérons une classe générale d'EDSR progressive-rétrograde couplée avec sauts de type Mackean Vlasov sous une condition faible de monotonicité. Les résultats d'existence et d'unicité sont établis sous deux classes d'hypothèses en se basant sur des schémas de perturbations soit de l’équation différentielle stochastique progressive, soit de l’équation différentielle stochastique rétrograde. On conclut le chapitre par un problème de stockage optimal d’énergie dans un parc électrique de type champs moyenThis thesis focuses on backward stochastic differential equation with jumps and their applications. In the first chapter, we study a backward stochastic differential equation (BSDE for short) driven jointly by a Brownian motion and an integer valued random measure that may have infinite activity with compensator being possibly time inhomogeneous. In particular, we are concerned with the case where the driver has quadratic growth and unbounded terminal condition. The existence and uniqueness of the solution are proven by combining a monotone approximation technics and a forward approach. Chapter 2 is devoted to the well-posedness of generalized doubly reflected BSDEs (GDRBSDE for short) with jumps under weaker assumptions on the data. In particular, we study the existence of a solution for a one-dimensional GDRBSDE with jumps when the terminal condition is only measurable with respect to the related filtration and when the coefficient has general stochastic quadratic growth. We also show, in a suitable framework, the connection between our class of backward stochastic differential equations and risk sensitive zero-sum game. In chapter 3, we investigate a general class of fully coupled mean field forward-backward under weak monotonicity conditions without assuming any non-degeneracy assumption on the forward equation. We derive existence and uniqueness results under two different sets of conditions based on proximation schema weither on the forward or the backward equation. Later, we give an application for storage in smart grids
3
Mezerdi, Mohamed Amine. « Equations différentielles stochastiques de type McKean-Vlasov et leur contrôle optimal ». Electronic Thesis or Diss., Toulon, 2020. http://www.theses.fr/2020TOUL0014.
Texte intégralRésumé :
Nous considérons les équations différentielles stochastiques (EDS) de Mc Kean-Vlasov, qui sont des EDS dont les coefficients de dérive et de diffusion dépendent non seulement de l'état du processus inconnu, mais également de sa loi de probabilité. Ces EDS, également appelées EDS à champ moyen, ont d'abord été étudiées en physique statistique et représentent en quelque sorte le comportement moyen d'un nombre infini de particules. Récemment, ce type d'équations a suscité un regain d'intérêt dans le contexte de la théorie des jeux à champ moyen. Cette théorie a été inventée par P.L. Lions et J.M. Lasry en 2006, pour résoudre le problème de l'existence d'un équilibre de Nash approximatif pour les jeux différentiels, avec un grand nombre de joueurs. Ces équations ont trouvé des applications dans divers domaines tels que la théorie des jeux, la finance mathématique, les réseaux de communication et la gestion des ressources pétrolières. Dans cette thèse, nous avons étudié les questions de stabilité par rapport aux données initiales, aux coefficients et aux processus directeurs des équations de McKean-Vlasov. Les propriétés génériques de ce type d'équations stochastiques, telles que l'existence et l'unicité, la stabilité par rapport aux paramètres, ont été examinées. En théorie du contrôle, notre attention s'est portée sur l'existence et l'approximation de contrôles relaxés pour les systèmes gouvernés par des EDS de Mc Kean-VlasovWe consider Mc Kean-Vlasov stochastic differential equations (SDEs), which are SDEs where the drift and diffusion coefficients depend not only on the state of the unknown process but also on its probability distribution. These SDEs called also mean- field SDEs were first studied in statistical physics and represent in some sense the average behavior of an infinite number of particles. Recently there has been a renewed interest for this kind of equations in the context of mean-field game theory. Since the pioneering papers by P.L. Lions and J.M. Lasry, mean-field games and mean-field control theory has raised a lot of interest, motivated by applications to various fields such as game theory, mathematical finance, communications networks and management of oil resources. In this thesis, we studied questions of stability with respect to initial data, coefficients and driving processes of Mc Kean-Vlasov equations. Generic properties for this type of SDEs, such as existence and uniqueness, stability with respect to parameters, have been investigated. In control theory, our attention were focused on existence, approximation of relaxed controls for controlled Mc Kean-Vlasov SDEs
4
Mu, Tingshu. « Backward stochastic differential equations and applications : optimal switching, stochastic games, partial differential equations and mean-field ». Thesis, Le Mans, 2020. http://www.theses.fr/2020LEMA1023.
Texte intégralRésumé :
Cette thèse est relative aux Equations Différentielles Stochastique Rétrogrades (EDSRs) réfléchies avec deux obstacles et leurs applications aux jeux de switching de somme nulle, aux systèmes d’équations aux dérivées partielles, aux problèmes de mean-field. Il y a deux parties dans cette thèse. La première partie porte sur le switching optimal stochastique et est composée de deux travaux. Dans le premier travail, nous montrons l’existence de la solution d’un système d’EDSR réfléchies à obstacles bilatéraux interconnectés dans le cadre probabiliste général. Ce problème est lié à un jeu de switching de somme nulle. Ensuite nous abordons la question de l’unicité de la solution. Et enfin nous appliquons les résultats obtenus pour montrer que le système d’EDP associé à une unique solution au sens viscosité, sans la condition de monotonie habituelle. Dans le second travail, nous considérons aussi un système d’EDSRs réfléchies à obstacles bilatéraux interconnectés dans le cadre markovien. La différence avec le premier travail réside dans le fait que le switching ne s’opère pas de la même manière. Cette fois-ci quand le switching est opéré, le système est mis dans l’état suivant importe peu lequel des joueurs décide de switcher. Cette différence est fondamentale et complique singulièrement le problème de l’existence de la solution du système. Néanmoins, dans le cadre markovien nous montrons cette existence et donnons un résultat d’unicité en utilisant principalement la méthode de Perron. Ensuite, le lien avec un jeu de switching spécifique est établi dans deux cadres. Dans la seconde partie nous étudions les EDSR réfléchies unidimensionnelles à deux obstacles de type mean-field. Par la méthode du point fixe, nous montrons l’existence et l’unicité de la solution dans deux cadres, en fonction de l’intégrabilité des donnéesThis thesis is related to Doubly Reflected Backward Stochastic Differential Equations (DRBSDEs) with two obstacles and their applications in zero-sum stochastic switching games, systems of partial differential equations, mean-field problems.There are two parts in this thesis. The first part deals with optimal stochastic switching and is composed of two works. In the first work we prove the existence of the solution of a system of DRBSDEs with bilateral interconnected obstacles in a probabilistic framework. This problem is related to a zero-sum switching game. Then we tackle the problem of the uniqueness of the solution. Finally, we apply the obtained results and prove that, without the usual monotonicity condition, the associated PDE system has a unique solution in viscosity sense. In the second work, we also consider a system of DRBSDEs with bilateral interconnected obstacles in the markovian framework. The difference between this work and the first one lies in the fact that switching does not work in the same way. In this second framework, when switching is operated, the system is put in the following state regardless of which player decides to switch. This difference is fundamental and largely complicates the problem of the existence of the solution of the system. Nevertheless, in the Markovian framework we show this existence and give a uniqueness result by the Perron’s method. Later on, two particular switching games are analyzed.In the second part we study a one-dimensional Reflected BSDE with two obstacles of mean-field type. By the fixed point method, we show the existence and uniqueness of the solution in connection with the integrality of the data
5
Bauer, Martin [Verfasser], et Thilo [Akademischer Betreuer] Meyer-Brandis. « Mean-field stochastic differential equations with irregular coefficients : solutions and regularity properties / Martin Bauer ; Betreuer : Thilo Meyer-Brandis ». München : Universitätsbibliothek der Ludwig-Maximilians-Universität, 2020. http://d-nb.info/1215499787/34.
Texte intégralLivres sur le sujet "Mean-field stochastic differential equations (SDE)"
1
Algebraic And Geometric Aspects Of Integrable Systems And Random Matrices Ams Special Session Algebraic And Geometric Aspects Of Integrable Systems And Random Matrices January 67 2012 Boston Ma. American Mathematical Society, 2013.
Trouver le texte intégralChapitres de livres sur le sujet "Mean-field stochastic differential equations (SDE)"
1
Field, Timothy R. « Dynamics of K-Scattering ». Dans Electromagnetic Scattering from Random Media, 52–68. Oxford University PressOxford, 2008. http://dx.doi.org/10.1093/oso/9780198570776.003.0010.
Texte intégralRésumé :
Abstract We derive the stochastic dynamics of the complex-valued amplitude resulting from coherent scattering from a random population of scatterers when this becomes asymptotically large. Considerations of a random walk model, introduced by Jakeman, are used to derive stochastic differential equations (SDEs) for the amplitude and corresponding intensity and phase stochastic processes. An analysis of the correlation structure in the fluctuations is provided and interpreted geometrically in terms of the gauge invariant properties of the field and the Markov property. A Fokker–Planck description for the evolution of the probability density is given and the equilibrium and detailed balance conditions are shown to hold. Expressions for the intensity autocorrelation function and power spectral density are provided in closed form. The practical implications of the stochastic theory are discussed.
2
Pérez-Mercade, Juan. « Coarse-Graining, Scaling, and Hierarchies ». Dans Nonextensive Entropy. Oxford University Press, 2004. http://dx.doi.org/10.1093/oso/9780195159769.003.0026.
Texte intégralRésumé :
We present a scenario that is useful for describing hierarchies within classes of many-component systems. Although this scenario may be quite general, it will be illustrated in the case of many-body systems whose space-time evolution can be described by a class of stochastic parabolic nonlinear partial differential equations. The stochastic component we will consider is in the form of additive noise, but other forms of noise such as multiplicative noise may also be incorporated. It will turn out that hierarchical behavior is only one of a class of asymptotic behaviors that can emerge when an out-of-equilibrium system is coarse grained. This phenomenology can be analyzed and described using the renormalization group (RG) [6, 15]. It corresponds to the existence of complex fixed points for the parameters characterizing the system. As is well known (see, for example, Hochberg and Perez-Mercader [8] and Onuki [12] and the references cited there), parameters such as viscosities, noise couplings, and masses evolve with scale. In other words, their values depend on the scale of resolution at which the system is observed (examined). These scaledependent parameters are called effective parameters. The evolutionary changes due to coarse graining or, equivalently, changes in system size, are analyzed using the RG and translate into differential equations for the probability distribution function [8] of the many-body system, or the n-point correlation functions and the effective parameters. Under certain conditions and for systems away from equilibrium, some of the fixed points of the equations describing the scale dependence of the effective parameters can be complex; this translates into complex anomalous dimensions for the stochastic fields and, therefore, the correlation functions of the field develop a complex piece. We will see that basic requirements such as reality of probabilities and maximal correlation lead, in the case of complex fixed points, to hierarchical behavior. This is a first step for the generalization of extensive behavior as described by real power laws to the case of complex exponents and the study of hierarchical behavior.
Actes de conférences sur le sujet "Mean-field stochastic differential equations (SDE)"
1
Li, Li, et Han Yuqiao. « Mean-field backward stochastic differential equations with discontinuous coefficients ». Dans 2013 25th Chinese Control and Decision Conference (CCDC). IEEE, 2013. http://dx.doi.org/10.1109/ccdc.2013.6561843.
Texte intégral
2
Yan, Hao, et Nana Zhao. « Mean-field Backward Stochastic Differential Equations with Quadratic Growth ». Dans 2019 Chinese Control Conference (CCC). IEEE, 2019. http://dx.doi.org/10.23919/chicc.2019.8866613.
Texte intégral
3
Hancheng, Guo, et Ren Xiuyun. « Mean-field backward stochastic differential equations with uniformly continuous generators ». Dans 2014 26th Chinese Control And Decision Conference (CCDC). IEEE, 2014. http://dx.doi.org/10.1109/ccdc.2014.6852152.
Texte intégral
4
Wang, Jinghan, Nana Zhao et Yufeng Shi. « General mean-field backward stochastic differential equations with discontinuous coefficients ». Dans 2022 41st Chinese Control Conference (CCC). IEEE, 2022. http://dx.doi.org/10.23919/ccc55666.2022.9902278.
Texte intégral
5
Min, Hui, et Chunzhen Wei. « Reflected mean-field backward stochastic differential equations with time delayed generators ». Dans 2021 33rd Chinese Control and Decision Conference (CCDC). IEEE, 2021. http://dx.doi.org/10.1109/ccdc52312.2021.9601997.
Texte intégral
6
Shanshan, Zuo, et Min Hui. « Optimal control problems of mean-field forward-backward stochastic differential equations with partial information ». Dans 2013 25th Chinese Control and Decision Conference (CCDC). IEEE, 2013. http://dx.doi.org/10.1109/ccdc.2013.6561841.
Texte intégral
7
Safari, Mehdi. « Local Entropy Generation in Large Eddy Simulation of Turbulent Reacting Flows ». Dans ASME 2017 International Mechanical Engineering Congress and Exposition. American Society of Mechanical Engineers, 2017. http://dx.doi.org/10.1115/imece2017-71525.
Texte intégralRésumé :
Analysis of local entropy generation is an effective means to investigate sources of efficiency loss in turbulent combustion from the standpoint of the second law of thermodynamics. A methodology, termed the entropy filtered density function (En-FDF), is developed for large eddy simulation (LES) of turbulent reacting flows to include the transport of entropy, which embodies the complete statistical information about entropy variations within the subgrid scale. The modeled En-FDF contains a stochastic differential equation (SDE) for entropy which is solved by a Lagrangian Monte Carlo method. In this study, a numerical study has been done on effectiveness of SDE to model entropy variation using a partially stirred reactor (PaSR). This provides a computationally affordable case to compare different effects of entropy generation source terms and fine tune mixing coefficients. In this equation, turbulent mixing is modeled with Interaction by Exchange with the Mean (IEM). Combustion source terms are provided by direct integration of a GRI3.0 mechanism for methane/air system. Evolution of entropy was calculated from stochastic model and then compared with the one obtained directly by integrating the chemical mechanism. It was shown that results of both calculations have very good agreement versus different mixture fractions.