Literatura científica selecionada sobre o tema "Ergodic Diffusion Processe"
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Artigos de revistas sobre o assunto "Ergodic Diffusion Processe"
Corradi, Valentina. "Comovements Between Diffusion Processes". Econometric Theory 13, n.º 5 (outubro de 1997): 646–66. http://dx.doi.org/10.1017/s0266466600006113.
Texto completo da fonteKamarianakis, Yiannis. "Ergodic control of diffusion processes". Journal of Applied Statistics 40, n.º 4 (abril de 2013): 921–22. http://dx.doi.org/10.1080/02664763.2012.750440.
Texto completo da fonteWong, Bernard. "On Modelling Long Term Stock Returns with Ergodic Diffusion Processes: Arbitrage and Arbitrage-Free Specifications". Journal of Applied Mathematics and Stochastic Analysis 2009 (23 de setembro de 2009): 1–16. http://dx.doi.org/10.1155/2009/215817.
Texto completo da fonteSwishchuk, Anatoliy, e M. Shafiqul Islam. "Diffusion Approximations of the Geometric Markov Renewal Processes and Option Price Formulas". International Journal of Stochastic Analysis 2010 (19 de dezembro de 2010): 1–21. http://dx.doi.org/10.1155/2010/347105.
Texto completo da fonteKutoyants, Yury A., e Nakahiro Yoshida. "Moment estimation for ergodic diffusion processes". Bernoulli 13, n.º 4 (novembro de 2007): 933–51. http://dx.doi.org/10.3150/07-bej1040.
Texto completo da fonteKiessler, Peter C. "Statistical Inference for Ergodic Diffusion Processes". Journal of the American Statistical Association 101, n.º 474 (1 de junho de 2006): 846. http://dx.doi.org/10.1198/jasa.2006.s98.
Texto completo da fonteChen, Mu Fa. "Ergodic theorems for reaction-diffusion processes". Journal of Statistical Physics 58, n.º 5-6 (março de 1990): 939–66. http://dx.doi.org/10.1007/bf01026558.
Texto completo da fonteMagdziarz, Marcin, e Aleksander Weron. "Ergodic properties of anomalous diffusion processes". Annals of Physics 326, n.º 9 (setembro de 2011): 2431–43. http://dx.doi.org/10.1016/j.aop.2011.04.015.
Texto completo da fonteBel, Golan, e Ilya Nemenman. "Ergodic and non-ergodic anomalous diffusion in coupled stochastic processes". New Journal of Physics 11, n.º 8 (12 de agosto de 2009): 083009. http://dx.doi.org/10.1088/1367-2630/11/8/083009.
Texto completo da fonteDi Masp, G. B., e Ł. Stettner. "Bayesian ergodic adaptive control of diffusion processes". Stochastics and Stochastic Reports 60, n.º 3-4 (abril de 1997): 155–83. http://dx.doi.org/10.1080/17442509708834104.
Texto completo da fonteTeses / dissertações sobre o assunto "Ergodic Diffusion Processe"
Wasielak, Aramian. "Various Limiting Criteria for Multidimensional Diffusion Processes". Diss., The University of Arizona, 2009. http://hdl.handle.net/10150/195115.
Texto completo da fonteMaillet, Raphaël. "Analyse statistique et probabiliste de systèmes diffusifs en présence de bruit". Electronic Thesis or Diss., Université Paris sciences et lettres, 2024. http://www.theses.fr/2024UPSLD025.
Texto completo da fonteThis thesis deals with the long-time behavior of stochastic Fokker-Planck equations with additive common noise and presents statistical methods for estimating the invariant measure of multidimensional ergodic diffusion processes from noisy data. In the first part, we analyze stochastic Fokker-Planck Partial Differential Equations (SPDEs), obtained as the mean-field limit of interacting particle systems influenced by both idiosyncratic and common Brownian noises. We establish conditions under which the addition of common noise restores uniqueness if the invariant measure. The main challenge arises from the finite-dimensional nature of the common noise, while the state variable — interpreted as the conditional marginal law of the system given the common noise — operates within an infinite-dimensional space. We demonstrate that uniqueness is restored if the mean field interaction term attracts the system towards its conditional mean given the common noise, particularly when the intensity of the idiosyncratic noise is small. In the second part, we develop a new statistical methodology using kernel density estimation to effectively approximate the invariant measure from noisy observations, highlighting the crucial role of the underlying Markov structure in the denoising process. This method involves a pre-averaging technique that proficiently reduces the intensity of the noise while maintaining the analytical characteristics and asymptotic properties of the underlying signal. We investigate the convergence rate of our estimator, which depends on the anisotropic regularity of the density and the intensity of the noise. We establish noise intensity conditions that allow for convergence rates comparable to those in noise-free environments. Additionally, we demonstrate a Bernstein concentration inequality for our estimator, leading to an adaptive procedure for selecting the kernel bandwidth
Aeckerle-Willems, Cathrine [Verfasser], e Claudia [Akademischer Betreuer] Strauch. "Nonparametric statistics for scalar ergodic diffusion processes / Cathrine Aeckerle-Willems ; Betreuer: Claudia Strauch". Mannheim : Universitätsbibliothek Mannheim, 2019. http://d-nb.info/1202012035/34.
Texto completo da fonteSera, Toru. "Functional limit theorem for occupation time processes of intermittent maps". Kyoto University, 2020. http://hdl.handle.net/2433/259719.
Texto completo da fonteMélykúti, Bence. "Theoretical advances in the modelling and interrogation of biochemical reaction systems : alternative formulations of the chemical Langevin equation and optimal experiment design for model discrimination". Thesis, University of Oxford, 2010. http://ora.ox.ac.uk/objects/uuid:d368c04c-b611-41b2-8866-cde16b283b0d.
Texto completo da fonteKadlec, Karel. "Optimální řízení stochastických rovnic s Lévyho procesy v Hilbertových proctorech". Doctoral thesis, 2020. http://www.nusl.cz/ntk/nusl-437018.
Texto completo da fonteLivros sobre o assunto "Ergodic Diffusion Processe"
S, Borkar Vivek, e Ghosh Mrinal K. 1956-, eds. Ergodic control of diffusion processes. Cambridge: Cambridge University Press, 2011.
Encontre o texto completo da fonteKutoyants, Yury A. Statistical Inference for Ergodic Diffusion Processes. London: Springer London, 2004. http://dx.doi.org/10.1007/978-1-4471-3866-2.
Texto completo da fonteHerrmann, Samuel. Stochastic resonance: A mathematical approach in the small noise limit. Providence, Rhode Island: American Mathematical Society, 2014.
Encontre o texto completo da fonteBorkar, Vivek S., Ari Arapostathis e Mrinal K. Ghosh. Ergodic Control of Diffusion Processes. Cambridge University Press, 2011.
Encontre o texto completo da fonteBorkar, Vivek S., Ari Arapostathis e Mrinal K. Ghosh. Ergodic Control of Diffusion Processes. Cambridge University Press, 2011.
Encontre o texto completo da fonteBorkar, Vivek S., Ari Arapostathis e Mrinal K. Ghosh. Ergodic Control of Diffusion Processes. Cambridge University Press, 2013.
Encontre o texto completo da fonteBorkar, Vivek S., Ari Arapostathis e Mrinal K. Ghosh. Ergodic Control of Diffusion Processes. Cambridge University Press, 2011.
Encontre o texto completo da fonteKutoyants, Yury A. Statistical Inference for Ergodic Diffusion Processes. Springer London, Limited, 2013.
Encontre o texto completo da fonteStatistical Inference for Ergodic Diffusion Processes. Springer, 2003.
Encontre o texto completo da fonteKutoyants, Yury A. Statistical Inference for Ergodic Diffusion Proces. Springer London, 2010.
Encontre o texto completo da fonteCapítulos de livros sobre o assunto "Ergodic Diffusion Processe"
Kutoyants, Yury A. "Diffusion Processes and Statistical Problems". In Statistical Inference for Ergodic Diffusion Processes, 17–110. London: Springer London, 2004. http://dx.doi.org/10.1007/978-1-4471-3866-2_2.
Texto completo da fonteKutoyants, Yury A. "Introduction". In Statistical Inference for Ergodic Diffusion Processes, 1–16. London: Springer London, 2004. http://dx.doi.org/10.1007/978-1-4471-3866-2_1.
Texto completo da fonteKutoyants, Yury A. "Parameter Estimation". In Statistical Inference for Ergodic Diffusion Processes, 111–226. London: Springer London, 2004. http://dx.doi.org/10.1007/978-1-4471-3866-2_3.
Texto completo da fonteKutoyants, Yury A. "Special Models". In Statistical Inference for Ergodic Diffusion Processes, 227–307. London: Springer London, 2004. http://dx.doi.org/10.1007/978-1-4471-3866-2_4.
Texto completo da fonteKutoyants, Yury A. "Nonparametric Estimation". In Statistical Inference for Ergodic Diffusion Processes, 309–419. London: Springer London, 2004. http://dx.doi.org/10.1007/978-1-4471-3866-2_5.
Texto completo da fonteKutoyants, Yury A. "Hypotheses Testing". In Statistical Inference for Ergodic Diffusion Processes, 421–60. London: Springer London, 2004. http://dx.doi.org/10.1007/978-1-4471-3866-2_6.
Texto completo da fonteArnold, Ludwig, e Hans Crauel. "Iterated Function Systems and Multiplicative Ergodic Theory". In Diffusion Processes and Related Problems in Analysis, Volume II, 283–305. Boston, MA: Birkhäuser Boston, 1992. http://dx.doi.org/10.1007/978-1-4612-0389-6_13.
Texto completo da fonteKutoyants, Yury A., e Li Zhou. "Asymptotically Parameter-Free Tests for Ergodic Diffusion Processes". In Statistical Models and Methods for Reliability and Survival Analysis, 161–75. Hoboken, USA: John Wiley & Sons, Inc., 2014. http://dx.doi.org/10.1002/9781118826805.ch11.
Texto completo da fonteColonius, Fritz, e Wolfgang Kliemann. "Remarks on Ergodic Theory of Stochastic Flows and Control Flows". In Diffusion Processes and Related Problems in Analysis, Volume II, 203–39. Boston, MA: Birkhäuser Boston, 1992. http://dx.doi.org/10.1007/978-1-4612-0389-6_9.
Texto completo da fonteKutoyants, Yu A. "On Parameter Estimation by Contaminated Observations of Ergodic Diffusion Processes". In Statistics for Industry and Technology, 461–72. Boston, MA: Birkhäuser Boston, 2004. http://dx.doi.org/10.1007/978-0-8176-8206-4_28.
Texto completo da fonteTrabalhos de conferências sobre o assunto "Ergodic Diffusion Processe"
Piera, Francisco J., e Ravi R. Mazumdar. "An ergodic result for queue length processes of state-dependent queueing networks in the heavy-traffic diffusion limit". In 2008 46th Annual Allerton Conference on Communication, Control, and Computing. IEEE, 2008. http://dx.doi.org/10.1109/allerton.2008.4797600.
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