اشترك بالحزمة الذهبية واحصل على وصول غير محدود شمرا أكاديميا
تسجيل مستخدم جديدReduction and reconstruction of SDEs via Girsanov and quasi Doob symmetries
59
0
0.0
(
0
)
اسأل ChatGPT حول البحث
ﻻ يوجد ملخص باللغة العربية
A reduction procedure for stochastic differential equations based on stochastic symmetries including Girsanov random transformations is proposed. In this setting, a new notion of reconstruction is given, involving the expectation values of functionals of solution to the SDE and a reconstruction theorem for general stochastic symmetries is proved. Moreover, the notable case of reduction under the closed subclass of quasi Doob transformations is presented. The theoretical results are applied to stochastic models relevant in the applications.
قيم البحث
اقرأ أيضاً
Aiming at enlarging the class of symmetries of an SDE, we introduce a family of stochastic transformations able to change also the underlying probability measure exploiting Girsanov Theorem and we provide new determining equations for the infinitesim
al symmetries of the SDE. The well-defined subset of the previous class of measure transformations given by Doob transformations allows us to recover all the Lie point symmetries of the Kolmogorov equation associated with the SDE. This gives the first stochastic interpretation of all the deterministic symmetries of the Kolmogorov equation. The general theory is applied to some relevant stochastic models.
We prove that reconstruction in the $k$-colouring model occurs strictly below the threshold for freezing for large $k$.
Stochastic symmetries and related invariance properties of finite dimensional SDEs driven by general cadlag semimartingales taking values in Lie groups are defined and investigated. The considered set of SDEs, first introduced by S. Cohen, includes a
ffine and Marcus type SDEs as well as smooth SDEs driven by Levy processes and iterated random maps. A natural extension to this general setting of reduction and reconstruction theory for symmetric SDEs is provided. Our theorems imply as special cases non trivial invariance results concerning a class of affine iterated random maps as well as symmetries for numerical schemes (of Euler and Milstein type) for Brownian motion driven SDEs.
We consider two-dimensional marked point processes which are Gibbsian with a two-body-potential U. U is supposed to have an internal continuous symmetry. We show that under suitable continuity conditions the considered processes are invariant under t
he given symmetry. We will achieve this by using Ruelle`s superstability estimates and percolation arguments.
We study the one-dimensional asymmetric simple exclusion process on the lattice ${1,dots,N}$ with creation/annihilation at the boundaries. The boundary rates are time dependent and change on a slow time scale $N^{-a}$ with $a>0$. We prove that at the
time scale $N^{1+a}$ the system evolves quasi-statically with a macroscopic density profile given by the entropy solution of the stationary Burgers equation with boundary densities changing in time, determined by the corresponding microscopic boundary rates. We consider two different types of boundary rates: the Liggett boundaries that correspond to the projection of the infinite dynamics, and the reversible boundaries, that correspond to the contact with particle reservoirs in equilibrium. The proof is based on the control of the Lax boundary entropy--entropy flux pairs and a coupling argument.
سجل دخول لتتمكن من نشر تعليقات
التعليقات
جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
