Modeling and analysis of stochastic differential equations driven by point processes

DOI10.1109/TIT.1978.1055857MaRDI QIDQ4150441zbMATH OpenFDO

Authors Steven I. Marcus

Publication date 1978

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TIT.1978.1055857

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic processes (60G99)

Cited in

(32)

• Modeling and approximation of stochastic differential equations driven by semimartingales^†
• Digital simulation of Poisson stochastic differential equations
• The stochastic Strichartz estimates and stochastic nonlinear Schrödinger equations driven by Lévy noise
• Directed transport induced by spatially modulated Lévy flights
• Stochastic Averaging of Dynamical Systems with Multiple Time Scales Forced with \alpha-Stable Noise
• Unified signature cumulants and generalized Magnus expansions
• Universal approximation theorems for continuous functions of càdlàg paths and Lévy-type signature models
• Stochastic n-point D-bifurcations of stochastic Lévy flows and their complexity on finite spaces
• Governing equations for probability densities of Marcus stochastic differential equations with Lévy noise
• On Wong-Zakai approximation of stochastic differential equations
• First-order linear Marcus SPDEs
• Derivation of Fokker-Planck equations for stochastic systems under excitation of multiplicative non-Gaussian white noise
• Fokker-Planck equations for nonlinear dynamical systems driven by non-Gaussian Lévy processes
• Stochastic logarithmic Schrödinger equations driven by Lévy noise
• Support theorem for jump processes.
• Random attractors for stochastic differential equations driven by two-sided Lévy processes
• On reflected Stratonovich stochastic differential equations
• A review on stochastic differential equations for applications in hydrology
• Low dimensional filters for a class of finite state estimation problems with Poisson observations
• Stabilité d'un type élémentaire d'équations diffé rentielles stochastiques à bruits vectoriesl
• Large deviation principles for stochastic nonlinear Schrödinger equations driven by Lévy noise
• Strong averaging along foliated Lévy diffusions with heavy tails on compact leaves
• Singular perturbation of quantum stochastic differential equations with coupling through an oscillator mode
• Almost sure and moments stability of jump linear systems
• First exit times of solutions of stochastic differential equations driven by multiplicative Lévy noise with heavy tails
• Smoothness of the law of manifold-valued Markov processes with jumps
• Reduced α-stable dynamics for multiple time scale systems forced with correlated additive and multiplicative Gaussian white noise
• Stochastic integrators with stationary independent increments
• Well-posedness of Stratonovich multi-valued SDEs driven by semimartingales
• Quasi-shuffle algebras and renormalisation of rough differential equations
• Canonical RDEs and general semimartingales as rough paths
• Stochastic differential calculus for Gaussian and non-Gaussian noises: a critical review

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