Theory and applications of stochastic processes. An analytical approach

DOI10.1007/978-1-4419-1605-1zbMath1202.60005OpenAlexW4254829826MaRDI QIDQ1039512

Publication date: 30 November 2009

Published in: Applied Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4419-1605-1

zbMATH Keywords

SDE Stochastic Processes Brownian Motion Backward Kolmogorov Equation Boundary Behaviour Euler Scheme First Passage Time Langevin's Equation Markov Processes Stochastic Integral

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Foundations of stochastic processes (60G05)

Related Items (only showing first 100 items - show all)

Stochastic thermodynamics of holonomic systems ⋮ Efficient Numerical Algorithms for the Generalized Langevin Equation ⋮ Analysis and approximation of a stochastic growth model with extinction ⋮ Search for a small egg by spermatozoa in restricted geometries ⋮ FIRST EXIT TIMES OF SOLUTIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY MULTIPLICATIVE LÉVY NOISE WITH HEAVY TAILS ⋮ A survey of results on conservation laws with deterministic and random initial data ⋮ Coupling of Wiener processes by using copulas ⋮ Hierarchies of \(n\)-point functions for nonlinear conservation laws with random initial data ⋮ Coagulation-Fragmentation with a Finite Number of Particles: Models, Stochastic Analysis, and Applications to Telomere Clustering and Viral Capsid Assembly ⋮ A Fokker–Planck Feedback Control-Constrained Approach for Modelling Crowd Motion ⋮ Multiscale modeling, stochastic and asymptotic approaches for analyzing neural networks based on synaptic dynamics ⋮ Stability of equilibrium with respect to white noise ⋮ The positive occupation time of Brownian motion with two-valued drift and asymptotic dynamics of sliding motion with noise ⋮ Fluctuations of the product of random matrices and generalized Lyapunov exponent ⋮ Dynamics of current, charge and mass ⋮ High cooperativity in negative feedback can amplify noisy gene expression ⋮ Asset price volatility and price extrema ⋮ Stability of autoresonance models subject to random perturbations for systems of nonlinear oscillation equations ⋮ On Copula-Itô processes ⋮ On closure methods in nonlinear stochastic dynamics ⋮ The narrow escape problem -- a short review of recent results ⋮ Kinetics of aggregation with a finite number of particles and application to viral capsid assembly ⋮ Spectral analysis for a discrete metastable system driven by Lévy flights ⋮ Path integral derivation and numerical computation of large deviation prefactors for non-equilibrium dynamics through matrix Riccati equations ⋮ Mean first exit times of Ornstein–Uhlenbeck processes in high-dimensional spaces ⋮ Coagulation-fragmentation for a finite number of particles and application to telomere clustering in the yeast nucleus ⋮ Multiscale models and stochastic simulation methods for computing rare but key binding events in cell biology ⋮ White noise perturbation of locally stable dynamical systems ⋮ Analysis of the Poisson-Nernst-Planck equation in a ball for modeling the voltage-current relation in neurobiological microdomains ⋮ A Doob h-transform of the Gross-Pitaevskii Hamiltonian ⋮ A stochastic model for transmission, extinction and outbreak of \textit{Escherichia coli} O157:H7 in cattle as affected by ambient temperature and cleaning practices ⋮ Asymptotic analysis of mean exit time for dynamical systems with a single well potential ⋮ Computer-assisted proof of shear-induced chaos in stochastically perturbed Hopf systems ⋮ Asymptotic formulas for extreme statistics of escape times in 1, 2 and 3-dimensions ⋮ Singular perturbation for a two-class processor-sharing queue with impatience ⋮ Fisher Information Matrix for Single Molecules with Stochastic Trajectories ⋮ Analytical and numerical results for first escape time in 2D ⋮ Mixed analytical-stochastic simulation method for the recovery of a Brownian gradient source from probability fluxes to small windows ⋮ First passage time statistics for two-channel diffusion ⋮ The role of dendritic spine morphology in the compartmentalization and delivery of surface receptors ⋮ 100 years after Smoluchowski: stochastic processes in cell biology ⋮ Stochastic hybrid systems in cellular neuroscience ⋮ Mobility can drastically improve the heavy traffic performance from \(\frac{1}{1-\varrho}\) to \(\log(1/(1-\varrho))\) ⋮ Stochastic switching in biology: from genotype to phenotype ⋮ Stochastic (in)stability of synchronisation of oscillators on networks ⋮ Modeling bursting in neuronal networks using facilitation-depression and afterhyperpolarization ⋮ Time Reversal for Elastic Wave Refocusing and Scatterer Location Recovery ⋮ Metastable behavior in Markov processes with internal states ⋮ Poincaré and logarithmic Sobolev inequalities by decomposition of the energy landscape ⋮ A Fokker-Planck Based Approach to Control Jump Processes ⋮ On resolving singularities of piecewise-smooth discontinuous vector fields via small perturbations ⋮ Detecting the maximum likelihood transition path from data of stochastic dynamical systems ⋮ Stochastically perturbed sliding motion in piecewise-smooth systems ⋮ Stochastic flow cascades ⋮ Approximation of the Fokker-Planck equation of the stochastic chemostat ⋮ Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation ⋮ Generally covariant state-dependent diffusion ⋮ Exact solution of master equation with Gaussian and compound Poisson noises ⋮ Sweetest taboo processes ⋮ Stochastic perturbations of periodic orbits with sliding ⋮ One‐Dimensional Birth‐Death Process and Delbrück‐Gillespie Theory of Mesoscopic Nonlinear Chemical Reactions ⋮ Gaussian noise and the two-network frustrated Kuramoto model ⋮ Advection-diffusion equation with absorbing boundary ⋮ Threshold dynamics of a stochastic Keizer's model with stochastic incidence ⋮ A Fokker-Planck control framework for stochastic systems ⋮ On the mixed boundary value problem for semilinear elliptic equations ⋮ Gene expression noise is affected differentially by feedback in burst frequency and burst size ⋮ Post-transcriptional regulation in the nucleus and cytoplasm: study of mean time to threshold (MTT) and narrow escape problem ⋮ Solving Random Ordinary Differential Equations on GPU Clusters using Multiple Levels of Parallelism ⋮ Non-Filippov dynamics arising from the smoothing of nonsmooth systems, and its robustness to noise ⋮ Analytical and numerical results for an escape problem ⋮ Sharp asymptotics of the first exit point density ⋮ Rare slips in fluctuating synchronized oscillator networks ⋮ Elliptic perturbations of dynamical systems with a proper node ⋮ The noise and the KISS in the cancer stem cells niche ⋮ Generalisation of the Eyring-Kramers transition rate formula to irreversible diffusion processes ⋮ Unnamed Item ⋮ Modeling capsid kinetics assembly from the steady state distribution of multi-sizes aggregates ⋮ Exact distribution of the Generalized Shiryaev–Roberts stopping time under the minimax Brownian motion setup ⋮ Oscillatory Survival Probability: Analytical and Numerical Study of a Non-Poissonian Exit Time ⋮ Statistical mechanics of holonomic systems as a Brownian motion on smooth manifolds ⋮ A random dynamical systems perspective on isochronicity for stochastic oscillations ⋮ Asymptotic expansion of double Laplace-type integrals: The case of non-stationary minimum points ⋮ Systematic Measures of Biological Networks I: Invariant Measures and Entropy ⋮ On copulas of self-similar Ito processes ⋮ An improved scheme for a Robin boundary condition in discrete-time random walk algorithms ⋮ Periodic solution of stochastic process in the distributional sense ⋮ A Fokker--Planck Approach to the Reconstruction of a Cell Membrane Potential ⋮ Couplings and quantitative contraction rates for Langevin dynamics ⋮ Reliability function determination of nonlinear oscillators under evolutionary stochastic excitation via a Galerkin projection technique ⋮ Minimization solutions to conservation laws with non-smooth and non-strictly convex flux ⋮ A minimization approach to conservation laws with random initial conditions and non-smooth, non-strictly convex flux ⋮ Oscillatory Survival Probability and Eigenvalues of the Non-Self-Adjoint Fokker--Planck Operator ⋮ Toward the nonequilibrium thermodynamic analog of complexity and the Jarzynski identity ⋮ Lyapunov functions in barriers for parabolic equations and in stability problems with respect to ``white noise ⋮ Preface: new trends in first-passage methods and applications in the life sciences and engineering ⋮ Stochastic resonance with multiplicative heavy-tailed Lévy noise: Optimal tuning on an algebraic time scale ⋮ Boundary conditions for computing densities in hybrid models via PDE methods ⋮ Asymptotic analysis of first passage time problems inspired by ecology ⋮ The double barrier problem for Brownian motion with Poissonian resetting

This page was built for publication: Theory and applications of stochastic processes. An analytical approach