Modeling and analysis of stochastic differential equations driven by point processes

DOI10.1109/TIT.1978.1055857MaRDI QIDQ4150441zbMATHFDO

Authors Steven I. Marcus

Publication date 1978

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

Mathematics Subject Classification ID

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

Cited in

(29)

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

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