One application of the representation the orem for martingales: Isomorphism for flows of processes with independent increments

1979 ◽  
Vol 18 (4) ◽  
pp. 458-463
Author(s):  
A. Benveniste ◽  
J. Jacod
Keyword(s):  
Independent Increments ◽  
Processes With Independent Increments

scholarly journals Global sensitivity analysis for stochastic processes with independent increments

2020 ◽  
Vol 62 ◽  
pp. 103098
Author(s):  
Emeline Gayrard ◽  
Cédric Chauvière ◽  
Hacène Djellout ◽  
Pierre Bonnet ◽  
Don-Pierre Zappa
Keyword(s):  
Sensitivity Analysis ◽  
Stochastic Processes ◽  
Global Sensitivity Analysis ◽  
Global Sensitivity ◽  
Independent Increments ◽  
Processes With Independent Increments

scholarly journals ON INVERSE STOCHASTIC RECONSTRUCTION PROBLEM

2021 ◽  
Vol 335 (1) ◽  
pp. 6-13
Author(s):  
M.I. Tleubergenov ◽  
G.K. Vassilina ◽  
A.T. Sarypbek
Keyword(s):  
Integral Manifold ◽  
Sufficient Conditions ◽  
Linear Case ◽  
Inversion Method ◽  
Random Perturbations ◽  
Reconstruction Problem ◽  
Stochastic Problem ◽  
Independent Increments ◽  
Processes With Independent Increments ◽  
Necessary And Sufficient

In this paper, general reconstruction problem in the class of second-order stochastic differential equations of the Ito type is considered for given properties of motion, when the control is included in the drift coefficient. And the form of control parameters is determined by the quasi-inversion method, which provides necessary and sufficient conditions for existence of a given integral manifold. Further, the solution of the Meshchersky’s stochastic problem is given, which is one of the inverse problems of dynamics and, according to the well-known Galiullin’s classification, refers to the restoration problem. It is assumed that random perturbations belong to the class of processes with independent increments. To solve the posed problem an equation of perturbed motion is drawn up by the Ito rule of stochastic differentiation. And, further, the Erugin method in combination with the quasi-inversion method is used to construct: 1) a set of control vector functions and 2) a set of diffusion matrices that provide necessary and sufficient conditions for a given second-order differential equation of Ito type to have a given integral manifold. The linear case of a stochastic problem with drift control is considered separately. In the linear setting, in contrast to the nonlinear formulation, the conditions of solvability in the presence of random perturbations from the class of processes with independent increments coincide with the conditions of solvability in a similar linear case in the presence of random perturbations from the class of independent Wiener processes. Also considered is the scalar case of the recovery problem with drift controls.

Sign in / Sign up

Export Citation Format

Share Document