scholarly journals Gaussian density estimates for the solution of singular stochastic Riccati equations

2016 ◽  
Vol 61 (5) ◽  
pp. 515-526 ◽  
Author(s):  
Tien Dung Nguyen
Author(s):  
DAVID NUALART ◽  
LLUÍS QUER-SARDANYONS

In this note, we establish optimal lower and upper Gaussian bounds for the density of the solution to a class of stochastic integral equations driven by an additive spatially homogeneous Gaussian random field. The proof is based on the techniques of the Malliavin calculus and a density formula obtained by Nourdin and Viens. Then, the main result is applied to the mild solution of a general class of SPDEs driven by a Gaussian noise which is white in time and has a spatially homogeneous correlation. In particular, this covers the case of the stochastic heat and wave equations in ℝd with d ≥ 1 and d ∈ {1, 2, 3}, respectively. The upper and lower Gaussian bounds have the same form and are given in terms of the variance of the stochastic integral term in the mild form of the equation.


2020 ◽  
Vol 8 (4) ◽  
pp. 822-833
Author(s):  
Nguyen Van Tan

In this paper, we study the density of the solution to a class of stochastic functional differential equations driven by fractional Brownian motion. Based on the techniques of Malliavin calculus, we prove the smoothness and establish upper and lower Gaussian estimates for the density.


2020 ◽  
Vol 293 (8) ◽  
pp. 1554-1564
Author(s):  
Christian Olivera ◽  
Evelina Shamarova

1983 ◽  
Vol 100 ◽  
pp. 145-146
Author(s):  
A. H. Nelson ◽  
T. Matsuda ◽  
T. Johns

Numerical calculations of spiral shocks in the gas discs of galaxies (1,2,3) usually assume that the disc is flat, i.e. the gas motion is purely horizontal. However there is abundant evidence that the discs of galaxies are warped and corrugated (4,5,6) and it is therefore of interest to consider the effect of the consequent vertical motion on the structure of spiral shocks. If one uses the tightly wound spiral approximation to calculate the gas flow in a vertical cut around a circular orbit (i.e the ⊝ -z plane, see Nelson & Matsuda (7) for details), then for a gas disc with Gaussian density profile in the z-direction and initially zero vertical velocity a doubly periodic spiral potential modulation produces the steady shock structure shown in Fig. 1. The shock structure is independent of z, and only a very small vertical motion appears with anti-symmetry about the mid-plane.


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