Stochastic perturbation of the Lighthill–Whitham–Richards model via the method of stochastic characteristics

In this paper we apply the method of stochastic characteristics to a Lighthill–Whitham–Richards model. The stochastic perturbation can be seen as errors in measurement of the traffic density. For concrete examples we solve the equation perturbed by a standard Brownian motion and the geometric Brownian motion without drift.

Donsker’s fuzzy invariance principle under the Lindeberg condition

We prove an analogue of the Donsker theorem under the Lindeberg condition in a fuzzy setting. Specifically, we consider a certain triangular system of d-dimensional fuzzy random variables { X n , i ∗ } , $\begin{array}{} \{X_{n,i}^*\}, \end{array}$ n ∈ ℕ and i = 1, 2, …, kn , which take as their values fuzzy vectors of compact and convex α-cuts. We show that an appropriately normalized and interpolated sequence of partial sums of the system may be associated with a time-continuous process defined on the unit interval t ∈ [0, 1] which, under the assumption of the Lindeberg condition, tends in distribution to a standard Brownian motion in the space of support functions.

A Bayesian sequential test for the drift of a fractional Brownian motion

We consider a fractional Brownian motion with linear drift such that its unknown drift coefficient has a prior normal distribution and construct a sequential test for the hypothesis that the drift is positive versus the alternative that it is negative. We show that the problem of constructing the test reduces to an optimal stopping problem for a standard Brownian motion obtained by a transformation of the fractional Brownian motion. The solution is described as the first exit time from some set, and it is shown that its boundaries satisfy a certain integral equation, which is solved numerically.

On terminal value problems for bi-parabolic equations driven by Wiener process and fractional Brownian motions

In this paper, we study two terminal value problems (TVPs) for stochastic bi-parabolic equations perturbed by standard Brownian motion and fractional Brownian motion with Hurst parameter h ∈ ( 1 2 , 1 ) separately. For each problem, we provide a representation for the mild solution and find the space where the existence of the solution is guaranteed. Additionally, we show clearly that the solution of each problem is not stable, which leads to the ill-posedness of each problem. Finally, we propose two regularization results for both considered problems by using the filter regularization method.