scholarly journals Gaussian density estimates for solutions of fully coupled forward‐backward SDEs

2020 ◽  
Vol 293 (8) ◽  
pp. 1554-1564
Author(s):  
Christian Olivera ◽  
Evelina Shamarova
Keyword(s):  
Density Estimates ◽  
Gaussian Density ◽  
Fully Coupled ◽  
Backward Sdes

scholarly journals Smoothness and Gaussian Density Estimates for Stochastic Functional Differential Equations with Fractional Noise

2020 ◽  
Vol 8 (4) ◽  
pp. 822-833
Author(s):  
Nguyen Van Tan
Keyword(s):  
Brownian Motion ◽  
Differential Equations ◽  
Malliavin Calculus ◽  
Functional Differential Equations ◽  
Stochastic Functional Differential Equations ◽  
Density Estimates ◽  
Fractional Noise ◽  
Gaussian Density ◽  
Functional Differential ◽  
Stochastic Functional

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.

scholarly journals OPTIMAL GAUSSIAN DENSITY ESTIMATES FOR A CLASS OF STOCHASTIC EQUATIONS WITH ADDITIVE NOISE

2011 ◽  
Vol 14 (01) ◽  
pp. 25-34 ◽  
Author(s):  
DAVID NUALART ◽  
LLUÍS QUER-SARDANYONS
Keyword(s):  
Wave Equations ◽  
Additive Noise ◽  
Stochastic Integral ◽  
Gaussian Random Field ◽  
Density Estimates ◽  
Integral Term ◽  
Gaussian Bounds ◽  
Gaussian Density ◽  
Stochastic Integral Equations ◽  
Spatially Homogeneous

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.

A Unified Air-Sea Interface for Fully Coupled Atmosphere-Wave-Ocean Models for Improving Intensity Prediction of Tropical Cyclones

2011 ◽  
Author(s):  
Shuyi S. Chen ◽  
Mark A. Donelan ◽  
Ashwanth Srinivasan ◽  
Rick Allard ◽  
Tim Campbell ◽  
...  
Keyword(s):  
Tropical Cyclones ◽  
Intensity Prediction ◽  
Ocean Models ◽  
Fully Coupled

A fully coupled particle method for dynamic analysis of saturated soil

2020 ◽  
Author(s):  
J. L. Mroginski ◽  
H. G. Castro ◽  
J. M. Podestá ◽  
P. A. Beneyto ◽  
A. R. Anonis
Keyword(s):  
Dynamic Analysis ◽  
Particle Method ◽  
Saturated Soil ◽  
Fully Coupled
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