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Relevant bibliographies by topics / Volterra Processes

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Academic literature on the topic 'Volterra Processes'

Author: Grafiati

Published: 4 June 2021

Last updated: 15 February 2022

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Journal articles on the topic "Volterra Processes"

1

Abi Jaber, Eduardo, Martin Larsson, and Sergio Pulido. "Affine Volterra processes." Annals of Applied Probability 29, no. 5 (2019): 3155–200. http://dx.doi.org/10.1214/19-aap1477.

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Baudoin, Fabrice, and David Nualart. "Equivalence of Volterra processes." Stochastic Processes and their Applications 107, no. 2 (2003): 327–50. http://dx.doi.org/10.1016/s0304-4149(03)00088-7.

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Suryawan, H. P. "A white noise analysis of Volterra processes." International Journal of Modern Physics: Conference Series 36 (January 2015): 1560005. http://dx.doi.org/10.1142/s2010194515600058.

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In this paper we present a realization of Volterra processes within the white noise analysis framework. We show that Donsker's delta functions of Volterra processes are elements from the space of Hida distributions. An explicit expression for the corresponding chaos decomposition in terms of Wick tensor powers of white noise is also given.

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Cuchiero, Christa, and Josef Teichmann. "Markovian lifts of positive semidefinite affine Volterra-type processes." Decisions in Economics and Finance 42, no. 2 (2019): 407–48. http://dx.doi.org/10.1007/s10203-019-00268-5.

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Abstract We consider stochastic partial differential equations appearing as Markovian lifts of matrix-valued (affine) Volterra-type processes from the point of view of the generalized Feller property (see, e.g., Dörsek and Teichmann in A semigroup point of view on splitting schemes for stochastic (partial) differential equations, 2010. arXiv:1011.2651). We introduce in particular Volterra Wishart processes with fractional kernels and values in the cone of positive semidefinite matrices. They are constructed from matrix products of infinite dimensional Ornstein–Uhlenbeck processes whose state s

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Giorgi, Federico, and Barbara Pacchiarotti. "Large deviations for conditional Volterra processes." Stochastic Analysis and Applications 35, no. 2 (2016): 191–210. http://dx.doi.org/10.1080/07362994.2016.1237291.

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Ouknine, Youssef, and Mohamed Erraoui. "Equivalence of Volterra processes: Degenerate case." Statistics & Probability Letters 78, no. 4 (2008): 435–44. http://dx.doi.org/10.1016/j.spl.2007.07.017.

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Decreusefond, L. "Time Reversal of Volterra Processes Driven Stochastic Differential Equations." International Journal of Stochastic Analysis 2013 (February 27, 2013): 1–13. http://dx.doi.org/10.1155/2013/790709.

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We consider stochastic differential equations driven by some Volterra processes. Under time reversal, these equations are transformed into past-dependent stochastic differential equations driven by a standard Brownian motion. We are then in position to derive existence and uniqueness of solutions of the Volterra driven SDE considered at the beginning.

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Sottinen, Tommi, and Lauri Viitasaari. "Prediction law of mixed Gaussian Volterra processes." Statistics & Probability Letters 156 (January 2020): 108594. http://dx.doi.org/10.1016/j.spl.2019.108594.

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Neuman, Eyal. "The multifractal nature of Volterra–Lévy processes." Stochastic Processes and their Applications 124, no. 9 (2014): 3121–45. http://dx.doi.org/10.1016/j.spa.2014.04.011.

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DECREUSEFOND, L. "Stochastic integration with respect to Volterra processes." Annales de l'Institut Henri Poincare (B) Probability and Statistics 41, no. 2 (2005): 123–49. http://dx.doi.org/10.1016/j.anihpb.2004.03.004.

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Dissertations / Theses on the topic "Volterra Processes"

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Knani, Habiba. "Backward stochastic differential equations driven by Gaussian Volterra processes." Electronic Thesis or Diss., Université de Lorraine, 2020. http://www.theses.fr/2020LORR0014.

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Cette thèse porte sur les équations différentielles stochastiques rétrogrades (EDSR) dirigées par une classe de processus de Volterra qui contient le mouvement brownien multifractionnaire et le processus Ornstein-Uhlenbeck multifractionnaire. Dans la première partie, nous étudions la solution des EDSRs multidimensionnelles avec des générateurs linéaires. Par la formule d’Itô pour les processus de Volterra nous réduisons l’EDSR à une équation aux dérivées partielles (EDP) de second ordre linéaire avec la condition terminale. Sous une condition d’intégrabilité dans un voisinage du temps terminal

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Abi, Jaber Eduardo. "Stochastic Invariance and Stochastic Volterra Equations." Thesis, Paris Sciences et Lettres (ComUE), 2018. http://www.theses.fr/2018PSLED025/document.

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La présente thèse traite de la théorie des équations stochastiques en dimension finie. Dans la première partie, nous dérivons des conditions géométriques nécessaires et suffisantes sur les coefficients d’une équation différentielle stochastique pour l’existence d’une solution contrainte à rester dans un domaine fermé, sous de faibles conditions de régularité sur les coefficients.Dans la seconde partie, nous abordons des problèmes d’existence et d’unicité d’équations de Volterra stochastiques de type convolutif. Ces équations sont en général non-Markoviennes. Nous établissons leur correspondanc

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Oberacker, Philip [Verfasser], and Christian [Akademischer Betreuer] Bender. "Stochastic calculus for Lévy-driven Volterra processes / Philip Oberacker. Betreuer: Christian Bender." Saarbrücken : Saarländische Universitäts- und Landesbibliothek, 2015. http://d-nb.info/1076502997/34.

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Brown, Martin Lloyd. "Stochastic process approximation method with application to random volterra integral equations." Diss., Georgia Institute of Technology, 1987. http://hdl.handle.net/1853/29222.

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Cormier, Quentin. "Comportement en temps long d'un modèle champ moyen de neurones à décharge en interactions." Thesis, Université Côte d'Azur, 2021. http://www.theses.fr/2021COAZ4008.

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Nous étudions le comportement en temps long d'une équation différentielle stochastique (EDS) de type McKean-Vlasov, dirigée par une mesure de Poisson. En neurosciences, cette EDS modélise la dynamique du potentiel de membrane d'un neurone typique dans un grand réseau. Le modèle peut-être obtenu en considérant un réseau fini de neurones de type Intègre-Et-Tire généralisé et en prenant la limite où le nombre de neurones tend vers l'infini. Cette EDS est donc un modèle champ moyen de neurones à décharge.Nous étudions l'existence et l'unicité de la solution de cette EDS McKean-Vlasov et nous donno

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Lessi, Oliviero. "Statistique des processus bilineaires et des processus de volterra." Paris 6, 1991. http://www.theses.fr/1991PA066205.

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On propose un nouvel estimateur parametrique recursif d'un bilineaire diagonal multivarie. On fournit un estimateur de l'ordre du modele. On propose un estimateur convergent en moyenne quadratique d'un processus de volterra continu. On demontre que l'approximation finie d'un processus de volterra peut etre estimee comme un filtre non lineaire d'ordre fini. On s'occupe de la detection de ruptures. On propose une carte de controle pour la moyenne multivariee du processus. On montre que l'estimateur non parametrique de la fonction de covariance est convergent en probabilite. Etant donnees deux su

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Zararsiz, Zarife. "On an epidemic model given by a stochastic differential equation." Thesis, Växjö University, School of Mathematics and Systems Engineering, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:vxu:diva-5747.

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Bassi, Federica. "catene di markov a stati finiti e applicazioni alle equazioni preda-predatore di lotka-volterra." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2020.

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Lo scopo di questa tesi è l'applicazione delle Catene di Markov a tempo continuo al sistema competitivo Lotka-Volterra. Questo elaborato è suddiviso in tre capitoli. Nel primo capitolo presentiamo un'introduzione ai processi di Markov a tempo discreto, nel secondo si derivano, in analogia con la definizione a tempo discreto, le catene di Markov a tempo continuo. Dopo aver presentato le equazioni di Chapman-Kolmogorov si passa ad analizzare il particolare processo markoviano di nascita e morte con tempo continuo, la cui caratteristica peculiare è quella di poter transitare solo negli stati ad

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Rahouli, Sami El. "Modélisation financière avec des processus de Volterra et applications aux options, aux taux d'intérêt et aux risques de crédit." Thesis, Université de Lorraine, 2014. http://www.theses.fr/2014LORR0042/document.

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Ce travail étudie des modèles financiers pour les prix d'options, les taux d'intérêts et le risque de crédit, avec des processus stochastiques à mémoire et comportant des discontinuités. Ces modèles sont formulés en termes du mouvement Brownien fractionnaire, du processus de Lévy fractionnaire ou filtré (et doublement stochastique) et de leurs approximations par des semimartingales. Leur calcul stochastique est traité au sens de Malliavin, et des formules d'Itô sont déduites. Nous caractérisons les probabilités risque neutre en termes de ces processus pour des modèles d'évaluation d'options de

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El, Euch Omar. "Quantitative Finance under rough volatility." Thesis, Sorbonne université, 2018. http://www.theses.fr/2018SORUS172/document.

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Cette thèse a pour objectif la compréhension de plusieurs aspects du caractère rugueux de la volatilité observé de manière universelle sur les actifs financiers. Ceci est fait en six étapes. Dans une première partie, on explique cette propriété à partir des comportements typiques des agents sur le marché. Plus précisément, on construit un modèle de prix microscopique basé sur les processus de Hawkes reproduisant les faits stylisés importants de la microstructure des marchés. En étudiant le comportement du prix à long terme, on montre l’émergence d’une version rugueuse du modèle de Heston (appe

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Books on the topic "Volterra Processes"

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Approximation and Entropy Numbers of Volterra Operators with Application to Brownian Motion. American Mathematical Society, 2002.

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1947-, Accardi L., Fagnola Franco, and Centro internazionale per la ricerca matematica (Trento, Italy), eds. Quantum interacting particle systems: Lecture notes of the Volterra-CIRM International School, Trento, Italy, 23-29 September 2000. World Scientific Pub., 2002.

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Book chapters on the topic "Volterra Processes"

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Barndorff-Nielsen, Ole E., Fred Espen Benth, and Almut E. D. Veraart. "Volatility Modulated Volterra Processes." In Ambit Stochastics. Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-94129-5_1.

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Barndorff-Nielsen, Ole E., Fred Espen Benth, and Almut E. D. Veraart. "Integration with Respect to Volatility Modulated Volterra Processes." In Ambit Stochastics. Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-94129-5_4.

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Rai, Amrita, Kalpana Hazarika, and Monika Jain. "Adaptive Volterra Filters for Active Control of Nonlinear Noise Processes." In Lecture Notes in Electrical Engineering. Springer Singapore, 2018. http://dx.doi.org/10.1007/978-981-13-0665-5_21.

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Duncan, Tyrone E., and Bozenna Pasik-Duncan. "Some Linear-Quadratic Stochastic Differential Games Driven by State Dependent Gauss-Volterra Processes." In Modeling, Stochastic Control, Optimization, and Applications. Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-25498-8_8.

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"Volterra Integral Processes with Delay: Necessary Optimality Conditions." In Volterra Equations and Applications. CRC Press, 2000. http://dx.doi.org/10.1201/9781482287424-55.

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"On Nonlinear Filtering of Non-Gaussian Processes Through Volterra Series." In Volterra Equations and Applications. CRC Press, 2000. http://dx.doi.org/10.1201/9781482287424-26.

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de Roos, André M., and Lennart Persson. "Life History Processes, Ontogenetic Development, and Density Dependence." In Population and Community Ecology of Ontogenetic Development. Princeton University Press, 2013. http://dx.doi.org/10.23943/princeton/9780691137575.003.0002.

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This chapter first considers the question of how ecologists have conceptualized populations. In other words, how has their research looked at “group[s] of individuals of one species”? It reflects on the classical models that form the theoretical basis of population ecology: the Lotka–Volterra competition model, Lotka–Volterra predator–prey model, and Fretwell–Oksanen food chain model. It then argues that much of ecologists' understanding about populations and communities and their dynamics is couched in terms of mathematical models. The remainder of the chapter discusses individual- versus population-level assumptions, the population dynamical triad, growth patterns and ecology of ontogenetic development, body-size scaling and magnitude of body-size changes, and changes in ecological roles over ontogeny.

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"Chapter 8 Systems under birth and death conditions: Lotka and Lotka—Volterra models." In Modern Aspects of Diffusion-Controlled Reactions - Cooperative Phenomena in Bimolecular Processes. Elsevier, 1996. http://dx.doi.org/10.1016/s0069-8040(96)80010-0.

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Gravel, Dominique, and François Massol. "Toward a general theory of metacommunity ecology." In Theoretical Ecology. Oxford University Press, 2020. http://dx.doi.org/10.1093/oso/9780198824282.003.0012.

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Investigation of how spatial processes affect the maintenance of biodiversity and its geographic distribution has led to landmark contributions in community ecology. Theory has followed a logical complexification of the objects of study, with specific models at each step, from populations connected by dispersal to ecosystems connected by flows of energy and material. This large body of theory is not only diverse in the questions it addresses, and the scales and organization levels it encompasses, but also in the types of models used to represent spatial dynamics. Unfortunately, this makes it hard to establish clear, standard, quantitative predictions stemming from a coherent mathematical formalism. Here our objectives are : i) to propose a general metacommunity model that allows the investigation of spatial ecology from populations to entire food webs ; ii) use the model to review a set of principles driving coexistence in all types of metacommunities; iii) reveal how these principles constrain the spatial distribution of diversity, with a particular emphasis on species co-distribution. The model is based on the well-established representation of spatial dynamics through colonization and extinction processes. We generalize Levins’ metapopulation model to all types of ecological interactions, using a formalism akin to Lotka–Volterra equations for local community dynamics. Doing so, we revisit coexistence mechanisms proposed for competitive metacommunities, along with the assembly dynamics for spatial food webs and mutualistic interactions.

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Haber, R. "ADAPTIVE EXTREMUM CONTROL BY THE PARAMETRIC VOLTERRA MODEL." In Digital Computer Applications to Process Control. Elsevier, 1986. http://dx.doi.org/10.1016/b978-0-08-032554-5.50060-4.

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Conference papers on the topic "Volterra Processes"

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Komninelli, Foteini, Athanasios Iliopoulos, and John G. Michopoulos. "Performance of a Lotka-Volterra System for Representing Biofouling Processes." In ASME 2014 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. American Society of Mechanical Engineers, 2014. http://dx.doi.org/10.1115/detc2014-35002.

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In order to assess the feasibility and performance of a minimal multiphysics model for representing the spatiotemporal evolution of biofouling process, we selected the coupled diffusive generalization of the Lotka-Volterra PDEs to govern the spatiotemporal evolution of population densities of predator-prey colonies in a computational domain. The implementation of the finite element solution of the system was performed and the associated numerical solution of the system was achieved. An analysis was performed that highlights certain choices of the control parameters of the model and their effec

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Smirnova, Vera, Anton V. Proskurnikov, and Natalia V. Utina. "Transient processes in synchronization systems governed by singularly perturbed Volterra equations." In 2015 European Control Conference (ECC). IEEE, 2015. http://dx.doi.org/10.1109/ecc.2015.7330594.

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HIBINO, YUJI, and HIROSHI MURAOKA. "VOLTERRA REPRESENTATIONS OF GAUSSIAN PROCESSES WITH AN INFINITE-DIMENSIONAL ORTHOGONAL COMPLEMENT." In From Foundations to Applications. WORLD SCIENTIFIC, 2005. http://dx.doi.org/10.1142/9789812702104_0020.

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Xiros, Nikolaos I., and Gerassimos P. Theotokatos. "Nonlinear Identification of a Turbocharged Diesel Engine Compression System Dynamics by an Uncertain Volterra Representation." In ASME 2006 International Mechanical Engineering Congress and Exposition. ASMEDC, 2006. http://dx.doi.org/10.1115/imece2006-13917.

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In the present paper, the dynamics of the compression system of the turbocharged Diesel engine is identified using an uncertain Volterra representation. The required results depicting the dynamic response of the compression system under various compressor running conditions and sinusoidal compression system valve excitations are produced by simulation using detailed mathematical modeling of the physical processes involved in the compression system. The simulation results are appropriately processed and the Volterra representation of the system dynamics is formulated.

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Zoubir, Abdelhak M. "Identification of second-order Volterra filters driven by non-Gaussian stationary processes." In San Diego '92, edited by Franklin T. Luk. SPIE, 1992. http://dx.doi.org/10.1117/12.130940.

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Naess, A., H. C. Karlsen, and P. S. Teigen. "Accurate Numerical Methods for Calculating the Response Statistics of Compliant Offshore Structures." In ASME 2005 24th International Conference on Offshore Mechanics and Arctic Engineering. ASMEDC, 2005. http://dx.doi.org/10.1115/omae2005-67236.

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The state-of-the-art representation of the horizontal motions of e.g. a TLP in random seas is in terms of a second order stochastic Volterra series. Until recently, there has been no method available for accurately calculating the mean level upcrossing rate of such response processes. Since the mean upcrossing rate is a key parameter for estimating the large and extreme responses it is clearly of importance to develop methods for its calculation. The paper describes numerical methods for calculating the mean level upcrossing rate of a stochastic response process represented as a second order s

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Vitaliy, Pavlenko, Fomin Oleksandr, and Ilyin Vladimir. "Technology for data acquisition in diagnosis processes by means of the identification using Volterra models." In 2009 IEEE International Workshop on Intelligent Data Acquisition and Advanced Computing Systems: Technology and Applications (IDAACS). IEEE, 2009. http://dx.doi.org/10.1109/idaacs.2009.5342968.

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Azhmyakov, Vadim, Erik I. Verriest, Camilo Londono, and Raymundo Juarez del Toro. "A Consistent Numerical Approach to a Class of Optimal Control Processes Governed by Volterra Integro-Differential Equations." In 2020 59th IEEE Conference on Decision and Control (CDC). IEEE, 2020. http://dx.doi.org/10.1109/cdc42340.2020.9303962.

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Mansimov, Kamil. "Necessary optimality conditions of the first and second orders in the problem of control of processes described by difference analogy of volterra equation under equality and inequality type functional constraints." In 2012 IV International Conference "Problems of Cybernetics and Informatics" (PCI). IEEE, 2012. http://dx.doi.org/10.1109/icpci.2012.6486436.

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Motato, Eliot, Clark Radcliffe, and Jose Luis Viveros. "A Method to Find Non-Zero Operating Point Volterra Models for Port-Based Ordinary Differential Equations." In ASME 2010 Dynamic Systems and Control Conference. ASMEDC, 2010. http://dx.doi.org/10.1115/dscc2010-4237.

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Nonlinear physical systems frequently perform around constant non-zero input-output operating conditions. This local behavior can be modeled using port-based nonlinear ordinary differential equations (ODEs). An ODE local solution around an specific input-output operating point can be obtained through the Volterra transfer function (VTF) model. In a past work a procedure for obtaining MIMO Volterra models from port-based nonlinear ODEs was presented. This previous work considered only systems operating at zero input-output conditions subject to linear inputs. In this work the process for obtain

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