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15 papers · 1 filter
General Cauchy-Lipschitz theory for shifted and non shifted Delta-Cauchy problems on time scales
Loïc Bourdin, Emmanuel Trélat
This article is devoted to completing some aspects of the classical Cauchy-Lipschitz (or Picard-Lindelöf) theory for general nonlinear systems posed on time scales, that are closed…
Estimation for seasonal fractional ARIMA with stable innovations via the empirical characteristic function method
Mor Ndongo, Abdou Kâ Diongue, Aliou Diop +1
Maximum likelihood methods, while widely used, may be non-robust due to disagreement between the assumptions upon which the models are based and the true density probability distri…
A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation
René Aïd, Luciano Campi, Nicolas Langrené +1
In this paper, we present a probabilistic numerical algorithm combining dynamic programming, Monte Carlo simulations and local basis regressions to solve non-stationary optimal mul…
On matrix exponential approximations of the infimum of a spectrally negative Levy process
Florin Avram, Andras Horvath, M. R. Pistorius
We recall four open problems concerning constructing high-order matrix-exponential approximations for the infimum of a spectrally negative Levy process (with applications to first-…
Logarithmic bundles and Line arrangements, an approach via the standard construction
Daniele Faenzi, Jean Vallès
We propose an approach to study logarithmic sheaves T(-log A) associated with a hyperplane arrangements A on the projective space, based on projective duality, direct image functor…
Validating Stochastic Models: Invariance Criteria for Systems of Stochastic Differential Equations and the Selection of a Stochastic Hodgkin-Huxley Type Model
Jacky Cresson, Bénédicte Puig, Stefanie Sonner
In recent years, many difficulties appeared when taking into account the inherent stochastic behavior of neurons and voltage-dependent ion channels in Hodgking-Huxley type models.…