4 papers
Deterministic control of SDEs with stochastic drift and multiplicative noise: a variational approach
Giacomo Ascione, Giuseppe D'Onofrio
We consider a linear stochastic differential equation with stochastic drift and multiplicative noise. We study the problem of approximating its solution with the process that solve…
A cumulant approach for the first-passage-time problem of the Feller square-root process
Elvira Di Nardo, Giuseppe D'Onofrio
The paper focuses on an approximation of the first passage time probability density function of a Feller stochastic process by using cumulants and a Laguerre-Gamma polynomial appro…
Inhibition enhances the coherence in the Jacobi neuronal model
Giuseppe D'Onofrio, Petr Lansky, Massimiliano Tamborrino
The output signal is examined for the Jacobi neuronal model which is characterized by input-dependent multiplicative noise. The dependence of the noise on the rate of inhibition tu…
An Optimal Gauss-Markov Approximation for a Process with Stochastic Drift and Applications
Giacomo Ascione, Giuseppe D'Onofrio, Lubomir Kostal +1
We consider a linear stochastic differential equation with stochastic drift. We study the problem of approximating the solution of such equation through an Ornstein-Uhlenbeck type…