2 citations · 2 across the 6 of their papers we have counts for
7 papers
A Feynman-Kac approach for the spatial derivative of the solution to the Wick stochastic heat equation driven by time homogeneous white noise
Hyun-Jung Kim, Ramiro Scorolli
We consider the (unique) mild solution of a 1-dimensional stochastic heat equation on driven by time-homogeneous white noise in the Wick-Skorokhod s…
Wong-Zakai approximations for quasilinear systems of Itô's type stochastic differential equations driven by fBm with
Ramiro Scorolli
In a recent article Lanconelli and Scorolli (2021) extended to the multidimensional case a Wong-Zakai-type approximation for Itô stochastic differential equations proposed by \Okse…
Feynman-Kac formula for the heat equation driven by time-homogeneous white noise potential
Ramiro Scorolli
We present a Feynman-Kac formula for the -dimensional stochastic heat equation (SHE) driven by a time-homogeneous Gaussian white noise potential, where the noise is interpreted…
A small-time approximation of Girsanov's exponential
Ramiro Scorolli
The main result of this article regards a small time approximation for the Girsanov's exponential. We prove that the latter is well described over short time intervals by the solut…
A small time approximation for the solution to the Zakai Equation
Alberto Lanconelli, Ramiro Scorolli
We propose a novel small time approximation for the solution to the Zakai equation from nonlinear filtering theory. We prove that the unnormalized filtering density is well describ…
Wong-Zakai approximations for quasilinear systems of Itô's type stochastic differential equations
Alberto Lanconelli, Ramiro Scorolli
We extend to the multidimensional case a Wong-Zakai-type theorem proved by Hu and Øksendal in [7] for scalar quasi-linear Itô stochastic differential equations (SDEs). More precise…
Upper and lower bounds for the solution of a stochastic prey-predator system with foraging arena scheme
Alberto Lanconelli, Ramiro Scorolli
We investigate some probabilistic aspects of the unique global strong solution of a two dimensional system of stochastic differential equations describing a prey-predator model per…