15 citations · 72 across the 15 of their papers we have counts for
15 papers
Wasserstein distance in terms of the Comonotonicity Copula
Mariem Abdellatif, Peter Kuchling, Barbara Rüdiger +1
In this article, we represent the Wasserstein metric of order , where , in terms of the comonotonicity copula, for the case of probability measures on , b…
Stability properties of some port-Hamiltonian SPDEs
Peter Kuchling, Barbara Rüdiger, Baris Ugurcan
We examine the existence and uniqueness of invariant measures of a class of stochastic partial differential equations with Gaussian and Poissonian noise and its exponential converg…
Stability analysis of a stochastic port-Hamiltonian car-following model
Barbara Rüdiger, Antoine Tordeux, Baris Ugurcan
Port-Hamiltonian systems are pertinent representations of many nonlinear physical systems. In this study, we formulate and analyse a general class of stochastic car-following model…
On a class of stochastic partial differential equations with multiple invariant measures
Balint Fárkas, Martin Friesen, Barbara Rüdiger +1
In this work we investigate the long-time behavior, that is the existence and characterization of invariant measures as well as convergence of transition probabilities, for Markov…
Spontaneous wave formation in stochastic self-driven particle systems
Martin Friesen, Hanno Gottschalk, Barbara Rüdiger +1
Waves and oscillations are commonly observed in the dynamics of self-driven agents such as pedestrians or vehicles. Interestingly, many factors may perturb the stability of space h…
Isomorphisms for spaces of predictable processes and an extension of the Itô integral
Barbara Rüdiger, Stefan Tappe
Our goal of this note is to give an easy proof that spaces of predictable processes with values in a Banach space are isomorphic to spaces of progressive resp. adapted, measurable…
Boundary behavior of multi-type continuous-state branching processes with immigration
Martin Friesen, Peng Jin, Barbara Rüdiger
In this article we provide a sufficient condition for a continuous-state branching process with immigration (CBI process) to not hit its boundary, i.e. for non-extinction. Our resu…
Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes
Martin Friesen, Peng Jin, Barbara Rüdiger
This work is devoted to the study of conservative affine processes on the canonical state space R_+^m \times \R^nm + n > 0$. We show that each affine process can be…
Existence of densities for stochastic differential equations driven by Lévy processes with anisotropic jumps
Martin Friesen, Peng Jin, Barbara Rüdiger
We study existence of densities for solutions to stochastic differential equations with Hölder continuous coefficients and driven by a -dimensional Lévy process $Z=(Z_{t})_{t\ge…
Existence of densities for multi-type CBI processes
Martin Friesen, Peng Jin, Barbara Rüdiger
Let X be a multi-type continuous-state branching process with immigration (CBI process) on state space . Denote by , , the law of . We provide s…
The Enskog process for hard and soft potentials
Martin Friesen, Barbara Rüdiger, Padmanabhan Sundar
The density of a moderately dense gas evolving in a vacuum is given by the solution of an Enskog equation. Recently we have constructed in [ARS17] the stochastic process that corre…
Ito formula for mild solutions of SPDEs with Gaussian and non-Gaussian noise and applications to stability properties
S. Albeverio, L. Gawarecki, V. Mandrekar +2
We use Yosida approximation to find an Itô formula for mild solutions of SPDEs with Gaussian and non-Gaussian coloured noise, the non Gaussian nois…
Exponential ergodicity of an affine two-factor model based on the -root process
Peng Jin, Jonas Kremer, Barbara Rüdiger
We study an affine two-factor model introduced by Barczy et al. (2014). One component of this two-dimensional model is the so-called -root process, which generalizes the well kn…
The Enskog Process
S. Albeverio, B. Rüdiger, P. Sundar
The existence of a weak solution to a McKean-Vlasov type stochastic differential system corresponding to the Enskog equation of the kinetic theory of gases is established under nat…
Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion
Peng Jin, Barbara Rüdiger, Chiraz Trabelsi
In this paper we find the transition densities of the basic affine jump-diffusion (BAJD), which is introduced by Duffie and Garleanu [D. Duffie and N. Garleanu, Risk and valuation…