2 papers
math.PR2010
A Distributed Procedure for Computing Stochastic Expansions with Mathematica
Christophe Ladroue, Anastasia Papavasiliou
The solution of a (stochastic) differential equation can be locally approximated by a (stochastic) expansion. If the vector field of the differential equation is a polynomial, the…
math.ST2010
Coarse-grained modeling of multiscale diffusions: the p-variation estimates
Anastasia Papavasiliou
We study the problem of estimating parameters of the limiting equation of a multiscale diffusion in the case of averaging and homogenization, given data from the corresponding mult…