5 papers
Boundary conditions for nonlocal one-sided pseudo-differential operators and the associated stochastic processes II
Boris Baeumer, Mihály Kovács, Lorenzo Toniazzi
We connect boundary conditions for one-sided pseudo-differential operators with the generators of modified one-sided Lévy processes. On one hand this allows modellers to use approp…
Boundary conditions for nonlocal one-sided pseudo-differential operators and the associated stochastic processes I
Boris Baeumer, Mihály Kovács, Lorenzo Toniazzi
We connect boundary conditions for one-sided pseudo-differential operators with the generators of modified one-sided Lévy processes. On one hand this allows modellers to use approp…
On the stochastic Allen-Cahn equation on networks with multiplicative noise
Mihály Kovács, Eszter Sikolya
We consider a system of stochastic Allen-Cahn equations on a finite network represented by a finite graph. On each edge in the graph a multiplicative Gaussian noise driven stochast…
Mittag-Leffler Euler integrator for a stochastic fractional order equation with additive noise
Mihály Kovács, Stig Larsson, Fardin Saedpanah
Motivated by fractional derivative models in viscoelasticity, a class of semilinear stochastic Volterra integro-differential equations, and their deterministic counterparts, are co…
Weak error analysis via functional Itô calculus
Mihály Kovács, Felix Lindner
We consider autonomous stochastic ordinary differential equations (SDEs) and weak approximations of their solutions for a general class of sufficiently smooth path-dependent functi…