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This paper considers the problem of target tracking in complex manoeuvering scenarios with a lack of relevant prior knowledge. This is a challenge for classical model‐based manoeuvering target tracking algorithms because they rely heavily on accurate domain and prior knowledge of target motion. To address this problem, we propose a hybrid‐driven continuous‐time filter algorithm in this paper, which combines the advantages of the model‐driven and data‐driven. We use the stochastic differential equation (SDE) with the acceleration model as the basic framework of the proposed algorithm. In order to deal with unpredictable manoeuvres and unknown perturbations, we adopt neural networks as data‐driven to estimate target accelerations and compensations of composite perturbations in real time using historical and current measurements. And the direction of gradient descent of the neural network is constrained by the motion model, thus the learning efficiency of the network and the interpretability of the proposed algorithm is improved. The proposed algorithm can simultaneously utilise historical trajectory information and domain knowledge as hybrid‐driven to achieve complex manoeuvering target tracking with little prior information. Experimental results demonstrate the superiority of our algorithm in tracking accuracy, robustness and environmental adaptability. [ABSTRACT FROM AUTHOR]

This paper reviews recent publications that describe mathematical models with stochastic differential equations (SDEs) and applications in various fields. The purpose of this paper is to briefly describe Rosenbrock-type methods for approximate solution of SDEs. It shows how the performance of the numerical methods can be improved and the accuracy of calculations can be increased without increasing the implementation complexity too much. The paper also proposes a new Rosenbrock-type method for SDEs with multiplicative non-commutative noise. Its testing is carried out by modeling rotational diffusion. [ABSTRACT FROM AUTHOR]

A continuous time model for multiagent systems governed by reinforcement learning with scale-free memory is developed. The agents are assumed to act independently of one another in optimizing their choice of possible actions via trial-and-error search. To gain awareness about the action value the agents accumulate in their memory the rewards obtained from taking a specific action at each moment of time. The contribution of the rewards in the past to the agent current perception of action value is described by an integral operator with a power-law kernel. Finally a fractional differential equation governing the system dynamics is obtained. The agents are considered to interact with one another implicitly via the reward of one agent depending on the choice of the other agents. The pairwise interaction model is adopted to describe this effect. As a specific example of systems with non-transitive interactions, a two agent and three agent systems of the rock-paper-scissors type are analyzed in detail, including the stability analysis and numerical simulation. Scale-free memory is demonstrated to cause complex dynamics of the systems at hand. In particular, it is shown that there can be simultaneously two modes of the system instability undergoing subcritical and supercritical bifurcation, with the latter one exhibiting anomalous oscillations with the amplitude and period growing with time. Besides, the instability onset via this supercritical mode may be regarded as “altruism self-organization”. For the three agent system the instability dynamics is found to be rather irregular and can be composed of alternate fragments of oscillations different in their properties. [ABSTRACT FROM AUTHOR]

Purpose: The current paper proposes a prediction model for a cryptocurrency that encompasses three properties observed in the markets for cryptocurrencies—namely high volatility, illiquidity, and regime shifts. As far as the authors' knowledge extends, this paper is the first attempt to introduce a stochastic differential equation (SDE) for pricing cryptocurrencies while explicitly integrating the mentioned three significant stylized facts. Design/methodology/approach: Cryptocurrencies are increasingly utilized by investors and financial institutions worldwide as an alternative means of exchange. To the authors' best knowledge, there is no SDE in the literature that can be used for representing and evaluating the data-generating process for the price of a cryptocurrency. Findings: By using Ito calculus, the authors provide a solution for the suggested SDE along with mathematical proof. Numerical simulations are performed and compared to the real data, which seems to capture the dynamics of the price path of two main cryptocurrencies in the real markets. Originality/value: The stochastic differential model that is introduced and solved in this article is expected to be useful for the pricing of cryptocurrencies in situations of high volatility combined with structural changes and illiquidity. These attributes are apparent in the real markets for cryptocurrencies; therefore, accounting explicitly for these underlying characteristics is a necessary condition for accurate evaluation of cryptocurrencies. [ABSTRACT FROM AUTHOR]

This paper focuses on approximating stochastic delay differential equations with delayed impulses using Euler-Maruyama-type approximations. One key difference from previous literature is that the impulsive perturbations considered in this paper are past-dependent. Additionally, both the time delays in the stochastic delay differential equations and in the impulsive functions are functions of time. We establish the mean square convergence of the Euler-Maruyama approximations under a local Lipschitz condition and a linear growth condition. Furthermore, we determine the order of convergence under a global Lipschitz condition and provide an illustrative example. [ABSTRACT FROM AUTHOR]

This paper investigated stochastic differential equations (SDEs) with locally one-sided Lipschitz coefficients. Apart from the local one-sided Lipschitz condition, a more general condition was introduced to replace the monotone condition. Then, in terms of Euler's polygonal line method, the existence and uniqueness of solutions for SDEs was established. In the meanwhile, the pth moment boundedness of solutions was also provided. [ABSTRACT FROM AUTHOR]

In this paper, we study optimal stochastic control problems for stochastic systems driven by non-Markov subdiffusion BLt, which have mixed features of deterministic and stochastic controls. Here Bt is the standard Brownian motion on R, and Lt := inf { r > 0 : Sr > t}, t ≥ 0, is the inverse of a subordinator St with drift κ > 0 that is independent of Bt. We obtain stochastic maximum principles (SMPs) for these systems using both convex and spiking variational methods, depending on whether or not the domain is convex. To derive SMPs, we first establish a martingale representation theorem for subdiffusions BLt , and then use it to derive the existence and uniqueness result for the solutions of backward stochastic differential equations (BSDEs) driven by subdiffusions, which may be of independent interest. We also derive sufficient SMPs. Application to a linear quadratic system is given to illustrate the main results of this paper. [ABSTRACT FROM AUTHOR]

Stability analysis, which was investigated in this paper, is one of the main issues related to numerical analysis for stochastic dynamical systems (SDS) and has the same important significance as the convergence one. To this end, we introduced the concept of p-th moment stability for the n-dimensional nonlinear stochastic differential equations (SDEs). Specifically, if p = 2 and the p-th moment stability constant K < 0, we speak of strict mean square contractivity. The present paper put the emphasis on systematic analysis of the numerical mean square contractivity of two kinds of implicit balanced Milstein-type schemes, e.g., the drift implicit balanced Milstein (DIBM) scheme and the semi-implicit balanced Milstein (SIBM) scheme (or double-implicit balanced Milstein scheme), for SDEs with non-global Lipschitz coefficients. The requirement in this paper allowed the drift coefficient f (x) to satisfy a one-sided Lipschitz condition, while the diffusion coefficient g(x) and the diffusion function L¹g(x) are globally Lipschitz continuous, which includes the well-known stochastic Ginzburg Landau equation as an example. It was proved that both of the mentioned schemes can well preserve the numerical counterpart of the mean square contractivity of the underlying SDEs under appropriate conditions. These outcomes indicate under what conditions initial perturbations are under control and, thus, have no significant impact on numerical dynamic behavior during the numerical integration process. Finally, numerical experiments intuitively illustrated the theoretical results. [ABSTRACT FROM AUTHOR]

This paper investigates the decision-making behaviors of opinion leaders and netizens in the context of uncertain information dissemination with the aim of effectively managing online public opinion crises triggered by major sudden events. The decision-making behaviors of opinion leaders are categorized into positive and negative guidance, while those of netizens are classified into acceptance and nonacceptance. Using an evolutionary game model, this study introduces random factors to examine their influence on the decisionmaking processes of both groups. A stochastic evolutionary game model is constructed to analyze the behaviors of opinion leaders and netizens in the context of uncertain information dissemination. The evolutionary stability strategies and stochastic evolutionary processes of the model are analyzed based on the theory of Itô stochastic differential equations. The impacts of key variables such as random disturbances, the degree of psychological identification of netizens with opinion leaders, and the intensity of government penalties for those spreading negative information are examined through numerical simulations. The findings indicate that opinion leaders evolve to make stable strategies more rapidly than netizens do; random disturbances slow the evolution of stable strategies for both groups but do not alter their strategic choices; a higher degree of psychological identification increases the likelihood of netizens adopting the views of opinion leaders; and as punitive measures intensify, both opinion leaders and netizens are inclined to choose strategies of positive guidance and acceptance. The results of this study offer theoretical insights and decision-making guidance for future government strategies for managing similar online collective behaviors. [ABSTRACT FROM AUTHOR]

This paper focuses on systems of nonlinear second-order stochastic differential equations with multiscales. The motivation for our study stems from mathematical physics and statistical mechanics, for example, Langevin dynamics and stochastic acceleration in a random environment. Our aim is to carry out asymptotic analysis to establish large deviations principles. Our focus is on obtaining the desired results for systems under weaker conditions. When the fast-varying process is a diffusion, neither Lipschitz continuity nor linear growth needs to be assumed. Our approach is based on combinations of the intuition from Smoluchowski--Kramers approximation and the methods initiated in [A. A. Puhalskii, Ann. Probab., 44 (2016), pp. 3111--3186] relying on the concepts of relatively large deviations compactness and the identification of rate functions. When the fast-varying process is under a general setup with no specified structure, the paper establishes the large deviations principle of the underlying system under the assumption on the local large deviations principles of the corresponding first-order system. [ABSTRACT FROM AUTHOR]

This paper deals with a Skorokhod's integral based projection type estimator b ^ m of the drift function b 0 computed from N ∈ N ∗ independent copies X 1 , ⋯ , X N of the solution X of d X t = b 0 (X t) d t + σ d B t , where B is a fractional Brownian motion of Hurst index H ∈ (1 / 2 , 1) . Skorokhod's integral based estimators cannot be calculated directly from X 1 , ⋯ , X N , but in this paper an L 2 -error bound is established on a calculable approximation of b ^ m . [ABSTRACT FROM AUTHOR]

The article is an editorial introducing a special issue of the scientific journal Axioms titled "Mathematical Models and Simulations." The issue contains 13 papers that cover various mathematical models and simulations in fields such as physics, biology, finance, and engineering. The papers explore different types of mathematical models, including deterministic and stochastic models, and discuss their applications and numerical simulations. The authors provide a brief overview of each paper, highlighting their main findings and methodologies. The article aims to provide library patrons with a concise summary of the special issue, allowing them to decide if they want to explore the individual papers further. [Extracted from the article]

The main problem in pricing variance, volatility, and correlation swaps is how to determine the evolution of the stochastic processes for the underlying assets and their volatilities. Thus, sometimes it is simpler to consider pricing of swaps by so-called pseudo-statistics, namely, the pseudo-variance, -covariance, -volatility, and -correlation. The main motivation of this paper is to consider the pricing of swaps based on pseudo-statistics, instead of stochastic models, and to compare this approach with the most popular stochastic volatility model in the Cox–Ingresoll–Ross (CIR) model. Within this paper, we will demonstrate how to value different types of swaps (variance, volatility, covariance, and correlation swaps) using pseudo-statistics (pseudo-variance, pseudo-volatility, pseudo-correlation, and pseudo-covariance). As a result, we will arrive at a method for pricing swaps that does not rely on any stochastic models for a stochastic stock price or stochastic volatility, and instead relies on data/statistics. A data/statistics-based approach to swap pricing is very different from stochastic volatility models such as the Cox–Ingresoll–Ross (CIR) model, which, in comparison, follows a stochastic differential equation. Although there are many other stochastic models that provide an approach to calculating the price of swaps, we will use the CIR model for comparison within this paper, due to the popularity of the CIR model. Therefore, in this paper, we will compare the CIR model approach to pricing swaps to the pseudo-statistic approach to pricing swaps, in order to compare a stochastic model to the data/statistics-based approach to swap pricing that is developed within this paper. [ABSTRACT FROM AUTHOR]

In this paper, an improved stochastic averaging method is introduced to solve a monostable piezoelectric vibration energy harvester (VEH) model subject to basal Gaussian white and colored noises. First, the electric voltage is expressed as perturbations to the linear stiffness term and the damping term of the vibrational equation. Second, the original model is simplified into an Itô differential equation by the improved stochastic averaging method. Third, stationary solution of the Fokker–Plank–Kolmogorov function driven from the Itô equation is obtained, so that the stationary probability density functions (PDFs) of the displacement, velocity, and electrical voltage are obtained. With the help of the Monte Carlo, the effectiveness of these theoretical predictions is verified. Finally, the impacts of the nonlinear stiffness coefficient and nonlinear inertia coefficient on the responses are compared. It is found that the stiffness nonlinearity has stronger effect on the outputn electric voltage than the inertia nonlinearity. [ABSTRACT FROM AUTHOR]

The existence of solutions of non-instantaneous impulsive Hilfer–Katugampola fractional differential equations of order $ 1/2 \lt \alpha \lt 1 $ 1 / 2 < α < 1 and parameter $ 0\leq \beta \leq 1 $ 0 ≤ β ≤ 1 with fractional Brownian motion (fBm) and Poisson jumps is investigated in this paper. The required results are obtained based on fractional calculus, stochastic analysis, semigroups, and the fixed point theorem. In the end of the paper, an example is provided to illustrate the applicability of the theoretical results. [ABSTRACT FROM AUTHOR]

This paper deals with a class of backward stochastic differential equations driven by fractional Brownian motion (with Hurst parameter H greater than 1/2) with time-delayed generators. In this type of equation, a generator at time t can depend on the values of a solution in the past, weighted with a time-delay function, for instance, of the moving average type. We establish an existence and uniqueness result of solutions for a sufficiently small time horizon or for a sufficiently small Lipschitz constant of a generator. The stochastic integral used throughout the paper is the divergence operator-type integral. [ABSTRACT FROM AUTHOR]

In this paper, we consider a compartmental model to fit the real data of confirmed active cases with COVID-19 in Portugal, from March 2, 2020 until September 10, 2021 in the Primary Care Cluster in Aveiro region, ACES BV, reported to the Public Health Unit. The model includes a deterministic component based on ordinary differential equations and a stochastic component based on bootstrap methods in regression. The main goal of this work is to take into account the variability underlying the data set and analyse the estimation accuracy of the model using a residual bootstrapped approach in order to compute confidence intervals for the prediction of COVID-19 confirmed active cases. All numerical simulations are performed in R environment (R version. 4.0.5). The proposed algorithm can be used, after a suitable adaptation, in other communicable diseases and outbreaks. [ABSTRACT FROM AUTHOR]

In 2015, Mao (J. Comput. Appl. Math., 290, 370–384, 2015) proposed the truncated Euler-Maruyama (EM) method for stochastic differential equations (SDEs) under the local Lipschitz condition plus the Khasminskii-type condition. Adapting the truncation idea from Mao (J. Comput. Appl. Math., 290, 370–384, 2015) and Mao (Appl. Numer. Math., 296, 362–375, 2016), lots of modified truncated EM methods are proposed (see, e.g., Guo et al. (Appl. Numer. Math., 115, 235–251, 2017,) and Lan and Xia (J. Comput. Appl. Math., 334, 1–17, 2018) and Li et al. (IMA J. Numer. Anal., 39(2), 847–892, 2019) and the references therein). These truncated-type EM methods Mao (J. Comput. Appl. Math., 290, 370–384, 2015) and Mao (Appl. Numer. Math., 296, 362–375, 2016) and Guo et al. (Appl. Numer. Math., 115, 235–251, 2017,) and Lan and Xia (J. Comput. Appl. Math., 334, 1–17, 2018) and Li et al. (IMA J. Numer. Anal., 39(2), 847–892, 2019) construct the numerical solutions by defining an appropriate truncation projection, then applying the truncation projection to the numerical solutions before substituting them into the coefficients in each iteration. In this paper, we develop a new class of explicit schemes for superlinear stochastic differential equations with piecewise continuous arguments (SDEPCAs), which are defined by directly truncating the coefficients. Our method has a more simple structure and is easier to implement. We not only show the explicit schemes converge strongly to SDEPCAs but also demonstrate the convergence rate is optimal 1/2. A numerical example is provided to demonstrate the theoretical results. [ABSTRACT FROM AUTHOR]

Network inference has been extensively studied in several fields, such as systems biology and social sciences. Learning network topology and internal dynamics is essential to understand mechanisms of complex systems. In particular, sparse topologies and stable dynamics are fundamental features of many real-world continuous-time (CT) networks. Given that usually only a partial set of nodes are able to observe, we consider linear CT systems to depict networks since they can model unmeasured nodes via transfer functions. Additionally, measurements tend to be noisy and with low and varying sampling frequencies. This paper applies dynamical structure functions (DSFs) derived from linear stochastic differential equations (SDEs) to describe networks of measured nodes. A numerical sampling method, preconditioned Crank–Nicolson (pCN), is used to refine coarse-grained trajectories to improve inference accuracy. The proposed method can handle sparsely sampled data and unmeasurable nodes. Monte Carlo simulations indicate that the proposed method outperforms state-of-the-art methods with various network topologies. The developed method can be applied under a wide range of contexts, such as gene regulatory networks, social networks and communication systems. [ABSTRACT FROM AUTHOR]

Angular random walk (ARW), rate random walk (RRW), and bias instability (BI) are the main noise types in inertial measurement units (IMUs) and thus determine the navigation performance of IMUs. BI is the flicker noise, which determines the noise level of an inertial sensor. The traditional error modeling approach involves modeling the ARW and BI processes as RRW or Gauss–Markov (GM) processes, and this approach is applied as a suboptimal filter in the global navigation satellite system (GNSS)/inertial navigation system (INS) extended Kalman filter (EKF). In this paper, the random error identification processes for white noise and colored noise for inertial sensors are separated using the Allan variance and power spectral density methods and the equivalence of the stochastic process differential equations of bias instability and a combination of multiple first-order GM processes are derived. A colored noise compensation method is proposed based on the enhanced EKF model. Experimental results demonstrate that, compared to traditional error models, our proposed model reduces positional drift error in dynamic testing from 195 to 49 m, enhancing positional accuracy by 40.2%. These findings confirm the potential and superiority of our method in complex navigation environments. [ABSTRACT FROM AUTHOR]

Aiming at the problem of high failure rate and inconvenient maintenance of wind turbine gearboxes, this paper establishes a stochastic differential equation model that can be used to fit the change of gearbox oil temperature and adopts an iterative computational method and Markov-based modified optimization to fit the prediction sequence in order to realize the accurate prediction of gearbox oil temperature. The model divides the oil temperature change of the gearbox into two parts, internal aging and external random perturbation, adopts the approximation theorem to establish the internal aging model, and uses Brownian motion to simulate the external random perturbation. The model parameters were calculated by the Newton–Raphson iterative method based on the gearbox oil temperature monitoring data. Iterative calculations and Markov-based corrections were performed on the model prediction data. The gearbox oil temperature variations were simulated in MATLAB, and the fitting and testing errors were calculated before and after the iterations. By comparing the fitting and testing errors with the ordinary differential equations and the stochastic differential equations before iteration, the iterated model can better reflect the gear oil temperature trend and predict the oil temperature at a specific time. The accuracy of the iterated model in terms of fitting and prediction is important for the development of preventive maintenance. [ABSTRACT FROM AUTHOR]

This paper presents a novel approach to identify an optimal coefficient for evaluating a player's batting average, strike rate, and bowling average, aimed at achieving an optimal team score through dynamic modeling using a path integral method. Additionally, it introduces a new model for run dynamics, represented as a stochastic differential equation, which factors in the average weather conditions at the cricket ground, the specific weather conditions on the match day (including abrupt changes that may halt the game), total attendance, and home field advantage. An analysis of real data is been performed to validate the theoretical results. [ABSTRACT FROM AUTHOR]

In this paper, we are interested in the optimal investment and reinsurance strategies of an insurer who wishes to maximize the expected power utility of its terminal wealth on finite time horizon. We are also interested in the problem of maximizing the growth rate of expected power utility per unit time on the infinite time horizon. The risk process of the insurer is described by an approximation of the classical Cramér–Lundberg process. The insurer invests in a market consisting of a bank account and multiple risky assets. The mean returns of the risky assets depend linearly on economic factors that are formulated as the solutions of linear stochastic differential equations. With this setting, Hamilton–Jacobi–Bellman equations that are derived via a dynamic programming approach have explicit solution obtained by solving a matrix Riccati equation. Hence, the optimal investment and reinsurance strategies can be constructed explicitly. Finally, we present some numerical results related to properties of our optimal strategy and the ruin probability using the optimal strategy. [ABSTRACT FROM AUTHOR]

This paper implements the stochastic filters for state and parameter estimation of nonuniform transmission lines (NTL). In general, transmission line (TL) problem is a continuous time and space problem. By taking the line loading noise into account, the TL equations become a stochastic partial differential equation (PDE) rather than a simple set of coupled finite stochastic differential equations (SDE). By transforming the spatial variables into the Fourier domain, the stochastic PDE can be transformed into an infinite sequence of SDE. After truncation to a finite set of Fourier series coefficients, it becomes a finite set of coupled linear SDE, which is the required domain in which extended Kalman filter (EKF) and unscented Kalman filter (UKF) can be applied. For state space equation of EKF and UKF, the voltage and current of periodic NTL are expanded into an infinite set of spatial harmonics. In this way, the voltage and current measurement of NTL become an eigenvalue problem. The NTL is considered as cascade of small infinite NTL and the four distributed primary parameters of the periodic NTL are expressed using Fourier series expansion. Finally, the Kalman filter (KF)-based state estimation and the EKF- and UKF-based parameter estimation have been compared with recursive least squares (RLS) method. The simulation results present the superiority of the method. [ABSTRACT FROM AUTHOR]

In this paper, we focus on fractional stochastic differential equations (FSDEs) with a stochastic forcing term, i.e., to FSDE, we add a stochastic forcing term. Using the implicit scheme of Euler's approximation, the conditions for the existence and uniqueness of the solution of FSDEs with a stochastic forcing term are established. Such equations can be applied to considering FSDEs with a permeable wall. [ABSTRACT FROM AUTHOR]

While scanning or shooting a document, factors like ink density and paper transparency may cause the content from the reverse side to become visible through the paper, resulting in a digital image with a 'seen-through' phenomenon, which will affect practical applications. In addition, document images can be affected by random factors during the imaging process, such as differences in the performance of camera equipment and variations in the physical properties of the document itself. These random factors increase the noise of the document image and may cause the seen-through phenomena to become more complex and diverse. To tackle this issue, we propose the Fuzzy Diffusion Model (FDM), which combines fuzzy logic with diffusion models. It effectively models complex seen-through effects and handles uncertainties in document images. Specifically, we gradually degrade the original image with mean-reverting stochastic differential equation(SDE) to transform it into seen-through mean state with fixed Gaussian noise version. Following this, fuzzy operations are introduced into the noise network. Which helps the model better learn noise and data distributions by reasoning about the affiliation relationship of each pixel point through fuzzy logic. Eventually, in the reverse process, the low-quality image is gradually restored by simulating the corresponding reverse-time SDE. Extensive quantitative and qualitative experiments conducted on various datasets demonstrate that the proposed method significantly removes the seen-through effects and achieves good results under several metrics. The proposed FDM effectively solves the seen-through effects of document images and obtains better visual quality. [ABSTRACT FROM AUTHOR]

In this paper, we deal with the global approximation of solutions of stochastic differential equations (SDEs) driven by countably dimensional Wiener process. Under certain regularity conditions imposed on the coefficients, we show lower bounds for exact asymptotic error behaviour. For that reason, we analyse separately two classes of admissible algorithms: based on equidistant, and possibly not equidistant meshes. Our results indicate that in both cases, decrease of any method error requires significant increase of the cost term, which is illustrated by the product of cost and error diverging to infinity. This is, however, not visible in the finite-dimensional case. In addition, we propose an implementable, path-independent Euler algorithm with adaptive step-size control, which is asymptotically optimal among algorithms using specified truncation levels of the underlying Wiener process. Our theoretical findings are supported by numerical simulation in Python language. [ABSTRACT FROM AUTHOR]

In this paper, we study the approximate controllability of certain class of impulsive evolution stochastic functional differential equations, with variable delays, driven by a fractional Brownian motion in a separable real Hilbert space. We derive a new set of sufficient conditions for approximate controllability using a stochastic analysis of fractional Brownian motion with Hurst parameter H ∈ (1/2,1) and a Schaefer's fixed point theorem. An example is considered at the end of the paper to illustrate the obtained abstract results. [ABSTRACT FROM AUTHOR]

In this paper we further develop a notion of causal predictability defined in [A. Merkle, Predictability and Uniqueness of Weak Solutions of Stochastic Differential Equations, Analele Stiintifice ale Universitatii Ovidius Constanta, 2022] as a concept of dependence which is based on Granger's definition of causality. More precisely, in [A. Merkle, Predictability and Uniqueness of Weak Solutions of Stochastic Differential Equations, Analele Stiintifice ale Universitatii Ovidius Constanta, 2022] causal predictability is defined between filtrations, but now we introduce causal predictability between stochastic processes and filtrations. Also, we provide some properties of this new concept. Then we apply the given causality concept to the uniqueness of weak solutions of the stochastic differential equations and in financial mathematics. Granger [Investigating causal relations by econometric models and cross spectral methods, Econometrica. 37 (1969), pp. 424–438] has considered causality concept between time series. In this paper we consider continuous time processes, since continuous time models represent the first step in various applications, such as in finance, econometric practice, neuroscience, epidemiology, climatology, demographic, etc. [ABSTRACT FROM AUTHOR]

A formal approach to rephrasing nonlinear filtering of stochastic differential equations is the Kushner setting in applied mathematics and dynamical systems. Thanks to the ability of the Carleman linearization, the 'nonlinear' stochastic differential equation can be equivalently expressed as a finite system of 'bilinear' stochastic differential equations with the augmented state under the finite closure. Interestingly, the novelty of this paper is to embed the Carleman linearization into a stochastic evolution of the Markov process. The nonlinear swing equation is the cornerstone and lays the foundation of the power systems dynamics. To illustrate the Carleman linearization of the Markov process, this paper embeds the Carleman linearization into a nonlinear swing stochastic differential equation. Furthermore, we achieve the nonlinear swing equation filtering in the Carleman setting. Filtering in the Carleman setting has simplified algorithmic procedures. The concerning augmented state accounts for the nonlinearity as well as stochasticity. We show that filtering the nonlinear stochastic swing equation in the Carleman framework is more refined as well as sharper in contrast to the benchmark nonlinear extended Kalman filter (EKF). The Carleman filtering framework reduces approximately three times more conditional mean absolute errors as compared to the benchmark EKF method for the application of machine swing dynamics. This paper suggests the usefulness of the Carleman embedding into the stochastic differential equation to filter the concerning nonlinear stochastic differential system. This paper will interest nonlinear stochastic dynamists exploring and unfolding linearization embedding techniques to their research. [ABSTRACT FROM AUTHOR]

A balanced ecosystem with coexisting constituent species is often perturbed by different natural events that persist only for a finite duration of time. What becomes important is whether, in the aftermath, the ecosystem recovers its balance or not. Here we study the fate of an ecosystem by monitoring the dynamics of a particular species that encounters a sudden increase in death rate. For exploration of the fate of the species, we use Monte-Carlo simulation on a three-species cyclic rock-paper-scissor model. The density of the affected (by perturbation) species is found to drop exponentially immediately after the pulse is applied. In spite of showing this exponential decay as a short-time behavior, there exists a region in parameter space where this species surprisingly remains as a single survivor, wiping out the other two which had not been directly affected by the perturbation. Numerical simulations using stochastic differential equations of the species give consistency to our results. [ABSTRACT FROM AUTHOR]

Distribution-dependent stochastic differential equations (DDSDEs, in short), also called as McKean–Vlasov SDEs, are a special class of SDEs and have some concrete applications in mean-field control, mean-field games and complex networks. Stability plays fundamental role among the theory and applications for DDSDEs. In this paper, we discuss a class of distribution-dependent stochastic differential equations driven by time-changed Brownian motions (TDDSDEs, in short). The main aim of this paper is to establish the stability for TDDSDEs. Sufficient conditions are provided to guarantee the solutions to be stable in different senses with regard to a part of the variables in terms of a Lyapunov function. Two examples are given to show the usefulness of the obtained theoretical results. [ABSTRACT FROM AUTHOR]

In this paper, we study the Wong-Zakai approximations of a stochastic lattice differential equation with long-range interactions and multiplicative white noise at each node. We first prove the existence and uniqueness of pullback random attractors for lattice system driven by multiplicative white noises as well as the corresponding Wong-Zakai approximate system. Then, we prove the convergence of solutions and the upper semicontinuity of random attractors for theWong-Zakai approximate system as the size of approximation approaches zero. [ABSTRACT FROM AUTHOR]

This paper aims to study the processing and repairing methods of blurred images, promote the development of partial differential equations in the field of image processing, and expand the application of stochastic fuzzy differential equations in the field of image processing and repair. This study starts with a typical blurred image repair method. First, a comparative analysis of several common blurred image repair methods including Wiener filtering restoration, inverse filtering restoration, and Lucy–Richardson (L-R) filtering restoration is performed. Second, based on the linear partial differential equation learning model (LPDE), the concept of fuzzy integral is introduced, and an improved stochastic fuzzy partial differential equation learning model (SFCPDE) is proposed. The effect of the learning model before and after improvement on blurred color image processing is compared and analyzed. Finally, based on the total variation (TV) blurred image repair algorithm, an improved TV blurred image repair algorithm is proposed. The comparison and analysis of the repair effects of several blurred image repair algorithms are performed. The results show that there are obvious differences in the repairing methods with or without noise. Inverse filtering works best when there is no noise. L-R filtering has the disadvantage of amplifying noise. Compared with LDPE, the training speed of SFCPDE is significantly improved, and the training error is less than LDPE. The SFCPDE learning model performs better in the processing of blurred color images. After 10 iterations, the improved TV algorithm is significantly better than the TV algorithm and the CDD algorithm in repairing blurred images. The PSNR value of the TV algorithm and the curvature-driven diffusion (CDD) algorithm after 10 iterations corresponds to about 60% of the PSNR value of the improved algorithm. The algorithms and models of stochastic fuzzy partial differential equations proposed in this paper have great application potential in the processing and repair of multiple blurred images. [ABSTRACT FROM AUTHOR]

Stochastic differential equations (SDEs) are very useful in modeling many problems in biology, economic data, turbulence, and medicine. Fractional Brownian motion (fBm) and variable‐order fractional Brownian motion (vofBm) are suitable alternatives to standard Brownian motion (sBm) for describing and modeling many phenomena, since the increments of these processes are dependent of the past and for H>12$$ \mathcal{H}>\frac{1}{2} $$ these increments have the property of long‐term dependence. Classical mathematical techniques such as Ito's calculus do not work for stochastic computations on fBm and vofBm due to they are not semi‐Martingale for H(ξ)≠12$$ \mathcal{H}\left(\xi \right)\ne \frac{1}{2} $$. Therefore, solving these equations is much more difficult than solving SDEs with sBm. On the other hand, these equations do not have an analytical solution, so we have to use numerical methods to find their solution. In this paper, a computational approach based on hybrid of block‐pulse and parabolic functions (HBPFs) has been introduced for simulating vofBm and solving a modern class of SDEs. The mechanism of this approach is based on stochastic and fractional integration operational matrices, which transform the intended problem to a nonlinear system of algebraic equations. Thus, the complexity of solving the mentioned problem is reduced significantly. Also, convergence analysis of the expressed method has been theoretically examined. Finally, the accuracy and efficiency of the proposed algorithm have been experimentally investigated through some test problems and comparison of obtained results with results of previous papers. High accurate numerical results are obtained by using a small number of basic functions. Therefore, this method deals with smaller matrices and vectors, which is one of the most important advantage of our suggested method. Also, presenting an applicable procedure to construct vofBm is another innovation of this work. To gain this aim, at first, discretized sBm is generated via fundamental features of this process, and afterward, block‐pulse functions (BPFs) and HBPFs are utilized for simulating discretized vofBm. Finally, spline interpolation method has been employed to provide a continuous path of vofBm. [ABSTRACT FROM AUTHOR]

This paper is concerned with the linear delayed forward–backward stochastic differential equations (D-FBSDEs). The existence of time delay leads to the infinite-dimensional problem which makes the explicit solvability more challenging. The main contribution is to propose a discretisation approach which gives the explicit solution of the D-FBSDEs and consists of the following three steps: first, we transform the continuous-time D-FBSDEs into the discrete-time form with the aid of interval partition. Second, we derive the solution of the discrete-time D-FBSDEs by applying backward iterative induction. Finally the explicit solution of the continuous-time D-FBSDEs is obtained by taking the limit to the solution of discrete-time form which is also strictly proved under continuous-time framework. The proposed approach is applicable for more general FBSDEs with delay, which would provide a complete solution to the stochastic LQ control with time delay. [ABSTRACT FROM AUTHOR]

In this paper, we investigate a reflected backward stochastic differential equation (RBSDE) with jumps, focusing on cases where the mean reflection is nonlinear. Unlike traditional RBSDEs, this particular type of RBSDE imposes a constraint defined by the mean of a loss function that does not follow the continuous condition. We start by deriving an a priori estimate of the solution, followed by establishing the uniqueness and existence of the solution. Theoretical results are illustrated by way of an example of the application of super‐hedging to the reinsurance and investment problem under a risk constraint. [ABSTRACT FROM AUTHOR]

The main novelty of this paper lies in five aspects. (1) Our study on the fractional-order derivative stochastic Ginzburg–Landau equation (FODSGLE) has resulted in numerous exact solutions using Jacobian elliptic functions (JEFs). These solutions offer valuable insights into complex physical phenomena and have practical implications across various fields. (2) By examining the effect of noise on FODSGLE solutions, we found consistent behavior regardless of the form of fractional derivatives. As noise intensity increases, the solutions deteriorate and tend toward zero. This study contributes to the existing literature by providing new insights and surpassing previous efforts in understanding the dynamics of FODSGLE. (3) Our research investigates how fractional order affects noise in solutions of the FODSGLE. Surprisingly, we found that changes in the fractional order (α) have minimal influence on the system when the noise intensity (σ) is fixed. This indicates an aspect that has not been addressed extensively in existing literatures. (4) We compare different types of fractional derivatives within the context of the FODSGLE, presenting a novel contribution, while keeping the noise intensity or fractional order fixed. Our results demonstrate that the CFOD closely aligns with the MFOD, while displaying more differences with the solutions obtained using the BFOD. This comparison sheds light on an aspect that has not been thoroughly investigated in previous literatures. (5) This paper delves into the phase portraits of the FODSGLE and investigates the associated sensitivity and chaotic behaviors. Notably, previous studies on the stochastic Ginzburg–Landau equation (SGLE) have not extensively examined this aspect. By analyzing the phase portraits, we gain valuable insights into the dynamics and stability of FODSGLE solutions, uncovering intricate behaviors within the system. Our exploration of sensitivity and chaotic behaviors adds another dimension to understanding the (FODSGLE), laying a foundation for further research in this domain. [ABSTRACT FROM AUTHOR]

This paper studies stochastic control problems with the action space taken to be probability measures, with the objective penalized by the relative entropy. We identify a suitable metric space on which we construct a gradient flow for the measure-valued control process, in the set of admissible controls, along which the cost functional is guaranteed to decrease. It is shown that any invariant measure of this gradient flow satisfies the Pontryagin optimality principle. If the problem we work with is sufficiently convex, the gradient flow converges exponentially fast. Furthermore, the optimal measure-valued control process admits a Bayesian interpretation, which means that one can incorporate prior knowledge when solving such stochastic control problems. This work is motivated by a desire to extend the theoretical underpinning for the convergence of stochastic gradient type algorithms widely employed in the reinforcement learning community to solve control problems. [ABSTRACT FROM AUTHOR]