Dynamical properties and characterization of gradient drift diffusions (2007)
Darses, Sébastien; Boston University; Darses@math.bu.edu, Nourdin, Ivan; University Paris VI; Nourdin@ccr.jussieu.fr
We study the dynamical properties of the Brownian diffusions having σ Id as diffusion coefficient matrix and b=∇U as drift vector. We characterize this class through the equality...
Asymptotic expansions at any time for fractional scalar SDEs of Hurst index H>1/2 (2007)
Darses, Sébastien, Nourdin, Ivan
We study the asymptotic developments with respect to $h$ of E[D_h f(X_t)], E[D_h f(X_t)|F_t] and E[D_h f(X_t)|X_t], where D_h f(X_t)=f(X_{t+h})-f(X_t), when f:R->R is a smooth real function, t is a...
Asymptotic expansions at any time for fractional scalar SDEs of Hurst index H>1/2 (2007)
Darses, Sébastien, Nourdin, Ivan
We study the asymptotic developments with respect to $h$ of E[D_h f(X_t)], E[D_h f(X_t)|F_t] and E[D_h f(X_t)|X_t], where D_h f(X_t)=f(X_{t+h})-f(X_t), when f:R->R is a smooth real function, t is a...
Asymptotic developments at any time for fractional SDEs of Hurst index H>1/2 (2007)
Darses, Sébastien, Nourdin, Ivan
We study the asymptotic developments with respect to $h$ of E[D_h f(X_t)], E[D_h f(X_t)|F_t] and E[D_h f(X_t)|X_t], where D_h f(X_t)=f(X_{t+h})-f(X_t), when f:R->R is a smooth real function, t is a...
Asymptotic expansions at any time for fractional scalar SDEs of Hurst index H>1/2 (2007)
Darses, Sébastien, Nourdin, Ivan
We study the asymptotic developments with respect to $h$ of E[D_h f(X_t)], E[D_h f(X_t)|F_t] and E[D_h f(X_t)|X_t], where D_h f(X_t)=f(X_{t+h})-f(X_t), when f:R->R is a smooth real function, t is a...
Differentiating sigma-fields for Gaussian and shifted Gaussian processes (2007)
Darses, Sébastien, Nourdin, Ivan, Peccati, Giovanni
We study the notions of differentiating and non-differentiating sigma-fields in the general framework of (possibly drifted) Gaussian processes, and characterize their invariance properties under...
Differentiating sigma-fields for Gaussian and shifted Gaussian processes (2007)
Darses, Sébastien, Nourdin, Ivan, Peccati, Giovanni
We study the notions of differentiating and non-differentiating sigma-fields in the general framework of (possibly drifted) Gaussian processes, and characterize their invariance properties under...
Differentiating sigma-fields for Gaussian and shifted Gaussian processes (2007)
Darses, Sébastien, Nourdin, Ivan, Peccati, Giovanni
We study the notions of differentiating and non-differentiating sigma-fields in the general framework of (possibly drifted) Gaussian processes, and characterize their invariance properties under...
Dynamical properties and characterization of gradient drift diffusions (2006)
Darses, Sébastien, Nourdin, Ivan
We study the dynamical properties of the Brownian diffusions having $\sigma\,{\rm Id}$ as diffusion coefficient matrix and $b=\nabla U$ as drift vector. We characterize this class through the...
Dynamical properties and characterization of gradient drift diffusions (2006)
Darses, Sébastien, Nourdin, Ivan
We study the dynamical properties of the Brownian diffusions having $\sigma {\rm Id}$ as diffusion coefficient matrix and $b=\nabla U$ as drift vector. We characterize this class through the equality...
Dynamical properties and characterization of gradient drift diffusions (2006)
Darses, Sébastien, Nourdin, Ivan
We study the dynamical properties of the Brownian diffusions having $\sigma\,{\rm Id}$ as diffusion coefficient matrix and $b=\nabla U$ as drift vector. We characterize this class through the...
Stochastic derivatives for fractional diffusions (2006)
Darses, Sébastien, Nourdin, Ivan
In this paper, we introduce some fundamental notions related to the so-called stochastic derivatives with respect to a given sigma-field Q. In our framework, we recall well known results about Markov...
Stochastic derivatives for fractional diffusions (2006)
Darses, Sébastien, Nourdin, Ivan
In this paper, we introduce some fundamental notions related to the so-called stochastic derivatives with respect to a given sigma-field Q. In our framework, we recall well known results about Markov...
Stochastic derivatives for fractional diffusions (2006)
Darses, Sébastien, Nourdin, Ivan
In this paper, we introduce some fundamental notions related to the so-called stochastic derivatives with respect to a given sigma-field Q. In our framework, we recall well known results about Markov...
Stochastic derivatives for fractional diffusions (2006)
Darses, Sébastien, Nourdin, Ivan
In this paper, we introduce some fundamental notions related to the so-called stochastic derivatives with respect to a given sigma-field Q. In our framework, we recall well known results about Markov...
Stochastic derivatives for fractional diffusions (2006)
Darses, Sébastien, Nourdin, Ivan
In this paper, we introduce some fundamental notions related to the so-called stochastic derivatives with respect to a given sigma-field Q. In our framework, we recall well known results about Markov...
Stochastic derivatives for fractional diffusions (2006)
Darses, Sébastien, Nourdin, Ivan
In this paper, we introduce some fundamental notions related to the so-called stochastic derivatives with respect to a given sigma-field Q. In our framework, we recall well known results about Markov...
Stochastic derivatives for fractional diffusions (2006)
Darses, Sébastien, Nourdin, Ivan
In this paper, we introduce some fundamental notions related to the so-called stochastic derivatives with respect to a given $\sigma$-field $\mathcal{Q}$. In our framework, we recall well-known...
Lemme de coherence et théorème de Noether stochastique (2005)
Cresson, Jacky, Darses, Sébastien
The stochastic embedding procedure associates a stochastic Euler-Lagrange equation (SEL) to the standard Euler-Lagrange equation (EL). Can we derive (SEL) from a generalized least action principle?...
Plongement stochastique des systèmes lagrangiens (2005)
Cresson, Jacky, Darses, Sébastien
We define an operator which extends classical differentiation from smooth deterministic functions to certain stochastic processes. Based on this operator, we define a procedure which associates a...
Lemme de coherence et théorème de Noether stochastique (2005)
Cresson, Jacky, Darses, Sébastien
The stochastic embedding procedure associates a stochastic Euler-Lagrange equation (SEL) to the standard Euler-Lagrange equation (EL). Can we derive (SEL) from a generalized least action principle?...
Plongement stochastique des systèmes lagrangiens (2005)
Cresson, Jacky, Darses, Sébastien
We define an operator which extends classical differentiation from smooth deterministic functions to certain stochastic processes. Based on this operator, we define a procedure which associates a...
Lemme de coherence et théorème de Noether stochastique (2005)
Cresson, Jacky, Darses, Sébastien
The stochastic embedding procedure associates a stochastic Euler-Lagrange equation (SEL) to the standard Euler-Lagrange equation (EL). Can we derive (SEL) from a generalized least action principle?...
Plongement stochastique des systèmes lagrangiens (2005)
Cresson, Jacky, Darses, Sébastien
We define an operator which extends classical differentiation from smooth deterministic functions to certain stochastic processes. Based on this operator, we define a procedure which associates a...
Plongement stochastique des syst\`{e}mes lagrangiens (2005)
Cresson, Jacky, Darses, Sébastien
We define an operator which extends classical differentiation from smooth deterministic functions to certain stochastic processes. Based on this operator, we define a procedure which associates a...
Lemme de coherence et th\'{e}or\`{e}me de Noether stochastique (2005)
Cresson, Jacky, Darses, Sébastien
The stochastic embedding procedure associates a stochastic Euler-Lagrange equation (SEL) to the standard Euler-Lagrange equation (EL). Can we derive (SEL) from a generalized least action principle?...
Lemme de coherence et théorème de Noether stochastique (2005)
Cresson, Jacky, Darses, Sébastien
The stochastic embedding procedure associates a stochastic Euler-Lagrange equation (SEL) to the standard Euler-Lagrange equation (EL). Can we derive (SEL) from a generalized least action principle?...
Plongement stochastique des systèmes lagrangiens (2005)
Cresson, Jacky, Darses, Sébastien
We define an operator which extends classical differentiation from smooth deterministic functions to certain stochastic processes. Based on this operator, we define a procedure which associates a...
Stochastic embedding of dynamical systems (2005)
Cresson, Jacky, Darses, Sébastien
Most physical systems are modelled by an ordinary or a partial differential equation, like the n-body problem in celestial mechanics. In some cases, for example when studying the long term behaviour...
Stochastic embedding of dynamical systems (2005)
Cresson, Jacky, Darses, Sébastien
Most physical systems are modelled by an ordinary or a partial differential equation, like the n-body problem in celestial mechanics. In some cases, for example when studying the long term behaviour...
Stochastic embedding of dynamical systems (2005)
Cresson, Jacky, Darses, Sébastien
Most physical systems are modelled by an ordinary or a partial differential equation, like the n-body problem in celestial mechanics. In some cases, for example when studying the long term behaviour...
Stochastic embedding of dynamical systems (2005)
Cresson, Jacky, Darses, Sébastien
Most physical systems are modelled by an ordinary or a partial differential equation, like the n-body problem in celestial mechanics. In some cases, for example when studying the long term behaviour...
Stochastic embedding of dynamical systems (2005)
Cresson, Jacky, Darses, Sébastien
Most physical systems are modelled by an ordinary or a partial differential equation, like the n-body problem in celestial mechanics. In some cases, for example when studying the long term behaviour...