System Of Stochastic Differential Equations Research Articles

From ABC to KPZ

AbstractWe study the equilibrium fluctuations of an interacting particle system evolving on the discrete ring with $$N\in {\mathbb {N}}$$ N ∈ N points, denoted by $${\mathbb {T}}_N$$ T N , and with three species of particles that we name A, B and C, but such that at each site there is only one particle. We prove that proper choices of density fluctuation fields (that match those from nonlinear fluctuating hydrodynamics theory) associated to the (two) conserved quantities converge, in the limit $$N\rightarrow \infty $$ N → ∞ , to a system of stochastic partial differential equations, that can either be the Ornstein–Uhlenbeck equation or the Stochastic Burgers equation. To understand the cross interaction between the two conserved quantities, we derive a general version of the Riemann–Lebesgue lemma which is of independent interest.

Numerical method and error estimate for stochastic Landau–Lifshitz–Bloch equation

Abstract In this paper we study numerical methods for solving a system of quasilinear stochastic partial differential equations known as the stochastic Landau–Lifshitz–Bloch (LLB) equation on a bounded domain in ${\mathbb{R}}^{d}$ for $d=1,2$. Our main results are estimates of the rate of convergence of the Finite Element Method to the solutions of stochastic LLB. To overcome the lack of regularity of the solution in the case $d=2$, we propose a Finite Element scheme for a regularized version of the equation. We then obtain error estimates of numerical solutions and for the solution of the regularized equation as well as the rate of convergence of this solution to the solution of the stochastic LLB equation. As a consequence, the convergence in probability of the approximate solutions to the solution of the stochastic LLB equation is derived. A stronger result is obtained in the case $d=1$ due to a new regularity result for the LLB equation which allows us to avoid regularization.

Dynamics of a ratio-dependent three-species food-chain system in a random environment

We consider a system of stochastic differential equations, which is established by introducing white noises into a periodic and ratio-dependent food-chain system of three-species. We investigate the asymptotic behaviors for such a system, and obtain the sufficient conditions for its extinction and persistence with the help of Itô’s formula. We discuss the existence of a nontrivial positive periodic solution based on Has’minskii theory of periodic solution. Further, we study a ratio-dependent food-chain system of three-species including not only white noise but also telephone noise. For such a model, we give the sufficient conditions to guarantee the existence of a unique ergodic stationary distribution.

Existence results for a coupled system of fractional stochastic differential equations involving Hilfer derivative

Abstract In this paper, we consider a coupled system of fractional stochastic differential equations involving the Hilfer derivative of order 1 2 < α < 1 {\frac{1}{2}<\alpha<1} . Under some assumptions, we prove the existence of mild solutions for our system based on Perov’s and Schaefer’s fixed point theorems. An example illustrating our result is provided.

Existence of global and explosive mild solutions of fractional reaction–diffusion system of semilinear SPDEs with fractional noise

In this paper, we investigate the existence and finite-time blow-up for the solution of a reaction–diffusion system of semilinear stochastic partial differential equations (SPDEs) subjected to a two-dimensional fractional Brownian motion given by [Formula: see text] for [Formula: see text], along with [Formula: see text] where [Formula: see text] is the fractional power [Formula: see text] of the Laplacian, [Formula: see text] and [Formula: see text] and [Formula: see text] are real constants. We provide sufficient conditions for the existence of a global weak solution. Under the assumption that [Formula: see text] with Hurst index [Formula: see text] we obtain the blow-up times for an associated system of random partial differential equations in terms of an integral representation of exponential functions of Brownian motions. Moreover, we provide lower and upper bounds for the finite-time blow-up of the above system of SPDEs and obtain the upper bounds for the probability of non-explosive solution to our considered system.

Stochastic Modeling of Human Civilizationʹs Future under Competing AI Influences

This study explores the potential trajectories of human civilization influenced by the development and competition of advanced artificial intelligence (AI) systems. Using a system of stochastic partial differential equations (SPDEs), we model the probability density function representing the state of civilization in a phase space defined by prosperity and knowledge. The model incorporates diffusion, growth, saturation, and drift terms, alongside stochastic noise to reflect the uncertainties and random fluctuations in AI impacts. The simulation results are visualized in a probability density graph, revealing the likelihood of various outcomes ranging from extinction and regression, to prosperity and technological advancement. The analysis highlights the balanced prospects of human future, with significant probabilities in both positive and negative directions. Positive scenarios suggest potential for increased prosperity and knowledge, emphasizing the importance of effective AI management and international cooperation. Conversely, the notable risks of regression and extinction underline the need for strategic interventions to mitigate adverse impacts. Our findings stress the stochastic nature of future developments and the critical role of adaptive and flexible policies in steering human civilization towards favorable outcomes. This study provides a simple yet comprehensive framework for understanding the complex dynamics at play and underscores the importance of proactive strategies in the age of AI

Application of Ant Colony Programming Approach for Solving Systems of Stochastic Differential Equations

Stochastic differential equations (SDE) have wide applications in natural phenomena, engineering, finance, and biological models. Obtaining analytic solutions for an SDE is often complex, and the complexity increases for an SDE system. The paper introduces ant colony programming (ACP) as a novel approach for solving SDE system. Ant colony programming was developed in two directions, the first is to add the Wiener process as a variable to the terminals and functions, and the second is to construct the appropriate fitness function . ACP constructs mathematical expressions and evaluates them using the fitness function . The ACP proposed effectiveness has been demonstrated by applying to 2,3 and 4-dimensional SDE systems. The most important finding of this work is that ACP generates symbolic stochastic processes that represent solutions for SDE system. Methods for solving SDE systems are important tools for study phenomena that involve noise or randomness.

Stochastic electromechanical bidomain model *

We analyse a system of nonlinear stochastic partial differential equations (SPDEs) of mixed elliptic-parabolic type that models the propagation of electric signals and their effect on the deformation of cardiac tissue. The system governs the dynamics of ionic quantities, intra and extra-cellular potentials, and linearised elasticity equations. We introduce a framework called the active strain decomposition, which factors the material gradient of deformation into an active (electrophysiology-dependent) part and an elastic (passive) part, to capture the coupling between muscle contraction, biochemical reactions, and electric activity. Under the assumption of linearised elastic behaviour and a truncation of the nonlinear diffusivities, we propose a stochastic electromechanical bidomain model, and establish the existence of weak solutions for this model. To prove existence through the convergence of approximate solutions, we employ a stochastic compactness method in tandem with an auxiliary non-degenerate system and the Faedo–Galerkin method. We utilise a stochastic adaptation of de Rham’s theorem to deduce the weak convergence of the pressure approximations.

Modeling deterioration and predicting remaining useful life using stochastic differential equations

The deterioration of engineering systems might reduce the system reliability and prompt maintenance operations that may disrupt the ability of the systems to provide regular service. Estimating the Remaining Useful Life (RUL) of the system requires an understanding of the deterioration processes acting on it. Recent formulations have shifted the focus of deterioration modeling from the system as a whole to the individual, time-varying state-variables that define the characteristics of the system. These state-dependent formulations depend on the selected models for the evolution of the state-variables over time. However, most available models rely on simplifying assumptions that disregard the true nature of the processes, either by discretizing the time domain or by assuming independence among the several processes acting on the system. This paper proposes using a system of Stochastic Differential Equations (SDEs) to model the state variables' evolution. The proposed formulation captures the continuous nature of the processes and accounts for the possible interactions among them. In addition, results from stochastic calculus can be used to facilitate the simulation of the processes and to obtain closed-form solutions for the distribution of the state variables over time and the RUL of the system. Moreover, the proposed SDEs can be calibrated based on observations of the state variables, should those be obtained via testing/monitoring or simulations. A procedure for calibration is introduced, and several numerical examples are investigated to highlight the different scenarios encountered in practice. Finally, the proposed SDE formulation is used to predict the RUL of lithium-ion batteries using actual Structural Health Monitoring data.

OneSC: A computational platform for recapitulating cell state transitions.

Computational modelling of cell state transitions has been a great interest of many in the field of developmental biology, cancer biology and cell fate engineering because it enables performing perturbation experiments in silico more rapidly and cheaply than could be achieved in a wet lab. Recent advancements in single-cell RNA sequencing (scRNA-seq) allow the capture of high-resolution snapshots of cell states as they transition along temporal trajectories. Using these high-throughput datasets, we can train computational models to generate in silico 'synthetic' cells that faithfully mimic the temporal trajectories. Here we present OneSC, a platform that can simulate synthetic cells across developmental trajectories using systems of stochastic differential equations govern by a core transcription factors (TFs) regulatory network. Different from the current network inference methods, OneSC prioritizes on generating Boolean network that produces faithful cell state transitions and steady cell states that mimic real biological systems. Applying OneSC to real data, we inferred a core TF network using a mouse myeloid progenitor scRNA-seq dataset and showed that the dynamical simulations of that network generate synthetic single-cell expression profiles that faithfully recapitulate the four myeloid differentiation trajectories going into differentiated cell states (erythrocytes, megakaryocytes, granulocytes and monocytes). Finally, through the in-silico perturbations of the mouse myeloid progenitor core network, we showed that OneSC can accurately predict cell fate decision biases of TF perturbations that closely match with previous experimental observations.

Existence and Hyers–Ulam Stability of Stochastic Delay Systems Governed by the Rosenblatt Process

Under the effect of the Rosenblatt process, time-delay systems of nonlinear stochastic delay differential equations are considered. Utilizing the delayed matrix functions and exact solutions for these systems, the existence and Hyers–Ulam stability results are derived. First, depending on the fixed point theory, the existence and uniqueness of solutions are proven. Next, sufficient criteria for the Hyers–Ulam stability are established. Ultimately, to illustrate the importance of the results, an example is provided.

Approximate Solutions for Non-Linear Evolution Stochastic Equations with Variations of Drift Parameters

This paper considered system of stochastic differential equations with emphasis on variations of drift parameters as it affects financial markets. The Ito’s method was applied in solving the problems analytically which resulted to three different investment solutions accordingly. The appropriate conditions were accomplished which controlled various drift parameters in the assessment financial markets. Hence, the impressions on each solution of investors in financial markets were analyzed graphically. Finally, the influences of the relevant parameters of stochastic variables were effectively discussed all in this paper.

The Dynamics of the Hubbard Model Through Stochastic Calculus and Girsanov Transformation

As a typical quantum many body problem, we consider the time evolution of density matrix elements in the Bose-Hubbard model. For an arbitrary initial state, these quantities can be obtained from an SDE or stochastic differential equation system. To this SDE system, a Girsanov transformation can be applied. This has the effect that all the information from the initial state moves into the drift part, into the mean field part, of the transformed system. In the large N limit with g=UN\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$$g=UN$$\\end{document} fixed, the diffusive part of the transformed system vanishes and as a result, the exact quantum dynamics is given by an ODE system which turns out to be the time dependent discrete Gross Pitaevskii equation. For the two site Bose-Hubbard model, the GP equation reduces to the mathematical pendulum and the difference of expected number of particles at the two lattice sites is equal to the velocity of that pendulum which is either oscillatory or it can have rollovers which then corresponds to the self trapping or insulating phase. As a by-product, we also find an equivalence of the mathematical pendulum with a quartic double well potential. Collapse and revivals are a more subtle phenomenom, in order to see these the diffusive part of the SDE system or quantum corrections have to be taken into account. This can be done with an approximation and collapse and revivals can be reproduced, numerically and also through an analytic calculation. Since expectation values of Fresnel or Wiener diffusion processes, we write the density matrix elements exactly in this way, can be obtained from parabolic second order PDEs, we also obtain various exact PDE representations. The paper has been written with the goal to come up with an efficient calculation scheme for quantum many body systems and as such the formalism is generic and applies to arbitrary dimension, arbitrary hopping matrices and, with suitable adjustments, to fermionic models.

Non-adaptive estimation for degenerate diffusion processes

We consider a degenerate system of stochastic differential equations. The first component of the system has a parameter θ 1 \theta _1 in a non-degenerate diffusion coefficient and a parameter θ 2 \theta _2 in the drift term. The second component has a drift term with a parameter θ 3 \theta _3 and no diffusion term. Parametric estimation of the degenerate diffusion system is discussed under a sampling scheme. We investigate the asymptotic behavior of the joint quasi-maximum likelihood estimator for ( θ 1 , θ 2 , θ 3 ) (\theta _1,\theta _2,\theta _3) . The estimation scheme is non-adaptive. The estimator incorporates information of the increments of both components, and under this construction, we show that the asymptotic variance of the estimator for θ 1 \theta _1 is smaller than the one for standard estimator based on the first component only, and that the convergence of the estimator for θ 3 \theta _3 is much faster than for the other parameters. By simulation studies, we compare the performance of the joint quasi-maximum likelihood estimator with the adaptive and one-step estimators investigated in Gloter and Yoshida [Electron. J. Statist 15 (2021), no. 1, 1424–1472].

Volatility estimation of hidden Markov processes and adaptive filtration

The partially observed linear Gaussian system of stochastic differential equations with low noise in observations is considered. The coefficients of this system are supposed to depend on some unknown parameter. The problem of estimation of these parameters is considered and the possibility of the approximation of the filtering equations is discussed. An estimators are used for estimation of the quadratic variation of the derivative of the limit of the observed process. Then this estimator is used for nonparametric estimation of the integral of the square of volatility of unobservable component. This estimator is also used for construction of method of moments estimators in the case where the drift in observable component and the volatility of the state component depend on some unknown parameter. Then this method of moments estimator and Fisher-score device allow us to introduce the One-step MLE-process and adaptive Kalman–Bucy filter. The asymptotic efficiency of the proposed filter is discussed.

Modeling and nonlinear predictive control of solar thermal systems in district heating

This study presents data-driven modeling and nonlinear model predictive control of solar thermal plants in district heating, for the purpose of operation optimization. The study considers the efficient operation of a solar thermal plant in Hillerød, Denmark. A dynamic model is estimated as a system of stochastic differential equations using grey-box modeling and real-world data. The presented nonlinear model predictive controller design is based on repeated trajectory linearization and the dynamic model. Several objective designs are considered, e.g., maximizing energy or temperature. The study provides simulations for analyzing the model fitness and controller performances. The model is shown to fit the daytime operation of the plant. The designed controllers are shown to improve efficiency, increasing the transported energy up to 28%.

Artificial intelligence for COVID-19 spread modeling

Abstract This paper presents classification and analysis of the mathematical models of the spread of COVID-19 in different groups of population such as family, school, office (3–100 people), town (100–5000 people), city, region (0.5–15 million people), country, continent, and the world. The classification covers major types of models (time-series, differential, imitation ones, neural networks models and their combinations). The time-series models are based on analysis of time series using filtration, regression and network methods. The differential models are those derived from systems of ordinary and stochastic differential equations as well as partial differential equations. The imitation models include cellular automata and agent-based models. The fourth group in the classification consists of combinations of nonlinear Markov chains and optimal control theory, derived by methods of the mean-field game theory. COVID-19 is a novel and complicated disease, and the parameters of most models are, as a rule, unknown and estimated by solving inverse problems. The paper contains an analysis of major algorithms of solving inverse problems: stochastic optimization, nature-inspired algorithms (genetic, differential evolution, particle swarm, etc.), assimilation methods, big-data analysis, and machine learning.

Complex global dynamics of conditionally stable slopes: effect of initial conditions

In the present paper, we investigate the effect of the initial conditions on the dynamics of the spring-block landslide model. The time evolution of the studied model, which is governed by a system of stochastic delay differential equations, is analyzed in the mean-field approximation, which qualitatively exhibits the same dynamics as the initial model. The results of the numerical analysis show that changing the initial conditions has different effects in different parts of the parameter space of the model. Namely, moving away from the fixed-point initial conditions has a stabilizing effect on the dynamics when the noise, the friction parameters a (higher values) and c as well as the spring stiffness k are taken into account. The stabilization manifests itself in a complete suppression of the unstable dynamics or a partial limitation of the effect of some friction parameters. On the other hand, the destabilizing effect of changing the initial conditions occurs for the lower values of the friction parameters a and for b. The main feature of destabilization is the complete suppression of the sliding regime or a larger parameter range with a transient oscillatory regime. Our approach underlines the importance of analyzing the influence of initial conditions on landslide dynamics.

Lower and upper bounds for the explosion times of a system of semilinear SPDEs

In this paper, we obtain lower and upper bounds for the blow-up times for a system of semilinear stochastic partial differential equations. Under suitable assumptions, lower and upper bounds of the explosive times are obtained by using explicit solutions of an associated system of random partial differential equations and a formula due to Yor. We provide lower and upper bounds for the probability of finite-time blow-up solution as well. The above obtained results are also extended for semilinear SPDEs forced by two-dimensional Brownian motions.

Homogenization of a Multivariate Diffusion with Semipermeable Interfaces

AbstractWe study the homogenization problem for a system of stochastic differential equations with local time terms that models a multivariate diffusion in the presence of semipermeable hyperplane interfaces with oblique penetration. We show that this system has a unique weak solution and determine its weak limit as the distances between the interfaces converge to zero. In the limit, the singular local times terms vanish and give rise to an additional regular interface-induced drift.