TY - INPR A1 - Roelly, Sylvie A1 - Vallois, Pierre T1 - Convoluted Brownian motion BT - a semimartingale approach N2 - In this paper we analyse semimartingale properties of a class of Gaussian periodic processes, called convoluted Brownian motions, obtained by convolution between a deterministic function and a Brownian motion. A classical example in this class is the periodic Ornstein-Uhlenbeck process. We compute their characteristics and show that in general, they are neither Markovian nor satisfy a time-Markov field property. Nevertheless, by enlargement of filtration and/or addition of a one-dimensional component, one can in some case recover the Markovianity. We treat exhaustively the case of the bidimensional trigonometric convoluted Brownian motion and the higher-dimensional monomial convoluted Brownian motion. T3 - Preprints des Instituts für Mathematik der Universität Potsdam - 5 (2016) 9 KW - periodic Gaussian process KW - periodic Ornstein-Uhlenbeck process KW - Markov-field property KW - enlargement of filtration Y1 - 2016 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-96339 SN - 2193-6943 VL - 5 IS - 9 PB - Universitätsverlag Potsdam CY - Potsdam ER - TY - BOOK A1 - Pilipenko, Andrey T1 - An introduction to stochastic differential equations with reflection T3 - Lectures in pure and applied mathematics N2 - These lecture notes are intended as a short introduction to diffusion processes on a domain with a reflecting boundary for graduate students, researchers in stochastic analysis and interested readers. Specific results on stochastic differential equations with reflecting boundaries such as existence and uniqueness, continuity and Markov properties, relation to partial differential equations and submartingale problems are given. An extensive list of references to current literature is included. This book has its origins in a mini-course the author gave at the University of Potsdam and at the Technical University of Berlin in Winter 2013. T3 - Lectures in pure and applied mathematics - 1 KW - Diffusionsprozess KW - Reflektierende Randbedingungen KW - stochastische Differentialgleichungen KW - diffusion process KW - reflecting boundary KW - stochastic differential equations Y1 - 2014 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-70782 SN - 978-3-86956-297-1 SN - 2199-4951 SN - 2199-496X IS - 1 PB - Universitätsverlag Potsdam CY - Potsdam ER - TY - INPR A1 - Gairing, Jan A1 - Högele, Michael A1 - Kosenkova, Tetiana A1 - Kulik, Alexei Michajlovič T1 - Coupling distances between Lévy measures and applications to noise sensitivity of SDE N2 - We introduce the notion of coupling distances on the space of Lévy measures in order to quantify rates of convergence towards a limiting Lévy jump diffusion in terms of its characteristic triplet, in particular in terms of the tail of the Lévy measure. The main result yields an estimate of the Wasserstein-Kantorovich-Rubinstein distance on path space between two Lévy diffusions in terms of the couping distances. We want to apply this to obtain precise rates of convergence for Markov chain approximations and a statistical goodness-of-fit test for low-dimensional conceptual climate models with paleoclimatic data. T3 - Preprints des Instituts für Mathematik der Universität Potsdam - 2(2013)16 KW - Lévy diffusion approximation KW - coupling methods KW - Skorokhod' s invariance principle KW - statistical model selection Y1 - 2013 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-68886 ER - TY - INPR A1 - Cattiaux, Patrick A1 - Fradon, Myriam A1 - Kulik, Alexei Michajlovič A1 - Roelly, Sylvie T1 - Long time behavior of stochastic hard ball systems N2 - We study the long time behavior of a system of two or three Brownian hard balls living in the Euclidean space of dimension at least two, submitted to a mutual attraction and to elastic collisions. T3 - Preprints des Instituts für Mathematik der Universität Potsdam - 2(2013)15 KW - Stochastic differential equations KW - hard core interaction KW - reversible measure KW - normal reflection KW - local time Y1 - 2013 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-68388 ER - TY - GEN A1 - Imkeller, Peter A1 - Roelly, Sylvie T1 - Die Wiederentdeckung eines Mathematikers: Wolfgang Döblin N2 - "Considerons une particule mobile se mouvant aleatoirement sur la droite (ou sur un segment de droite). Supposons qu'il existe une probabilite F(x,y;s,t) bien definie pour que la particule se trouvant a l'instant s dans la position x se trouve a l'instant t (> s) a gauche de y, probabilite independante du mouvement anterieur de la particule...." Mit diesen Worten beginnt eines der berühmtesten mathematischen Manuskripte des letzten Jahrhunderts. Es stammt vom Soldaten Wolfgang Döblin, Sohn des deutschen Schriftstellers Alfred Döblin, und trägt den Titel "Sur l'equation de Kolmogoroff". Seine Veröffentlichung verbindet sich mit einer unglaublichen Geschichte. Wolfgang Döblin, stationiert mit seiner Einheit in den Ardennen im Winter 1939/1940, arbeitete an diesem Manuskript. Er entschloss sich, es als versiegeltes Manuskript an die Academie des Sciences in Paris zu schicken. Aber er kehrte nie aus diesem Krieg zurück. Sein Manuskript blieb 60 Jahre unter Verschluss im Archiv, und wurde erst im Jahre 2000 geöffnet. Wie weit Döblin damit seiner Zeit voraus war, wurde erkannt, nachdem es von Bernard Bru und Marc Yor ausgewertet worden war. Im ersten Satz umschreibt W. Döblin gleichzeitig das Programm des Manuskripts: "Wir betrachten ein bewegliches Teilchen, das sich zufällig auf der Geraden (oder einem Teil davon) bewegt." Er widmet sich damit der Aufgabe, die Fundamente eines Gebiets zu legen, das wir heute als stochastische Analysis bezeichnen. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - paper 035 KW - Kolmogorov-Gleichung KW - Stochastische Analysis KW - Döblin KW - Wolfgang KW - Doblin KW - Vincent KW - Doeblin KW - Wolfgang Y1 - 2007 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-16397 ER - TY - INPR A1 - Flandoli, Franco A1 - Högele, Michael T1 - A solution selection problem with small stable perturbations N2 - The zero-noise limit of differential equations with singular coefficients is investigated for the first time in the case when the noise is a general alpha-stable process. It is proved that extremal solutions are selected and the probability of selection is computed. Detailed analysis of the characteristic function of an exit time form on the half-line is performed, with a suitable decomposition in small and large jumps adapted to the singular drift. T3 - Preprints des Instituts für Mathematik der Universität Potsdam - 3 (2014) 8 KW - stochastic differential equations KW - singular drifts KW - zero-noise limit KW - Peano phenomena KW - non-uniqueness Y1 - 2014 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-71205 SN - 2193-6943 VL - 3 IS - 8 PB - Universitätsverlag Potsdam CY - Potsdam ER - TY - INPR A1 - Högele, Michael A1 - Pavlyukevich, Ilya T1 - Metastability of Morse-Smale dynamical systems perturbed by heavy-tailed Lévy type noise N2 - We consider a general class of finite dimensional deterministic dynamical systems with finitely many local attractors each of which supports a unique ergodic probability measure, which includes in particular the class of Morse–Smale systems in any finite dimension. The dynamical system is perturbed by a multiplicative non-Gaussian heavytailed Lévy type noise of small intensity ε > 0. Specifically we consider perturbations leading to a Itô, Stratonovich and canonical (Marcus) stochastic differential equation. The respective asymptotic first exit time and location problem from each of the domains of attractions in case of inward pointing vector fields in the limit of ε-> 0 has been investigated by the authors. We extend these results to domains with characteristic boundaries and show that the perturbed system exhibits a metastable behavior in the sense that there exits a unique ε-dependent time scale on which the random system converges to a continuous time Markov chain switching between the invariant measures. As examples we consider α-stable perturbations of the Duffing equation and a chemical system exhibiting a birhythmic behavior. T3 - Preprints des Instituts für Mathematik der Universität Potsdam - 3 (2014) 5 KW - hyperbolic dynamical system KW - Morse-Smale property KW - stable limit cycle KW - small noise asymptotic KW - multiplicative noise Y1 - 2014 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-70639 SN - 2193-6943 VL - 3 IS - 5 PB - Universitätsverlag Potsdam CY - Potsdam ER - TY - INPR A1 - Högele, Michael A1 - Ruffino, Paulo T1 - Averaging along Lévy diffusions in foliated spaces N2 - We consider an SDE driven by a Lévy noise on a foliated manifold, whose trajectories stay on compact leaves. We determine the effective behavior of the system subject to a small smooth transversal perturbation of positive order epsilon. More precisely, we show that the average of the transversal component of the SDE converges to the solution of a deterministic ODE, according to the average of the perturbing vector field with respect to the invariant measures on the leaves (of the unpertubed system) as epsilon goes to 0. In particular we give upper bounds for the rates of convergence. The main results which are proved for pure jump Lévy processes complement the result by Gargate and Ruffino for Stratonovich SDEs to Lévy driven SDEs of Marcus type. T3 - Preprints des Instituts für Mathematik der Universität Potsdam - 2(2013)10 KW - Averaging principle KW - foliated diffusion KW - Lévy diffusions on manifolds KW - canonical Marcus integration Y1 - 2013 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-64926 SN - 2193-6943 ER - TY - INPR A1 - Dereudre, David A1 - Mazzonetto, Sara A1 - Roelly, Sylvie T1 - An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers N2 - In this paper we obtain an explicit representation of the transition density of the one-dimensional skew Brownian motion with (a constant drift and) two semipermeable barriers. Moreover we propose a rejection method to simulate this density in an exact way. T3 - Preprints des Instituts für Mathematik der Universität Potsdam - 4 (2015) 9 KW - skew Brownian motion KW - semipermeable barriers KW - distorted Brownian motion KW - local time KW - rejection sampling KW - exact simulation Y1 - 2015 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-80613 SN - 2193-6943 VL - 4 IS - 9 PB - Universitätsverlag Potsdam CY - Potsdam ER - TY - INPR A1 - Dereudre, David A1 - Roelly, Sylvie T1 - Path-dependent infinite-dimensional SDE with non-regular drift : an existence result N2 - We establish in this paper the existence of weak solutions of infinite-dimensional shift invariant stochastic differential equations driven by a Brownian term. The drift function is very general, in the sense that it is supposed to be neither small or continuous, nor Markov. On the initial law we only assume that it admits a finite specific entropy. Our result strongly improves the previous ones obtained for free dynamics with a small perturbative drift. The originality of our method leads in the use of the specific entropy as a tightness tool and on a description of such stochastic differential equation as solution of a variational problem on the path space. T3 - Preprints des Instituts für Mathematik der Universität Potsdam - 3(2014)11 KW - Infinite-dimensional SDE KW - non-Markov drift KW - non-regular drift KW - variational principle KW - specific entropy Y1 - 2014 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-72084 SN - 2193-6943 VL - 3 IS - 11 PB - Universitätsverlag Potsdam CY - Potsdam ER -