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  - 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  -