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First Order Convergence Analysis for Sparse Grid Method in Stochastic Two-Stage Linear Optimization Problem
Convergence Analysis Stochastic Optimization Scenario Generation Convex Analysis Measure Theory
2013/1/30
Stochastic two-stage linear optimization is an important and widely used optimization model. Efficiency of numerical integration of the second stage value function is critical. However, the second sta...
Maximizing Expected Utility for Stochastic Combinatorial Optimization Problems
ExpectedStochastic CombinatorialProblems
2012/12/4
We study the stochastic versions of a broad class of combinatorial problems where the weights of the elements in the input dataset are uncertain. The class of problems that we study includes shortest ...
Extremal Distribution for the Discrete 5-convex Stochastic Ordering and Applications
s-convex order moment space extremal distribution branching process Lundberg's coeffici
2011/11/9
In this paper, motivated by the idea from Courtois and Denuit et al.(2006), we derive extremal distribution for the discrete 5-convex stochastic ordering. As applications,We improve lower and upper bo...
Forward-Backward Doubly Stochastic Differential Equations with Brownian Motions and Poisson Process
Forward-backward doubly stochastic differential equations stochastic analysis random measure Poisson process
2011/11/7
The existence and uniqueness for solution of backward doubly stochastic differential equations with Brownian motions and Poisson process and that of forward-backward doubly stochastic differential equ...
FORWARD-BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS
Forward-backward doubly stochastic differential equations equivalent norm, contraction mapping
2011/11/7
A type of forward-backward doubly stochastic differential equations (FBDSDEs) is studied. Under some natural monotonicity assumptions, the existence and uniqueness result is established.
Backward Stochastic Differential Equations with Discontinuous Coefficients
Backward stochastic differential equation discontinuous generator strong solution weak solution
2011/11/5
Exploring functional analysis methods, this paper gives an existence theorem of strong solutions for a class of backward stochastic differential equations(BSDEs) with left-Lipschitz coefficients (may ...
Stability of nonlinear stochastic Volterra difference equations with continuous time
Nonlinear stochastic difference equations Stability Lyapunov functional construction Continuous time
2011/11/4
In recent years, many authors investigated the systems of stochastic difference equations with discrete time or the systems of numerical solution for stochastic difference equations with continue time...
Exponential Stability of Impulsive Stochastic Delay Partial Differential Equations with Poisson Jumps
impulsive stochastic differential equation exponential stability mild solution Poisson jumps
2012/9/24
Up to now, the stability problem of mild solution for the impulsive stochastic system with Poisson jumps has not been solved. In this paper, based on fixed point theory, the stability of mild solution...
Stochastic theory of protein synthesis and polysome: ribosome profile on a single mRNA transcript
ribosome traffic, master equation, extremum current hypothesis, distance-headway,TASEP.
2011/8/29
The process of polymerizing a protein by a ribosome, using a messenger RNA (mRNA) as the corresponding template, is called translation. Ribosome may be regarded as a molecular motor for which the mRNA...
Another Sub-exponential Algorithm for the Simple Stochastic Game
Simple stochastic game Subexponential algorithm
2012/12/3
We study the problem of solving simple stochastic games, and give both an interesting new algorithm and a hardness result. We show a reduction from fine
approximation of simple stochastic games to co...
We study the stochastic resonance of quantum discord (“discord resonance”) in coupled quantum systems and make a comparison with the stochastic resonance of entanglement (“entanglement resonance”). It...
Infinite-Period Phase Transition versus Nucleation in a Stochastic Model of Collective Oscillations
Infinite-Period Phase Transition Collective Oscillations
2011/9/2
A lattice model of three-state stochastic phase-coupled oscillators has been shown by Wood et al. [Phys. Rev. Lett. 96, 145701 (2006)] to exhibit a phase transition at a critical value of the coupling...
Convergence of a sequence of solutions of the stochastic two-dimensional equations of second grade fluids
stochastic two-dimensional equations second grade fluids Analysis of PDEs
2011/9/23
Abstract: We study the limit of the stochastic model for two dimensional second grade fluids subjected to the periodic boundary conditions as the stress modulus tends to zero. We show that under suita...
Stochastic differential equations with non-negativity constraints driven by fractional Brownian motion with Hurst parameter H $>$ 1/2
stochastic differential equations normal reflection fractional Brownian motion Young integral
2011/9/22
Abstract: In this paper we consider stochastic differential equations with non-negativity constraints, driven by a fractional Brownian motion with Hurst parameter $H>\1/2$. We first study an ordinary ...
Carleman Estimate for Stochastic Parabolic Equations and Inverse Stochastic Parabolic Problems
Stochastic parabolic equations Carleman estimate conditional stability inverse source problem
2011/9/22
Abstract: In this paper, we establish a global Carleman estimate for stochastic parabolic equations. Based on this estimate, we solve two inverse problems for stochastic parabolic equations. One is co...