Stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter H 1/2

We consider the Cauchy problem for a stochastic delay differential equation driven by a fractional Brownian motion with Hurst parameter H>¿. We prove an existence and uniqueness result for this problem, when the coefficients are sufficiently regular. Furthermore, if the diffusion coefficient is bounded away from zero and the coefficients are smooth functions with bounded derivatives of all orders, we prove that the law of the solution admits a smooth density with respect to Lebesgue measure on R.

A fractional linear system view of the fractional brownian motion

Nonlinear Dynamics, Vol. 38

Fracture Discrimination by Combined Bone Mineral Density (BMD) and Microarchitectural Texture Analysis.

The use of bone mineral density (BMD) for fracture discrimination may be improved by considering bone microarchitecture. Texture parameters such as trabecular bone score (TBS) or mean Hurst parameter (H) could help to find women who are at high risk of fracture in the non-osteoporotic group. The purpose of this study was to combine BMD and microarchitectural texture parameters (spine TBS and calcaneus H) for the detection of osteoporotic fractures. Two hundred and fifty five women had a lumbar spine (LS), total hip (TH), and femoral neck (FN) DXA. Additionally, texture analyses were performed with TBS on spine DXA and with H on calcaneus radiographs. Seventy-nine women had prevalent fragility fractures. The association with fracture was evaluated by multivariate logistic regressions. The diagnostic value of each parameter alone and together was evaluated by odds ratios (OR). The area under curve (AUC) of the receiver operating characteristics (ROC) were assessed in models including BMD, H, and TBS. Women were also classified above and under the lowest tertile of H or TBS according to their BMD status. Women with prevalent fracture were older and had lower TBS, H, LS-BMD, and TH-BMD than women without fracture. Age-adjusted ORs were 1.66, 1.70, and 1.93 for LS, FN, and TH-BMD, respectively. Both TBS and H remained significantly associated with fracture after adjustment for age and TH-BMD: OR 2.07 [1.43; 3.05] and 1.47 [1.04; 2.11], respectively. The addition of texture parameters in the multivariate models didn't show a significant improvement of the ROC-AUC. However, women with normal or osteopenic BMD in the lowest range of TBS or H had significantly more fractures than women above the TBS or the H threshold. We have shown the potential interest of texture parameters such as TBS and H in addition to BMD to discriminate patients with or without osteoporotic fractures. However, their clinical added values should be evaluated relative to other risk factors.

Differential equations driven by fractional Brownian motion

A global existence and uniqueness result of the solution for multidimensional, time dependent, stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H> is proved. It is shown, also, that the solution has finite moments. The result is based on a deterministic existence and uniqueness theorem whose proof uses a contraction principle and a priori estimates.

Power variation of some integral fractional processes

We consider the asymptotic behaviour of the realized power variation of processes of the form ¿t0usdBHs, where BH is a fractional Brownian motion with Hurst parameter H E(0,1), and u is a process with finite q-variation, q<1/(1¿H). We establish the stable convergence of the corresponding fluctuations. These results provide new statistical tools to study and detect the long-memory effect and the Hurst parameter.

Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion

In this note we prove an existence and uniqueness result for the solution of multidimensional stochastic delay differential equations with normal reflection. The equations are driven by a fractional Brownian motion with Hurst parameter H > 1/2. The stochastic integral with respect to the fractional Brownian motion is a pathwise Riemann¿Stieltjes integral.

Interannual and interdecadal oscillations in hydrological variables: Sources and modeling of the persistence in the Elbe River Basin

Wenn man die Existenz von physikalischen Mechanismen ignoriert, die für die Struktur hydrologischer Zeitreihen verantwortlich sind, kann das zu falschen Schlussfolgerungen bzgl. des Vorhandenseins möglicher Gedächtnis (memory) -Effekte, d.h. von Persistenz, führen. Die hier vorgelegte Doktorarbeit spürt der niedrigfrequenten klimatischen Variabilität innerhalb den hydrologischen Zyklus nach und bietet auf dieser "Reise" neue Einsichten in die Transformation der charakteristischen Eigenschaften von Zeitreihen mit einem Langzeitgedächtnis. Diese Studie vereint statistische Methoden der Zeitreihenanalyse mit empirisch-basierten Modelltechniken, um operative Modelle zu entwickeln, die in der Lage sind (1) die Dynamik des Abflusses zu modellieren, (2) sein zukünftiges Verhalten zu prognostizieren und (3) die Abflusszeitreihen an unbeobachteten Stellen abzuschätzen. Als solches präsentiert die hier vorgelegte Dissertation eine ausführliche Untersuchung zu den Ursachen der niedrigfrequenten Variabilität von hydrologischen Zeitreihen im deutschen Teil des Elbe-Einzugsgebietes, den Folgen dieser Variabilität und den physikalisch basierten Reaktionen von Oberflächen- und Grundwassermodellen auf die niedrigfrequenten Niederschlags-Eingangsganglinien. Die Doktorarbeit gliedert sich wie folgt: In Kapitel 1 wird als Hintergrundinformation das Hurst Phänomen beschrieben und ein kurzer Rückblick auf diesbezügliche Studien gegeben. Das Kapitel 2 diskutiert den Einfluss der Präsenz von niedrigfrequenten periodischen Zeitreihen auf die Zuverlässigkeit verschiedener Hurst-Parameter-Schätztechniken. Kapitel 3 korreliert die niedrigfrequente Niederschlagsvariabilität mit dem Index der Nord-Atlantischen Ozillations (NAO). Kapitel 4-6 sind auf den deutschen Teil des Elbe-Einzugsgebietes fokussiert. So werden in Kapitel 4 die niedrigfrequenten Variabilitäten der unterschiedlichen hydro-meteorologischen Parameter untersucht und es werden Modelle beschrieben, die die Dynamik dieser Niedrigfrequenzen und deren zukünftiges Verhalten simulieren. Kapitel 5 diskutiert die mögliche Anwendung der Ergebnisse für die charakteristische Skalen und die Verfahren der Analyse der zeitlichen Variabilität auf praktische Fragestellungen im Wasserbau sowie auf die zeitliche Bestimmung des Gebiets-Abflusses an unbeobachteten Stellen. Kapitel 6 verfolgt die Spur der Niedrigfrequenzzyklen im Niederschlag durch die einzelnen Komponenten des hydrologischen Zyklus, nämlich dem Direktabfluss, dem Basisabfluss, der Grundwasserströmung und dem Gebiets-Abfluss durch empirische Modellierung. Die Schlussfolgerungen werden im Kapitel 7 präsentiert. In einem Anhang werden technische Einzelheiten zu den verwendeten statistischen Methoden und die entwickelten Software-Tools beschrieben.

The uniqueness of signature problem in the non-Markov setting

We establish a general framework for a class of multidimensional stochastic processes over [0,1] under which with probability one, the signature (the collection of iterated path integrals in the sense of rough paths) is well-defined and determines the sample paths of the process up to reparametrization. In particular, by using the Malliavin calculus we show that our method applies to a class of Gaussian processes including fractional Brownian motion with Hurst parameter H>1/4, the Ornstein–Uhlenbeck process and the Brownian bridge.

Self-organized criticality in MHD driven plasma edge turbulence

We analyze long-range time correlations and self-similar characteristics of the electrostatic turbulence at the plasma edge and scrape-off layer in the Tokamak Chauffage Alfven Bresillien (TCABR), with low and high Magnetohydrodynamics (MHD) activity. We find evidence of self-organized criticality (SOC), mainly in the region near the tokamak limiter. Comparative analyses of data before and during the MHD activity reveals that during the high mHD activity the Hurst parameter decreases. Finally, we present a cellular automaton whose parameters are adjusted to simulate the analyzed turbulence SOC change with the MHD activity variation. (C) 2011 Published by Elsevier B.V.

Modeling of Self-similar Traffic

Modeling of self-similar traffic is performed for the queuing system of G/M/1/K type using Weibull distribution. To study the self-similar traffic the simulation model is developed by using SIMULINK software package in MATLAB environment. Approximation of self-similar traffic on the basis of spline functions. Modeling self-similar traffic is carried outfor QS of W/M/1/K type using the Weibull distribution. Initial data are: the value of Hurst parameter H=0,65, the shape parameter of the distribution curve α≈0,7 and distribution parameter β≈0,0099. Considering that the self-similar traffic is characterized by the presence of "splashes" and long-termdependence between the moments of requests arrival in this study under given initial data it is reasonable to use linear interpolation splines.

Stochastic anti-resonance in a fibre Raman amplifier

Stochastic anti-resonance, that is resonant enhancement of randomness caused by polarization mode beatings, is analyzed both numerically and analytically on an example of fibre Raman amplifier with randomly varying birefringence. As a result of such anti-resonance, the polarization mode dispersion growth causes an escape of the signal state of polarization from a metastable state corresponding to the pulling of the signal to the pump state of polarization.This phenomenon reveals itself in abrupt growth of gain fluctuations as well as in dropping of Hurst parameter and Kramers length characterizing long memory in a system and noise induced escape from the polarization pulling state. The results based on analytical multiscale averaging technique agree perfectly with the numerical data obtained by direct numerical simulations of underlying stochastic differential equations. This challenging outcome would allow replacing the cumbersome numerical simulations for real-world extra-long high-speed communication systems.

On the Wick product and Wong-Zakai approximations.

This thesis is a compilation of 6 papers that the author has written together with Alberto Lanconelli (chapters 3, 5 and 8) and Hyun-Jung Kim (ch 7). The logic thread that link all these chapters together is the interest to analyze and approximate the solutions of certain stochastic differential equations using the so called Wick product as the basic tool. In the first chapter we present arguably the most important achievement of this thesis; namely the generalization to multiple dimensions of a Wick-Wong-Zakai approximation theorem proposed by Hu and Oksendal. By exploiting the relationship between the Wick product and the Malliavin derivative we propose an original reduction method which allows us to approximate semi-linear systems of stochastic differential equations of the Itô type. Furthermore in chapter 4 we present a non-trivial extension of the aforementioned results to the case in which the system of stochastic differential equations are driven by a multi-dimensional fraction Brownian motion with Hurst parameter bigger than 1/2. In chapter 5 we employ our approach and present a “short time” approximation for the solution of the Zakai equation from non-linear filtering theory and provide an estimation of the speed of convergence. In chapters 6 and 7 we study some properties of the unique mild solution for the Stochastic Heat Equation driven by spatial white noise of the Wick-Skorohod type. In particular by means of our reduction method we obtain an alternative derivation of the Feynman-Kac representation for the solution, we find its optimal Hölder regularity in time and space and present a Feynman-Kac-type closed form for its spatial derivative. Chapter 8 treats a somewhat different topic; in particular we investigate some probabilistic aspects of the unique global strong solution of a two dimensional system of semi-linear stochastic differential equations describing a predator-prey model perturbed by Gaussian noise.

The viscosity parameter's dependence on the profile of the disk scale height

It is shown that, for accretion disks, the height scale is a constant whenever hydrostatic equilibrium and the subsonic turbulence regime hold in the disk. In order to have a variable height scale, processes are needed that contribute an extra term to the continuity equation. This contribution makes the viscosity parameter much greater in the outer region and much smaller in the inner region. Under these circumstances, turbulence is the presumable source of viscosity in the disk.

Hubble parameter reconstruction from a principal component analysis: minimizing the bias

Aims. A model-independent reconstruction of the cosmic expansion rate is essential to a robust analysis of cosmological observations. Our goal is to demonstrate that current data are able to provide reasonable constraints on the behavior of the Hubble parameter with redshift, independently of any cosmological model or underlying gravity theory. Methods. Using type Ia supernova data, we show that it is possible to analytically calculate the Fisher matrix components in a Hubble parameter analysis without assumptions about the energy content of the Universe. We used a principal component analysis to reconstruct the Hubble parameter as a linear combination of the Fisher matrix eigenvectors (principal components). To suppress the bias introduced by the high redshift behavior of the components, we considered the value of the Hubble parameter at high redshift as a free parameter. We first tested our procedure using a mock sample of type Ia supernova observations, we then applied it to the real data compiled by the Sloan Digital Sky Survey (SDSS) group. Results. In the mock sample analysis, we demonstrate that it is possible to drastically suppress the bias introduced by the high redshift behavior of the principal components. Applying our procedure to the real data, we show that it allows us to determine the behavior of the Hubble parameter with reasonable uncertainty, without introducing any ad-hoc parameterizations. Beyond that, our reconstruction agrees with completely independent measurements of the Hubble parameter obtained from red-envelope galaxies.

Multistability and Self-Similarity in the Parameter-Space of a Vibro-Impact System

The dynamics of a dissipative vibro-impact system called impact-pair is investigated. This system is similar to Fermi-Ulam accelerator model and consists of an oscillating one-dimensional box containing a point mass moving freely between successive inelastic collisions with the rigid walls of the box. In our numerical simulations, we observed multistable regimes, for which the corresponding basins of attraction present a quite complicated structure with smooth boundary. In addition, we characterize the system in a two-dimensional parameter space by using the largest Lyapunov exponents, identifying self-similar periodic sets. Copyright (C) 2009 Silvio L.T. de Souza et al.