218 research outputs found
On It\^{o}'s formula for elliptic diffusion processes
Bardina and Jolis [Stochastic process. Appl. 69 (1997) 83--109] prove an
extension of It\^{o}'s formula for , where has a locally
square-integrable derivative in that satisfies a mild continuity condition
in and is a one-dimensional diffusion process such that the law of
has a density satisfying certain properties. This formula was expressed
using quadratic covariation. Following the ideas of Eisenbaum [Potential Anal.
13 (2000) 303--328] concerning Brownian motion, we show that one can re-express
this formula using integration over space and time with respect to local times
in place of quadratic covariation. We also show that when the function has
a locally integrable derivative in , we can avoid the mild continuity
condition in for the derivative of in .Comment: Published at http://dx.doi.org/10.3150/07-BEJ6049 in the Bernoulli
(http://isi.cbs.nl/bernoulli/) by the International Statistical
Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm
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 . The stochastic integral with respect to the fractional
Brownian motion is a pathwise Riemann--Stieltjes integral.Comment: Published in at http://dx.doi.org/10.3150/10-BEJ327 the Bernoulli
(http://isi.cbs.nl/bernoulli/) by the International Statistical
Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm
Stochastic epidemic SEIRS models with a constant latency period
In this paper we consider the stability of a class of deterministic and
stochastic SEIRS epidemic models with delay. Indeed, we assume that the
transmission rate could be stochastic and the presence of a latency period of
consecutive days, where is a fixed positive integer, in the "exposed"
individuals class E. Studying the eigenvalues of the linearized system, we
obtain conditions for the stability of the free disease equilibrium, in both
the cases of the deterministic model with and without delay. In this latter
case, we also get conditions for the stability of the coexistence equilibrium.
In the stochastic case we are able to derive a concentration result for the
random fluctuations and then, using the Lyapunov method, that under suitable
assumptions the free disease equilibrium is still stable
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