In this paper, we apply Legendre wavelet collocation method to obtain the approximate solution of nonlinear Stratonovich Volterra integral equations. The main advantage of this method is that Legendre wavelet has orthogonality property and therefore coefficients of expansion are easily calculated. By using this method, the solution of nonlinear Stratonovich Volterra integral equation reduces to...

We explain how Itô Stochastic Differential Equations on manifolds may be defined as 2-jets of curves. We use jets as a natural language to express geometric properties of SDEs and show how jets can lead to intuitive representations of Itô SDEs, including three different types of drawings. We explain that the mainstream choice of Fisk-StratonovichMcShane calculus for stochastic differential geom...

Given a continuous Gaussian process x which gives rise to p-geometric rough path for p∈(2,3), and general y controlled by x, under proper conditions we establish the relationship between Skorohod integral ∫0tysd♢xs Stratonovich ∫0tysdxs. Our strategy is employ tools from paths theory Malliavin calculus analyze discrete sums of integrals.

Let u(t; x); t 2 R; be an adapted process parametrized by a variable x in some metric space X, (!; dx) a probability kernel on the product of the probability space and the Borel sets of X. We deal with the question whether the Stratonovich integral of u(:; x) with respect to a Wiener process on and the integral of u(t; :) with respect to the random measure (:; dx) can be interchanged. This ques...

We propose a numerical method for solving stochastic differential equations with dichotomous Markov noise. The numerical scheme is formulated such that (i) the stochastic formula used follows the Stratonovich-Taylor form over the entire range of noise correlation times, including the Gaussian white noise limit; and (ii) the method is readily applicable to dynamical systems driven by arbitrary t...

We discuss intrinsic noise effects in stochastic multiplicative-noise partial differential equations, which are qualitatively independent of the noise interpretation (Itô vs Stratonovich), in particular in the context of noise-induced ordering phase transitions. We study a model which, contrary to all cases known so far, exhibits such ordering transitions when the noise is interpreted not only ...

We consider the dynamics of systems driven by compound Poisson colored noise in the presence of inertia. We study the limit when the frictional relaxation time and the noise autocorrelation time both tend to zero. We show that the Itô and Marcus stochastic calculuses naturally arise depending on these two time scales, and an extra intermediate type occurs when the two time scales are comparable...

A receding horizon filtering problem for nonlinear continuous-time stochastic systems is considered. The paper presents the optimal receding horizon filtering equations. Derivation of the equations is based on the Kushner-Stratonovich and Fokker-Planck-Kolmogorov equations for conditional and unconditional density functions. This result could be a theoretical basis for the optimal control in no...

We consider the dynamics of systems in the presence of inertia and colored multiplicative noise. We study the limit where the particle relaxation time and the correlation time of the noise both tend to zero. We show that the limiting equation for the particle position depends on the magnitude of the particle relaxation time relative to the noise correlation time. In particular, the limiting equ...