Analysis and simulation of generalized Langevin equations with non-Gaussian orthogonal forces.

Authors: Kiefer, Henrik¹, Héry, Benjamin J. A.¹, Tepper, Lucas¹, Dalton, Benjamin A.¹, Ayaz, Cihan¹, Netz, Roland R.¹ rnetz@physik.fu-berlin.de

Source: Journal of Chemical Physics. 11/14/2025, Vol. 163 Issue 18, p1-10. 10p.

Subject Terms: *LANGEVIN equations, *STOCHASTIC differential equations, *ORTHOGONAL curves, *GAUSSIAN distribution, *DIHEDRAL angles

Recursive algorithm for transition density approximation and simulation of diffusion processes.

Authors: Ben‐Hariz, Samir¹ (AUTHOR) samir.ben_hariz@univ-lemans.fr, Esstafa, Youssef¹ (AUTHOR), Zaatra, Helmi² (AUTHOR)

Source: Statistica Neerlandica. Nov2025, Vol. 79 Issue 4, p1-18. 18p.

Subject Terms: *DISTRIBUTION (Probability theory), *SIMULATION methods & models, STOCHASTIC differential equations, HERMITE polynomials, DIFFUSION kinetics, ITERATIVE methods (Mathematics), COMPUTER simulation

A deep learning method for optimal investment under relative performance criteria among heterogeneous agents.

Authors: Laurière, Mathieu¹ (AUTHOR) mathieu.lauriere@nyu.edu, Tangpi, Ludovic^1,2 (AUTHOR) ludovic.tangpi@princeton.edu, Zhou, Xuchen³ (AUTHOR) xuchen.zhou@princeton.edu

Source: European Journal of Operational Research. Nov2025, Vol. 326 Issue 3, p615-629. 15p.

Subject Terms: *NASH equilibrium, MACHINE learning, STOCHASTIC differential equations, DEEP learning, WEIGHTED graphs

Systemic Robustness: A Mean‐Field Particle System Approach.

Authors: Bayraktar, Erhan¹ (AUTHOR), Guo, Gaoyue² (AUTHOR) gaoyue.guo@centralesupelec.fr, Tang, Wenpin³ (AUTHOR), Zhang, Yuming Paul⁴ (AUTHOR)

Source: Mathematical Finance. Oct2025, Vol. 35 Issue 4, p727-744. 18p.

Subject Terms: *SYSTEMIC risk (Finance), STOCHASTIC differential equations, MEAN field models (Statistical physics), COUNTERPARTY risk, PARTICLE interactions

Deep Quadratic Hedging.

Authors: Gnoatto, Alessandro¹ (AUTHOR) alessandro.gnoatto@univr.it, Lavagnini, Silvia² (AUTHOR) silvia.lavagnini@bi.no, Picarelli, Athena¹ (AUTHOR) athena.picarelli@univr.it

Source: Mathematics of Operations Research. Nov2025, Vol. 50 Issue 4, p2972-3009. 38p.

Subject Terms: *HEDGING (Finance), *RISK management in business, *FINANCIAL risk management, *FINANCIAL markets, STOCHASTIC differential equations, DEEP learning

An Stochastic Differential Equation Perspective on Stochastic Convex Optimization.

Authors: Rodrigo, Maulén S.¹ (AUTHOR) rodrigo.maulen@ensicaen.fr, Fadili, Jalal¹ (AUTHOR) jalal.fadili@greyc.ensicaen.fr, Attouch, Hedy² (AUTHOR) hedy.attouch@umontpellier.fr

Source: Mathematics of Operations Research. Nov2025, Vol. 50 Issue 4, p3190-3221. 32p.

Subject Terms: STOCHASTIC differential equations, NONSMOOTH optimization, LIPSCHITZ continuity, STOCHASTIC programming, MEASURE theory, ASYMPTOTIC analysis

Periodic mean-reverting stochastic differential equations and parameter estimations for seasonal data.

Authors: Mostafa, Fahad¹ (AUTHOR) fahad.mostafa@ttu.edu, J. S. Allen, Linda¹ (AUTHOR)

Source: Stochastic Models. 2025, Vol. 41 Issue 4, p413-444. 32p.

Subject Terms: *PARAMETER estimation, *MEAN reversion theory, STOCHASTIC differential equations, SEASONAL influenza, ORNSTEIN-Uhlenbeck process

On the minimum distance estimation of the density for a diffusion process.

Authors: Bensaber, Fatna¹ (AUTHOR) bensaberfatna@yahoo.fr, Benyahia, Wahiba¹ (AUTHOR)

Source: Communications in Statistics: Theory & Methods. 2025, Vol. 54 Issue 22, p7371-7382. 12p.

Subject Terms: *PARAMETER estimation, STOCHASTIC differential equations, HEAT equation, NONPARAMETRIC estimation, ASYMPTOTIC distribution, MINIMUM variance estimation, WHITE noise

Graphon mean-field backward stochastic differential equations with jumps and associated dynamic risk measures.

Authors: Amini, Hamed¹ (AUTHOR) aminil@ufl.edu, Cao, Zhongyuan² (AUTHOR) zc3151@nyu.edu, Sulem, Agnès³ (AUTHOR) agnes.sulem@inria.fr

Source: Finance & Stochastics. Oct2025, Vol. 29 Issue 4, p1139-1194. 56p.

Subject Terms: *RISK assessment, STOCHASTIC differential equations, MEAN field theory, UNIQUENESS (Mathematics), REPRESENTATIONS of graphs, STATISTICAL measurement, INTEGRALS

Time-Inconsistent Linear-Quadratic Social Optima for Large Population System.

Authors: Wang, Haiyang¹ (AUTHOR) wanghy@sdnu.edu.cn, Wang, Shujun² (AUTHOR) wangshujun@sdu.edu.cn

Source: Applied Mathematics & Optimization. Dec2025, Vol. 92 Issue 3, p1-41. 41p.

Subject Terms: *GAME theory, *LINEAR programming, *DYNAMIC programming, STOCHASTIC differential equations, MEAN field theory

Optimal Self-Protection via BSDEs for Risk Models with Jump Clusters.

Authors: Brachetta, Matteo¹ (AUTHOR) matteo.brachetta@unige.it, Callegaro, Giorgia² (AUTHOR) gcallega@math.unipd.it, Ceci, Claudia³ (AUTHOR) claudia.ceci@uniroma1.it, Sgarra, Carlo⁴ (AUTHOR) carlo.sgarra@uniba.it

Source: SIAM Journal on Control & Optimization. 2025, Vol. 63 Issue 6, p3990-4017. 28p.

Subject Terms: *REIMBURSEMENT, *RISK managers, *RISK assessment, *LOSS control, STOCHASTIC differential equations, EXPONENTIAL functions

Stochastic Maximum Principle for Equations with Delay: Going to Infinite Dimensions to Solve the Nonconvex Case.

Authors: Guatteri, Giuseppina¹ (AUTHOR) giuseppina.guatteri@polimi.it, Masiero, Federica² (AUTHOR) federica.masiero@unimib.it

Source: SIAM Journal on Control & Optimization. 2025, Vol. 63 Issue 6, p3880-3914. 35p.

Subject Terms: STOCHASTIC differential equations, HILBERT space, STOCHASTIC control theory, VARIATIONAL principles

Rough weak solutions for singular Lévy SDEs.

Authors: Kremp, Helena¹ (AUTHOR) helena.kremp@asc.tuwien.ac.at, Perkowski, Nicolas² (AUTHOR) perkowski@math.fu-berlin.de

Source: Probability Theory & Related Fields. Oct2025, Vol. 193 Issue 1/2, p483-537. 55p.

Subject Terms: LEVY processes, STOCHASTIC differential equations, MARTINGALES (Mathematics), ITO calculus, STABILITY theory, STOCHASTIC integrals

Polynomial rates via deconvolution for nonparametric estimation in McKean–Vlasov SDEs.

Authors: Amorino, Chiara¹ (AUTHOR) chiara.amorino@upf.edu, Belomestny, Denis² (AUTHOR) denis.belomestny@uni-due.de, Pilipauskaitė, Vytautė³ (AUTHOR) vytaute.pilipauskaite@gmail.com, Podolskij, Mark⁴ (AUTHOR) mark.podolskij@uni.lu, Zhou, Shi-Yuan⁴ (AUTHOR) shi-yuan.zhou@uni.lu

Source: Probability Theory & Related Fields. Oct2025, Vol. 193 Issue 1/2, p539-584. 46p.

Subject Terms: *STOCHASTIC models, NONPARAMETRIC estimation, STOCHASTIC differential equations, MATHEMATICAL functions, INTEGRALS, ASYMPTOTIC distribution

Identification of continuous-time linear filters when only discrete-time data is available.

Authors: Buccheri, Giuseppe¹ (AUTHOR) giuseppe.buccheri@univr.it

Source: Econometric Reviews. 2025, Vol. 44 Issue 9, p1436-1461. 26p.

Subject Terms: *ESTIMATION theory, *TIME series analysis, *STOCHASTIC processes, STOCHASTIC differential equations, STOCHASTIC control theory, DIGITAL filters (Mathematics), CONTINUOUS time systems

A Kalman filter for linear systems driven by time-space Brownian sheet

Authors: Agram, Nacira, Associate professor, 1987, Øksendal, Bernt, Proske, Frank, Tymoshenko, Olena

Source: Stochastics. :1-22

Subject Terms: conditional expectation, Filtering, Kalman type filter, linear stochastic differential equations, Riccati equation, time-space Brownian sheets

File Description: print

Access URL: https://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-370092
https://doi.org/10.1080/17442508.2025.2541059

Well-posedness and approximation of reflected McKean-Vlasov SDEs with applications

Authors: Hinds, Piers D., Sharma, Akash, 1994, Tretyakov, Michael V.

Source: Mathematical Models and Methods in Applied Sciences. 35(8):1845-1887

Subject Terms: consensus-based optimization, reflected stochastic differential equations, constrained sampling, reflected mean-field diffusion, mean-field Langevin dynamics, propagation of chaos, constrained optimization, Interacting particle system

File Description: electronic

Access URL: https://research.chalmers.se/publication/546695
https://research.chalmers.se/publication/546695/file/546695_Fulltext.pdf

A Stochastic Theory of Longitudinal Dynamics and Energy Consumption of Road Vehicles

Authors: Romano, Luigi, 1994, Podgorski, Krzysztof, 1963, Emvin, Carl, 1998, Johanneson, Pär, Fredriksson, Jonas, 1972, Bruzelius, Fredrik, 1974

Source: Nytta och förtroende för elektriska fordon (U-FEEL) IEEE Transactions on Intelligent Vehicles. 10(3):1820-1840

Subject Terms: stochastic differential equations, Longitudinal vehicle dynamics, stochastic processes, energy consumption, Fokker-Planck equations

File Description: electronic

Access URL: https://research.chalmers.se/publication/543011
https://research.chalmers.se/publication/547971
https://research.chalmers.se/publication/547971/file/547971_Fulltext.pdf

Stochastic modeling with time-inhomogeneous Jacobi diffusions: applications to bounded and seasonal environmental processes

Authors: Larsson, Karl, 1974

Source: Stochastic environmental research and risk assessment (Print). 39(1):41-54

Subject Terms: Stochastic differential equations, Jacobi process, Diffusion, Seasonality, Environmental data, Relative humidity

File Description: print

Access URL: https://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-118631
https://doi.org/10.1007/s00477-024-02849-2

Ito – Stratonovich formulas and Lyapunov stability of ndimensions stochastic differential equations.

Authors: Muhammad, Ali Mahmood Jumaa¹ (AUTHOR) ali.23csp79@student.uomosul.edu.iq, Salim, Abdulghafoor Jasim² (AUTHOR) drabdul_salim@uomosul.edu.iq

Source: AIP Conference Proceedings. 2025, Vol. 3395 Issue 1, p1-10. 10p.

Subject Terms: *STOCHASTIC differential equations, *LYAPUNOV stability, *STOCHASTIC integrals, *DIFFUSION coefficients, *MATHEMATICAL equivalence, *STABILITY theory, *ITO calculus