Defines resilience evaluation D^ρ π as the L1-limit of scaled dynamic risk measure applied to process increments, and derives its dual representation as worst-case conditional expectation of an effective drift when ρ arises from BSDEs with Lipschitz or quadratic drivers.
Estimate on the pathwise lyapunov exponent of linear stochastic differential equations with constant coefficients.Stochastic Analysis and Applications, 28:747–762, 09 2010
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Integrates partial ODE physics into SDE-based causal discovery via drift-diffusion separation, with sparsity-inducing quasi-likelihood estimation, recovery guarantees for stable/unstable systems, and robustness analysis to model misspecification.
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Causal Discovery from Heteroscedastic Stochastic Dynamical Systems under Imperfect Physical Models
Integrates partial ODE physics into SDE-based causal discovery via drift-diffusion separation, with sparsity-inducing quasi-likelihood estimation, recovery guarantees for stable/unstable systems, and robustness analysis to model misspecification.