Works matching DE "NUMERICAL solutions to stochastic differential equations"

Results: 152

Numerical solutions of regime-switching functional diffusions with infinite delay.

Published in:

Stochastic Models, 2024, v. 40, n. 4, p. 617, doi. 10.1080/15326349.2024.2398514

By:

Zhen, Yuhang;
Xi, Fubao

Publication type:

Article

A Weak Approximation of Stochastic Differential Equations with Jumps Through Tempered Polynomial Optimization.

Published in:

Stochastic Models, 2011, v. 27, n. 1, p. 26, doi. 10.1080/15326349.2011.542721

By:

Kashima, Kenji;
Kawai, Reiichiro

Publication type:

Article

Strong solutions to stochastic equations with Lévy noise and a discontinuous drift coefficient.

Published in:

Doklady Mathematics, 2015, v. 92, n. 1, p. 471, doi. 10.1134/S1064562415040213

By:

Bogachev, V.;
Pilipenko, A.

Publication type:

Article

A study of metastable ion Coulomb crystals in a polychromatic all-optical trap: Decay process analysis by using supercomputer simulations.

Published in:

European Physical Journal D (EPJ D), 2019, v. 73, n. 10, p. N.PAG, doi. 10.1140/epjd/e2019-100252-5

By:

Krasnov, Igor V.;
Kamenshchikov, Leonid P.

Publication type:

Article

Duplicating and Pricing Contingent Claims in Incomplete Markets.

Published in:

Pacific Economic Review, 1999, v. 4, n. 3, p. 237, doi. 10.1111/1468-0106.00076

By:

Peng, Shige;
Yang, Feng

Publication type:

Article

Backward Stochastic Differential Equation with Monotone and Continuous Coefficient.

Published in:

IAENG International Journal of Applied Mathematics, 2009, v. 39, n. 4, p. 231

By:

Xiaoqin Huang;
Xiaojie Liu

Publication type:

Article

CLASSICAL AND IMPULSE STOCHASTIC CONTROL OF THE EXCHANGE RATE USING INTEREST RATES AND RESERVES.

Published in:

Mathematical Finance, 2000, v. 10, n. 2, p. 141

By:

Zapatero, Fernando;
Cadenillas, Abel

Publication type:

Article

Robust Portfolio Choice and Indifference Valuation.

Published in:

Mathematics of Operations Research, 2014, v. 39, n. 4, p. 1109, doi. 10.1287/moor.2014.0646

By:

Laeven, Roger J. A.;
Stadje, Mitja

Publication type:

Article

EXPONENTIAL STABILITY OF LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS WITH BOUNDED DELAY AND THE W-TRANSFORM.

Published in:

Electronic Journal of Qualitative Theory of Differential Equations, 2008, p. 1, doi. 10.14232/ejqtde.2008.1.23

By:

Kadiev, Ramazan I.;
Ponosov, Arcady

Publication type:

Article

A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients.

Published in:

Discrete & Continuous Dynamical Systems - Series B, 2019, v. 24, n. 8, p. 3475, doi. 10.3934/dcdsb.2018253

By:

Kruse, Raphael;
Wu, Yue

Publication type:

Article

Convergence rate and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments.

Published in:

Discrete & Continuous Dynamical Systems - Series B, 2019, v. 24, n. 2, p. 695, doi. 10.3934/dcdsb.2018203

By:

Lu, Yulan;
Song, Minghui;
Liu, Mingzhu

Publication type:

Article

STOCHASTICALLY PERTURBED SLIDING MOTION IN PIECEWISE-SMOOTH SYSTEMS.

Published in:

Discrete & Continuous Dynamical Systems - Series B, 2014, v. 19, n. 9, p. 2889, doi. 10.3934/dcdsb.2014.19.2889

By:

SIMPSON, D. J. W.;
KUSKE, R.

Publication type:

Article

Estimates of Sample Paths of Dynamical Systems Described by Stochastic Differential Equations.

Published in:

Southeast Asian Bulletin of Mathematics, 2009, v. 33, n. 3, p. 497

By:

Nguyen Huu Du;
Nguyen Van Sanh

Publication type:

Article

L solutions of finite and infinite time interval BSDEs with non-Lipschitz coefficients.

Published in:

Stochastics: An International Journal of Probability & Stochastic Processes, 2012, v. 84, n. 4, p. 487, doi. 10.1080/17442508.2011.615933

By:

Fan, Sheng Jun;
Jiang, Long

Publication type:

Article

Existence and exponential stability of almost automorphic mild solutions for stochastic functional differential equations.

Published in:

Stochastics: An International Journal of Probability & Stochastic Processes, 2011, v. 83, n. 3, p. 259, doi. 10.1080/17442508.2010.533375

By:

Cao, Junfei;
Yang, Qigui;
Huang, Zaitang

Publication type:

Article

TIME-INCONSISTENT RECURSIVE ZERO-SUM STOCHASTIC DIFFERENTIAL GAMES.

Published in:

Mathematical Control & Related Fields, 2018, v. 8, n. 3/4, p. 1051, doi. 10.3934/mcrf.2018045

By:

Wei, Qingmeng;
Yu, Zhiyong

Publication type:

Article

FORWARD BACKWARD SDES IN WEAK FORMULATION.

Published in:

Mathematical Control & Related Fields, 2018, v. 8, n. 3/4, p. 1021, doi. 10.3934/mcrf.2018044

By:

Wang, Haiyang;
Zhang, Jianfeng

Publication type:

Article

CONSTRAINED BSDES, VISCOSITY SOLUTIONS OF VARIATIONAL INEQUALITIES AND THEIR APPLICATIONS.

Published in:

Mathematical Control & Related Fields, 2013, v. 3, n. 2, p. 233, doi. 10.3934/mcrf.2013.3.233

By:

SHIGE PENG;
MINGYU XU

Publication type:

Article

The support of the solution for stochastic differential equations driven by G-Brownian motion.

Published in:

Acta Mathematica Sinica, 2012, v. 28, n. 12, p. 2417, doi. 10.1007/s10114-012-0726-7

By:

Gao, Fu;
Xu, Ming

Publication type:

Article

General decay pathwise stability of neutral stochastic differential equations with unbounded delay.

Published in:

Acta Mathematica Sinica, 2011, v. 27, n. 11, p. 2153, doi. 10.1007/s10114-011-9456-5

By:

Hu, Yang;
Wu, Fu;
Huang, Cheng

Publication type:

Article

Global existence of solutions for stochastic impulsive differential equations.

Published in:

Acta Mathematica Sinica, 2011, v. 27, n. 4, p. 773, doi. 10.1007/s10114-011-8650-9

By:

Shen, Li;
Sun, Ji

Publication type:

Article

THE EXACT DISCRETE MODEL OF A THIRD-ORDER SYSTEM OF LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS WITH OBSERVABLE STOCHASTIC TRENDS.

Published in:

Macroeconomic Dynamics, 2009, v. 13, n. 5, p. 656, doi. 10.1017/S1365100509080274

By:

Simos, Theodore

Publication type:

Article

Uniqueness of Solutions of Stochastic Differential Equations.

Published in:

IMRN: International Mathematics Research Notices, 2007, v. 2007, p. 1, doi. 10.1093/imrn/rnm124

By:

Davie, A. M.

Publication type:

Article

Existence of solutions and approximate controllability of impulsive fractional stochastic differential systems with infinite delay and Poisson jumps.

Published in:

Applications of Mathematics, 2015, v. 60, n. 4, p. 395, doi. 10.1007/s10492-015-0103-9

By:

Rajivganthi, Chinnathambi;
Thiagu, Krishnan;
Muthukumar, Palanisamy;
Balasubramaniam, Pagavathigounder

Publication type:

Article

Backward doubly stochastic differential equations with infinite time horizon.

Published in:

Applications of Mathematics, 2012, v. 57, n. 6, p. 641, doi. 10.1007/s10492-012-0039-2

By:

Zhu, Bo;
Han, Baoyan

Publication type:

Article

PROBABILISTIC METHODS FOR THE INCOMPRESSIBLE NAVIER-STOKES EQUATIONS WITH SPACE PERIODIC CONDITIONS.

Published in:

Advances in Applied Probability, 2013, v. 45, n. 3, p. 742, doi. 10.1239/aap/1377868537

By:

MILSTEIN, G. N.;
TRETYAKOV, M. V.

Publication type:

Article

On Lie-point symmetries for Ito stochastic differential equations.

Published in:

Journal of Nonlinear Mathematical Physics, 2017, v. 24, p. 90, doi. 10.1080/14029251.2017.1418056

By:

Gaeta, G.;
Lunini, C.

Publication type:

Article

EXPLICIT SOLUTION PROCESSES FOR NONLINEAR JUMP-DIFFUSION EQUATIONS.

Published in:: Journal of Nonlinear Mathematical Physics, 2010, v. 17, n. 3, p. 281, doi. 10.1142/S1402925110000908
Publication type:: Article

A Novel Study Based on Shifted Jacobi Polynomials to Find the Numerical Solutions of Nonlinear Stochastic Differential Equations Driven by Fractional Brownian Motion.

Published in:

Computational Methods in Applied Mathematics, 2023, v. 23, n. 3, p. 715, doi. 10.1515/cmam-2022-0187

By:

Singh, P. K.;
Saha Ray, S.

Publication type:

Article

An Approximation Scheme for Diffusion Processes Based on an Antisymmetric Calculus over Wiener Space.

Published in:

Asia-Pacific Financial Markets, 2015, v. 22, n. 2, p. 185, doi. 10.1007/s10690-014-9199-2

By:

Yoshikawa, Kazuhiro

Publication type:

Article

An oscillation of the solution for a nonlinear second-order stochastic differential equation.

Published in:

Journal of Computational Analysis & Applications, 2016, v. 20, n. 5, p. 860

By:

Komashynska, Iryna;
AL-Smadi, Mohammed;
Ateiwi, Ali;
Al e'damat, Ayed

Publication type:

Article

Approximations of the Euler–Maruyama Method of Stochastic Differential Equations with Regime Switching.

Published in:

Mathematics (2227-7390), 2024, v. 12, n. 12, p. 1819, doi. 10.3390/math12121819

By:

Zhen, Yuhang

Publication type:

Article

Hybrid Neural Networks for Solving Fully Coupled, High-Dimensional Forward–Backward Stochastic Differential Equations.

Published in:

Mathematics (2227-7390), 2024, v. 12, n. 7, p. 1081, doi. 10.3390/math12071081

By:

Wang, Mingcan;
Wang, Xiangjun

Publication type:

Article

Numerical Solutions of Stochastic Differential Equations with Jumps and Measurable Drifts.

Published in:

Mathematics (2227-7390), 2023, v. 11, n. 17, p. 3755, doi. 10.3390/math11173755

By:

Siddiqui, Maryam;
Eddahbi, Mhamed;
Kebiri, Omar

Publication type:

Article

Almost Sure Exponential Stability of Numerical Solutions for Stochastic Pantograph Differential Equations with Poisson Jumps.

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 17, p. 3137, doi. 10.3390/math10173137

By:

Abou-Senna, Amr;
Tian, Boping

Publication type:

Article

Review on the Brownian Dynamics Simulation of Bead-Rod-Spring Models Encountered in Computational Rheology.

Published in:

Archives of Computational Methods in Engineering, 2012, v. 19, n. 2, p. 227, doi. 10.1007/s11831-012-9072-2

By:

Cruz, C.;
Chinesta, F.;
Régnier, G.

Publication type:

Article

Efficient Approximate Techniques for Integrating Stochastic Differential Equations.

Published in:

Monthly Weather Review, 2006, v. 134, n. 10, p. 3006, doi. 10.1175/MWR3192.1

By:

Hansen, James A.;
Penland, Cecile

Publication type:

Article

One-compartment stochastic pharmacokinetic model.

Published in:

Universitas Scientiarum, 2023, v. 28, n. 1, p. 23, doi. 10.11144/Javeriana.SC281.ocsp

By:

Cano Macias, Ricardo;
Jiménez Moscoso, José Alfredo;
Ruiz Vera, Jorge Mauricio

Publication type:

Article

The Pathwise Numerical Approximation of Stationary Solutions of Semilinear Stochastic Evolution Equations.

Published in:

Applied Mathematics & Optimization, 2006, v. 54, n. 3, p. 401, doi. 10.1007/s00245-006-0876-z

By:

Caraballo, T.;
Kloeden, P. E.

Publication type:

Article

A Comparative Analysis of Efficiency of Using the Legendre Polynomials and Trigonometric Functions for the Numerical Solution of Ito Stochastic Differential Equations.

Published in:

Computational Mathematics & Mathematical Physics, 2019, v. 59, n. 8, p. 1236, doi. 10.1134/S0965542519080116

By:

Kuznetsov, D. F.

Publication type:

Article

Participating life insurance policies: an accurate and efficient parallel software for COTS clusters.

Published in:

Computational Management Science, 2011, v. 8, n. 3, p. 219, doi. 10.1007/s10287-009-0100-0

By:

Corsaro, S.;
De Angelis, P.;
Marino, Z.;
Perla, F.

Publication type:

Article

A NOTE ON THE APPROXIMATE SOLUTIONS FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY G-BROWNIAN MOTION.

Published in:

Journal of Computational Analysis & Applications, 2020, v. 28, n. 5, p. 798

By:

Faizullah, F.;
Ullah, R.;
Majdoubi, Jihen;
Tlili, I.;
Khan, I.;
Rahman, Ghaus ur

Publication type:

Article

Fourier Approximation Schemes of Stochastic Pseudo-Hyperbolic Equations with Cubic Nonlinearity and Regular Noise.

Published in:

Journal of Computational Analysis & Applications, 2020, v. 28, n. 1, p. 35

By:

Tengjin Zhao;
Chenzhong Wang;
Quanyong Zhu;
Zhiyue Zhang

Publication type:

Article

Existence of weak solutions of stochastic differential equations with standard and fractional Brownian motions and with discontinuous coefficients.

Published in:

Differential Equations, 2014, v. 50, n. 2, p. 189, doi. 10.1134/S0012266114020062

By:

Levakov, A.;
Vas'kovskii, M.

Publication type:

Article

Stability-Like Properties of Stochastic Differential Equations.

Published in:

Differential Equations, 2003, v. 39, n. 12, p. 1703, doi. 10.1023/B:DIEQ.0000023550.21162.c0

By:

Merenkov, Yu. N.

Publication type:

Article

Multigrid for American option pricing with stochastic volatility.

Published in:

Applied Mathematical Finance, 1999, v. 6, n. 3, p. 177, doi. 10.1080/135048699334528

By:

Clarke, Nigel;
Parrott, Kevin

Publication type:

Article

Stochastic Equation of Fragmentation and Branching Processes Related to Avalanches.

Published in:

Journal of Statistical Physics, 2016, v. 162, n. 4, p. 824, doi. 10.1007/s10955-015-1432-5

By:

Beznea, Lucian;
Deaconu, Madalina;
Lupaşcu, Oana

Publication type:

Article

Accuracy of Maximum Likelihood Parameter Estimators for Heston Stochastic Volatility SDE.

Published in:

Journal of Statistical Physics, 2015, v. 159, n. 2, p. 393, doi. 10.1007/s10955-014-1120-x

By:

Azencott, Robert;
Gadhyan, Yutheeka

Publication type:

Article

Universal Behaviour of (2+1)-Dimensional Stochastic Equations for Epitaxial Growth Processes.

Published in:

Journal of Statistical Physics, 2012, v. 149, n. 6, p. 1086, doi. 10.1007/s10955-012-0651-2

By:

Xia, Hui;
Tang, Gang;
Xun, Zhi-peng;
Hao, Da-peng

Publication type:

Article

Comparison Between Milstein and Exact Coupling Methods using MATLAB for a Particular Two-Dimensional Stochastic Differential Equation.

Published in:

Journal of Information Science & Engineering, 2020, v. 36, n. 6, p. 1223, doi. 10.6688/JISE.202011_36(6).0006

By:

ALNAFISAH, YOUSEF ALI

Publication type:

Article