Works about STOCHASTIC differential equations

Results: 3648

ANATOMICALLY-CONSTRAINED EFFECTIVE CONNECTIVITY AMONG LAYERS IN A CORTICAL COLUMN MODELED AND ESTIMATED FROM LOCAL FIELD POTENTIALS.

Published in:

Journal of Integrative Neuroscience, 2010, v. 9, n. 4, p. 355, doi. 10.1142/S0219635210002548

By:

SOTERO, ROBERTO C.;
BORTEL, ALEKSANDRA;
MARTÍNEZ-CANCINO, RAMÓN;
NEUPANE, SUJAYA;
O'CONNOR, PETER;
CARBONELL, FELIX;
SHMUEL, AMIR

Publication type:

Article

China's carbon emission allowance prices forecasting and option designing in uncertain environment.

Published in:

Fuzzy Optimization & Decision Making, 2024, v. 23, n. 4, p. 539, doi. 10.1007/s10700-024-09432-y

By:

Jia, Lifen;
Zhang, Linya;
Chen, Wei

Publication type:

Article

Expected Power Utility Maximization of Insurers.

Published in:

Asia-Pacific Financial Markets, 2024, v. 31, n. 3, p. 543, doi. 10.1007/s10690-023-09425-8

By:

Hata, Hiroaki;
Yasuda, Kazuhiro

Publication type:

Article

Control Variate Method for Deep BSDE Solver Using Weak Approximation.

Published in:

Asia-Pacific Financial Markets, 2023, v. 30, n. 2, p. 273, doi. 10.1007/s10690-022-09374-8

By:

Tsuchida, Yoshifumi

Publication type:

Article

Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High dimensional BSDEs.

Published in:

Asia-Pacific Financial Markets, 2019, v. 26, n. 3, p. 391, doi. 10.1007/s10690-019-09271-7

By:

Fujii, Masaaki;
Takahashi, Akihiko;
Takahashi, Masayuki

Publication type:

Article

An Asymptotic Expansion for Forward-Backward SDEs: A Malliavin Calculus Approach.

Published in:

Asia-Pacific Financial Markets, 2016, v. 23, n. 4, p. 337, doi. 10.1007/s10690-016-9220-z

By:

Takahashi, Akihiko;
Yamada, Toshihiro

Publication type:

Article

Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method.

Published in:

Asia-Pacific Financial Markets, 2015, v. 22, n. 3, p. 283, doi. 10.1007/s10690-015-9201-7

By:

Fujii, Masaaki;
Takahashi, Akihiko

Publication type:

Article

An FBSDE Approach to American Option Pricing with an Interacting Particle Method.

Published in:

Asia-Pacific Financial Markets, 2015, v. 22, n. 3, p. 239, doi. 10.1007/s10690-014-9195-6

By:

Fujii, Masaaki;
Sato, Seisho;
Takahashi, Akihiko

Publication type:

Article

Dynamic Investment Strategies to Reaction-Diffusion Systems Based upon Stochastic Differential Utilities.

Published in:

Asia-Pacific Financial Markets, 2011, v. 18, n. 2, p. 131, doi. 10.1007/s10690-010-9127-z

By:

Kashiwabara, Akira;
Nakamura, Nobuhiro

Publication type:

Article

Solutions and Simulations of Some One-Dimensional Stochastic Differential Equations.

Published in:

Asia-Pacific Financial Markets, 2010, v. 17, n. 4, p. 365, doi. 10.1007/s10690-009-9109-1

By:

Klebaner, F. C.;
Azmy, E.

Publication type:

Article

Optimal risk transfer and investment policies based upon stochastic differential utilities.

Published in:

Asia-Pacific Financial Markets, 2005, v. 12, n. 4, p. 375, doi. 10.1007/s10690-006-9031-8

By:

Nakamura, Nobuhiro

Publication type:

Article

Numerical Approach to Asset Pricing Models with Stochastic Differential Utility.

Published in:

Asia-Pacific Financial Markets, 2004, v. 11, n. 3, p. 267, doi. 10.1007/s10690-005-9003-4

By:

Nakamura, Nobuhiro

Publication type:

Article

The Relations between Minimal Martingale Measure and Minimal Entropy Martingale Measure.

Published in:

Asia-Pacific Financial Markets, 2001, v. 8, n. 2, p. 167, doi. 10.1023/A:1011984313198

By:

Arai, Takuji

Publication type:

Article

Bootstrap method for misspecified ergodic Lévy driven stochastic differential equation models.

Published in:

Annals of the Institute of Statistical Mathematics, 2023, v. 75, n. 4, p. 533, doi. 10.1007/s10463-022-00854-2

By:

Uehara, Yuma

Publication type:

Article

Regularized bridge-type estimation with multiple penalties.

Published in:

Annals of the Institute of Statistical Mathematics, 2021, v. 73, n. 5, p. 921, doi. 10.1007/s10463-020-00769-w

By:

De Gregorio, Alessandro;
Iafrate, Francesco

Publication type:

Article

Global jump filters and quasi-likelihood analysis for volatility.

Published in:

Annals of the Institute of Statistical Mathematics, 2021, v. 73, n. 3, p. 555, doi. 10.1007/s10463-020-00768-x

By:

Inatsugu, Haruhiko;
Yoshida, Nakahiro

Publication type:

Article

Quasi-likelihood analysis and Bayes-type estimators of an ergodic diffusion plus noise.

Published in:

Annals of the Institute of Statistical Mathematics, 2021, v. 73, n. 1, p. 177, doi. 10.1007/s10463-020-00746-3

By:

Nakakita, Shogo H.;
Kaino, Yusuke;
Uchida, Masayuki

Publication type:

Article

Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations.

Published in:

Annals of the Institute of Statistical Mathematics, 2011, v. 63, n. 3, p. 431, doi. 10.1007/s10463-009-0263-z

By:

Yoshida, Nakahiro

Publication type:

Article

Goodness of fit test for ergodic diffusion processes.

Published in:

Annals of the Institute of Statistical Mathematics, 2009, v. 61, n. 4, p. 919, doi. 10.1007/s10463-007-0162-0

By:

Negri, Ilia;
Nishiyama, Yoichi

Publication type:

Article

Regularity of Harmonic functions for a class of singular stable-like processes.

Published in:

Mathematische Zeitschrift, 2010, v. 266, n. 3, p. 489, doi. 10.1007/s00209-009-0581-0

By:

Bass, Richard;
Zhen-Qing Chen

Publication type:

Article

ItÃ´ maps and analysis on path spaces.

Published in:

Mathematische Zeitschrift, 2007, v. 257, n. 3, p. 643, doi. 10.1007/s00209-007-0145-0

By:

K. Elworthy;
Xue-Mei Li

Publication type:

Article

On a class of degenerate elliptic operators in L <sup>1</sup> spaces with respect to invariant measures.

Published in:

Mathematische Zeitschrift, 2007, v. 256, n. 3, p. 509, doi. 10.1007/s00209-006-0082-3

By:

Giuseppe Prato;
Alessandra Lunardi

Publication type:

Article

Response of Duffing system with delayed feedback control under bounded noise excitation.

Published in:

Archive of Applied Mechanics, 2012, v. 82, n. 12, p. 1753, doi. 10.1007/s00419-012-0623-7

By:

Feng, C.;
Liu, R.

Publication type:

Article

Intelligent Adaptive Networks for Chaos Analysis in Stochastic SIS Differential Epidemic Model with the Impact of Unpredictable Environmental Factors.

Published in:

Fluctuation & Noise Letters, 2025, v. 24, n. 2, p. 1, doi. 10.1142/S0219477525500063

By:

Anwar, Nabeela;
Shahzadi, Kiran;
Zahoor Raja, Muhammad Asif;
Ahmad, Iftikhar;
Shoaib, Muhammad;
Kiani, Adiqa Kausar

Publication type:

Article

A Note on Convergence and Stability of the Truncated Milstein Method for Stochastic Differential Equations.

Published in:

Fluctuation & Noise Letters, 2024, v. 23, n. 6, p. 1, doi. 10.1142/S0219477524500640

By:

Zhan, Weijun;
Jiang, Yanan

Publication type:

Article

Numerical Reproduction on the Extinction of Stochastic Population System.

Published in:

Fluctuation & Noise Letters, 2024, v. 23, n. 4, p. 1, doi. 10.1142/S0219477524500330

By:

Cai, Yongmei

Publication type:

Article

On the Theory of a Nonlinear Dynamic Circuit Filtering.

Published in:

Fluctuation & Noise Letters, 2020, v. 19, n. 3, p. N.PAG, doi. 10.1142/S0219477520500224

By:

Bhatt, Dhruvi S.;
Nagarsheth, Shaival H.;
Sharma, Shambhu N.

Publication type:

Article

Numerical Generation of Compound Random Processes with an Arbitrary Autocorrelation Function.

Published in:

Fluctuation & Noise Letters, 2018, v. 17, n. 1, p. -1, doi. 10.1142/S0219477518500013

By:

Bykhovsky, Dima;
Trigano, Tom

Publication type:

Article

ITÔ VERSUS STRATONOVICH:: 30 YEARS LATER.

Published in:

Fluctuation & Noise Letters, 2012, v. 11, n. 1, p. 1240010-1, doi. 10.1142/S021947751240010X

By:

MANNELLA, RICCARDO;
McCLINTOCK, PETER V. E.;
Stefanovska, Aneta

Publication type:

Article

ASYMPTOTIC STOCHASTIC CHARACTERIZATION OF PHASE AND AMPLITUDE NOISE IN FREE-RUNNING OSCILLATORS.

Published in:

Fluctuation & Noise Letters, 2011, v. 10, n. 2, p. 207, doi. 10.1142/S021947751100048X

By:

TRAVERSA, FABIO L.;
BONANI, FABRIZIO;
Pennetta, Cecilia

Publication type:

Article

PROBABILITY DISTRIBUTIONS OF SCATTERED SIGNALS IN A RANDOM MULTILAYER.

Published in:

Fluctuation & Noise Letters, 2007, v. 7, n. 4, p. R49, doi. 10.1142/S021947750700415X

By:

Kim, J.-H.

Publication type:

Article

Constrained mean-variance investment-reinsurance under the Cramér–Lundberg model with random coefficients.

Published in:

ESAIM: Control, Optimisation & Calculus of Variations, 2024, v. 30, p. 1, doi. 10.1051/cocv/2024050

By:

Shi, Xiaomin;
Quan Xu, Zuo

Publication type:

Article

Mean Reflected BSDE Driven by a Marked Point Process and Application in Insurance Risk Management.

Published in:

ESAIM: Control, Optimisation & Calculus of Variations, 2024, v. 30, p. 1, doi. 10.1051/cocv/2024040

By:

Gu, Zihao;
Lin, Yiqing;
Xu, Kun

Publication type:

Article

A stochastic maximum principle for forward–backward stochastic control systems with quadratic generators and sample-wise constraints.

Published in:

ESAIM: Control, Optimisation & Calculus of Variations, 2024, v. 30, p. 1, doi. 10.1051/cocv/2024021

By:

Ji, Shaolin;
Xu, Rundong

Publication type:

Article

On mean-field control problems for backward doubly stochastic systems.

Published in:

ESAIM: Control, Optimisation & Calculus of Variations, 2024, v. 30, p. 1, doi. 10.1051/cocv/2024012

By:

Song, Jian;
Wang, Meng

Publication type:

Article

Probabilistic representation of viscosity solutions to quasi-variational inequalities with non-local drivers.

Published in:

ESAIM: Control, Optimisation & Calculus of Variations, 2023, v. 29, p. 1, doi. 10.1051/cocv/2023015

By:

Perninge, Magnus

Publication type:

Article

Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems.

Published in:

ESAIM: Control, Optimisation & Calculus of Variations, 2023, v. 29, p. 1, doi. 10.1051/cocv/2023033

By:

Sun, Jingrui;
Wu, Zhen;
Xiong, Jie

Publication type:

Article

The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon.

Published in:

ESAIM: Control, Optimisation & Calculus of Variations, 2023, v. 29, p. 1, doi. 10.1051/cocv/2023032

By:

Zheng, Yueyang;
Shi, Jingtao

Publication type:

Article

Stability in distribution and stabilization of switching jump diffusions.

Published in:

ESAIM: Control, Optimisation & Calculus of Variations, 2022, v. 28, p. 1, doi. 10.1051/cocv/2022062

By:

Tran, Ky Q.;
Nguyen, Dang H.;
Yin, George

Publication type:

Article

Two Equivalent Families of Linear Fully Coupled Forward Backward Stochastic Differential Equations.

Published in:

ESAIM: Control, Optimisation & Calculus of Variations, 2022, v. 28, p. 1, doi. 10.1051/cocv/2022073

By:

Liu, Ruyi;
Wu, Zhen;
Zhang, Detao

Publication type:

Article

General indefinite backward stochastic linear-quadratic optimal control problems.

Published in:

ESAIM: Control, Optimisation & Calculus of Variations, 2022, v. 28, p. 1, doi. 10.1051/cocv/2022030

By:

Sun, Jingrui;
Wen, Jiaqiang;
Xiong, Jie

Publication type:

Article

Dynamic programming principle and Hamilton-Jacobi-Bellman Equation under nonlinear expectation.

Published in:

ESAIM: Control, Optimisation & Calculus of Variations, 2022, v. 28, p. 1, doi. 10.1051/cocv/2022019

By:

Hu, Mingshang;
Ji, Shaolin;
Li, Xiaojuan

Publication type:

Article

Extended mean-field control problem with partial observation.

Published in:

ESAIM: Control, Optimisation & Calculus of Variations, 2022, v. 28, p. 1, doi. 10.1051/cocv/2022010

By:

Nie, Tianyang;
Yan, Ke

Publication type:

Article

Extended Mckean-Vlasov optimal stochastic control applied to smart grid management,.

Published in:

ESAIM: Control, Optimisation & Calculus of Variations, 2022, v. 28, p. N.PAG, doi. 10.1051/cocv/2022034

By:

Gobet, Emmanuel;
Grangereau, Maxime

Publication type:

Article

Dynamic optimization problems for mean-field stochastic large-population systems.

Published in:

ESAIM: Control, Optimisation & Calculus of Variations, 2022, v. 28, p. 1, doi. 10.1051/cocv/2022044

By:

Li, Min;
Li, Na;
Wu, Zhen

Publication type:

Article

Social optima in leader-follower mean field linear quadratic control.

Published in:

ESAIM: Control, Optimisation & Calculus of Variations, 2021, p. 1, doi. 10.1051/cocv/2020056

By:

Huang, Jianhui;
Wang, Bing-Chang;
Xie, Tinghan

Publication type:

Article

Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations.

Published in:

ESAIM: Control, Optimisation & Calculus of Variations, 2021, p. 1, doi. 10.1051/cocv/2020070

By:

Li, Juan;
Li, Wenqiang;
Wei, Qingmeng

Publication type:

Article

Infinite horizon backward stochastic Volterra integral equations and discounted control problems.

Published in:

ESAIM: Control, Optimisation & Calculus of Variations, 2021, v. 26, p. 1, doi. 10.1051/cocv/2021098

By:

Hamaguchi, Yushi

Publication type:

Article

Social optima in leader-follower mean field linear quadratic control.

Published in:

ESAIM: Control, Optimisation & Calculus of Variations, 2021, v. 27, p. 1, doi. 10.1051/cocv/2020056

By:

Huang, Jianhui;
Wang, Bing-Chang;
Xie, Tinghan

Publication type:

Article

Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations.

Published in:

ESAIM: Control, Optimisation & Calculus of Variations, 2021, v. 27, p. 1, doi. 10.1051/cocv/2020070

By:

Li, Juan;
Li, Wenqiang;
Wei, Qingmeng

Publication type:

Article