non-linear stochastic differential equations
The truncated Milstein method for stochastic differential equations with commutative noise
... Inspired by the truncated Euler–Maruyama method developed in Mao (2015), we propose the truncated Milstein method in this paper. The strong convergence rate is proved to be close to 1 for a class of highly ...
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An asymmetric information non zero sum differential game of mean field backward stochastic differential equation with applications
... zero-sum stochastic differential game with partial information and applied the results to study a portfolio game problem; Hafayed et ...mean-field stochastic control problem under partial information and ...
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Finite difference schemes for linear stochastic integro-differential equations
... in non-linear filtering of jump-diffusion ...about non-linear filtering of jump-diffusions and the derivation of the Zakai ...solve stochastic partial differential ...
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Non zero sum differential games of anticipated forward backward stochastic differential delayed equations under partial information and application
... as stochastic differential delayed equations (SD- DEs), which are a natural generalization of the classical SDEs and have been widely stud- ied in engineering, life science, finance, and other fields (see, for ...
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Stability of stochastic differential equations in infinite dimensions
... particular, stochastic partial differential equations with finite or infinite delays seem very important as models of biological, chemical, physical and eco- nomical ...valued, non-autonomous ...
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Mean-field type games between two players driven by backward stochastic differential equations
... librium control, stars for optimal control) are presented along with the approximation of J (dashed lines) for N = 100. The optimal control yields the lower social cost in both cases. This is expected, the general ...
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Solution of Stochastic Non Homogeneous Linear First Order Difference Equations
... difference equations. Difference equations relate to differential eq- uations as discrete mathematics relates to continuous ...of differential equations will know that even supposedly ...
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Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations
... of non-linearity in the drift and the di¤usion components in di¤usion processes representing the stochastic dynamics of short-term ...of non-linear di¤usion processes that could lead to closed ...
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Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
... the linear growth condition on drift and diffusion coefficients, ...the linear growth constraint on the diffusion coefficient and we only ask for very general monotone type growth; b) Our analysis is based ...
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Existence and stability of solutions to non linear neutral stochastic functional differential equations in the framework of G Brownian motion
... as stochastic dynamical ...weakened linear growth condition and the non-Lipschitz condition, a neutral stochastic functional differential equation in the G-frame has at most one ...mentioned ...
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On the non Lipschitz stochastic differential equations driven by fractional Brownian motion
... On most occasions, the coefficients of SDEs driven by fBm are assumed to satisfy the Lipschitz condition. The existence and uniqueness of solutions of SDEs driven by fBm with Lipschitz condition have been studied by many ...
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Almost surely asymptotic stability of neutral stochastic differential delay equations with Markovian switching
... or stochastic differential equation; the dynamics of this differential equation may depend on the value of the mode at the given ...resulting stochastic process is typically referred to as a ...
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Backward stochastic differential equations with Young drift
... in stochastic filtering, (Dan and et al 2013) gives a formal meaning to the mixed SDE by using a flow decompo- sition which separates the stochastic integration from the deterministic rough path ...
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Convergence and stability of the exponential Euler method for semi linear stochastic delay differential equations
... Most stochastic dif- ferential equations (SDEs) are nonlinear and cannot be solved explicitly, whence numerical solutions are required in ...the linear growth condition by many authors (see ...to ...
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The Application of Homotopy Analysis Method to Non-linear Reaction Diffusion System
... the non-zero auxiliary parameter h, by means of which we can control and adjust the convergence area of the series ...solvehighly non-linear problems in science and engineering without any ...
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Stochastic differential equations and integrating factor
... a differential equations model for some physical phenomenon is formulated preferably the exact solution can be ...ordinary differential equations, this is generally not possible ...
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A New Numerical Method to Solve Non Linear Fractional Differential Equations
... 11. A.S. Bataineh, A.K. Alomari, M.S.M. Noorani and I. Hashim, R. Nazar, Series Solutions of Systems of Nonlinear Fractional Differential Equations, Acta Appl Math. (105), 189-198 (2009). 12. Y. Khan and Q. ...
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Zhou’s Differential Transformation Method for Study of Arm Race Richardson Model
... Zhou’s differential transform method as an analytic tool and not as the basis for ...solving differential equations by Taylor Series [1], Also Pukhov find differential transform of functions ...
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Some of Semi Analytical Methods for Blasius Problem
... of non-parallel flows are called Blasius flows which is an important problem is interested in recently by authors ...this non-linear third order ordinary differential equation on a half-infi- ...
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On the generalization of linear least mean squares estimation to quantum systems with non-commutative outputs
... does not appeared in the dynamics of the estimator. However, note that the estimator is physically realizable if and only if κ = , since x ˆ is a process with the commutation = J. Also, remark that κ = means that the ...
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