Stochastic delay differential equations with jumps
On the averaging principle for stochastic delay differential equations with jumps
... Full list of author information is available at the end of the article Abstract In this paper, we investigate the averaging principle for stochastic delay differential equations (SDDEs) and ...
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On the averaging principle for stochastic delay differential equations with jumps
... Full list of author information is available at the end of the article Abstract In this paper, we investigate the averaging principle for stochastic delay differential equations (SDDEs) and SDDEs with ...
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On neutral impulsive stochastic differential equations with Poisson jumps
... Keywords: Stochastic differential equations; Contraction mapping; Continuous dependence exponential stability; Poisson process; Impulsive system 1 Introduction Stochastic differential equations ...
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Stochastic Taylor Methods for Stochastic Delay Differential Equations
... time delay can be modeled via stochastic delay differential equations ...from stochastic Taylor expansions with time delay showed a strong order of convergence of ...
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Stochastic control for mean-field Stochastic Partial Differential Equations with jumps
... mean-field stochastic partial differen- tial equations (stochastic evolution equations) driven by a Brownian motion and an independent Poisson random measure, in the case of partial ...
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Asymptotic behaviours of stochastic differential delay equations
... on stochastic stability use a single Lyapunov function, but we shall instead use multiple Lyapunov functions in this ...tic differential delay ...on stochastic asymptotic stability, which ...
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Existence, uniqueness and stability results for impulsive stochastic functional differential equations with infinite delay and poisson jumps
... impulsive stochastic functional differential equations with infinite delay and Poisson jumps under non-Lipschitz condition with Lipschitz condition being considered as a special case by ...
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Weak order in averaging principle for stochastic differential equations with jumps
... Abstract In this paper, we deal with the averaging principle for a two-time-scale system of jump-diffusion stochastic differential equations. Under suitable conditions, we expand the weak error in powers of ...
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A Clustering Method to Solve Backward Stochastic Differential Equations with Jumps
... Abstract In this paper, we introduce a clustering method to approximate the solution to a general Backward Stochastic Differential Equation with Jumps (BSDEJ). We show the convergence of the sequence ...
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The truncated EM method for stochastic differential equations with Poisson jumps
... super-linear growth condition and the jump coe fficient satisfies the linear growth condition. The result shows that the optimal L r - convergence order is close to 1 . This is significantly di fferent from the result on ...
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Stochastic Runge-Kutta method for stochastic delay differential equations
... specifically stochastic Runge–Kutta with time delay, we propose to derive SRK for SDDE in this research as well as to approximate the strong solution of SDDE via this ...of differential ...
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Stochastic Runge-Kutta method for stochastic delay differential equations
... Dimotivasikan oleh kekurangan relatif kaedah-kaedah berangka yang boleh diakses dalam simulasi penyelesaian kukuh SDDEs, skema-skema berangka yang dibangunkan diharap dapat merapatkan ju[r] ...
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Analysis of stability for stochastic delay integro differential equations
... to stochastic delay integro-differential ...linear stochastic delay integro-differential equations, it is shown that the mean-square stability is derived by the split-step backward Euler ...
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The exponential stability for stochastic delay partial differential equations
... Keywords: Stochastic partial functional differential equations; Energy solutions; Energy equation; Exponential stability ...Recently stochastic partial differential equations in ...
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A Systematic Derivation of Stochastic Taylor Methods for Stochastic Delay Differential Equations
... of stochastic Taylor methods for solving stochastic delay differential equations (SDDEs) with a constant time lag, r > ...of stochastic Taylor expansion for SDDEs is ...
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Successive approximation of solutions to doubly perturbed stochastic differential equations with jumps
... perturbed stochastic differential equations with jumps under the local Lipschitz condi- tions, and give the p-th exponential estimates of ...
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Reflected backward stochastic differential equations with jumps and partial integro-differential variational inequalities
... Research Report n° 8213 — January 24, 2013 — 23 pages Abstract: We study the links between reflected backward stochastic differential equations (re- flected BSDEs) with jumps and partial ...
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Stability of highly nonlinear neutral stochastic differential delay equations
... Neutral Stochastic Differential Delay Equations Mingxuan Shen, Weiyin Fei, Xuerong Mao, Yong Liang Abstract—Stability criteria for neutral stochastic differential delay ...
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Approximate solutions of stochastic differential delay equations with Markovian switching
... tic differential delay equations with Markovian switching (SDDEwMSs) and to establish the convergence theory for the Euler–Maruyama approximate solutions under the local Lipschitz ...a ...
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Stabilisation of hybrid stochastic differential equations by delay feedback control
... hybrid stochastic differential equations (also known as stochastic differential equations with Markovian switching) by delay feedback ...non- delay feedback ...
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