Stochastic Differential Equations (SDEs)
Backward stochastic differential equations with Young drift
... Stochastic differential equations (SDEs) driven by Brownian motion W and an addi- tional deterministic path η of low regularity (so called “mixed SDEs”) have been ...
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Accelerated Genetic Algorithm Solutions Of Some Parametric Families Of Stochastic Differential Equations
... Stochastic differential equations (SDEs) arise when a random noise is introduced into ordinary differential equations (ODEs). Let us consider first an example to illustrate the need for ...
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Path Integral Methods for Stochastic Differential Equations
... neuroscience, stochastic differential equations (SDE) have been uti- lized to model stochastic phenomena that range in scale from molecular transport in neurons, to neuronal firing, to ...
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Stochastic differential equations and integrating factor
... a stochastic term to the de- terministic differential ...called stochastic differential equations (SDEs), and the term stochastic called noise ...a differential equation ...
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Multidimensional stochastic differential equations with distributional drift
... of stochastic differential equations with generalized coefficients, it is difficult to quote them all: in particular, we refer to the case when b is a measure, [4, 7, 18, ...solving stochastic ...
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Computational method based on triangular operational matrices for solving nonlinear stochastic differential equations
... causes differential equations, integro-differential or partial differential equations involving stochastic excitations of a Gaussian white ...by stochastic ...
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Discontinuous Quantum Stochastic Differential Equations and The Associated Kurzweil Equations
... Quantum stochastic differential equations (QSDEs) of systems that exhibit discontinuity are introduced with the Kurzweil equations associated with this class of ...Kurzweil equations ...
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Boundary value problems for stochastic differential equations
... BOUNDARY VALUE PROBLEHS FOR STOCHASTIC DIFFERENTIAL EQUATIONS Thesis by Thomas 1 Tilliam HacDm rell In Partial Fulfillment of the Requirements For the Degree of Doctor of Philosophy California Institu[.] ...
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Stability of stochastic differential equations in infinite dimensions
... to stochastic differential equations with Markovian ...of stochastic differential equations has always lain at the center of our understanding concerning stochastic models ...
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Symmetrized solutions for nonlinear stochastic differential equations
... Solutions of nonlinear stochastic differential equations in series form.. can be put into convenient symmetrized forms which are easily calculable..[r] ...
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Stochastic Differential Equations: Models and Numerics - Free Computer, Programming, Mathematics, Technical Books, Lecture Notes and Tutorials
... Deterministic differential equations cannot model such transitions between equilibrium states, since a deterministic solution never escapes from a stable ...how stochastic differential ...
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Structure preserving stochastic Runge–Kutta–Nyström methods for nonlinear second order stochastic differential equations with multiplicative noise
... Stochastic differential equations (SDEs) have been widely used in many fields such as bi- ology, economics, physics and finance (see, e.g., [1–3]) when modeling dynamical phe- nomenon with random perturbation. ...
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Strong approximation for Itô stochastic differential equations
... ordinary differential equations ...few equations, the study of numerical methods have become more important and these must be designed to be implemented with a certain order of ...
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Online Nonparametric Estimation of Stochastic Differential Equations
... Stochastic di ff erential equations (SDEs) are an essential tool to describe the randomness of a dynamic system. For example, physicists use this tool to model the time evolution of particles due to thermal ...
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On stochastic differential equations and a generalised Burgers equation
... parabolic equations of Burgers-KPZ type from multidimensional SDEs and from SDEs on connected complete manifolds, by utilising arguments different from the method given in the present paper, in such a manner that ...
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An improved Milstein method for stiff stochastic differential equations
... differential equations (SDEs) play a prominent role in a range of scientific ar- eas like biology, chemistry, epidemiology, mechanics, microelectronics, and finance ...
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Numerical methods for simulation of stochastic differential equations
... differential equations (SDEs), namely the Euler-Maruyama (EM) and Milstein methods. These methods are based on the truncated Ito-Taylor expansion. In our study we deal with a nonlinear SDE. We approximate to ...
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Measure of noncompactness and application to stochastic differential equations
... 4. Rodkina, A: Solubility of stochastic differential equations with perturbed argument. Ukr. Math. J. 37(1), 98-103 (1985) 5. Veretennikov, AY: On strong solutions of stochastic differential ...
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Credit Rating Modelled with Reflected Stochastic Differential Equations
... The main focus of this paper is to model credit rating using one-dimensional reflected stochastic differential equation with motivation from A. V. Skorohod [7], H. Tananka [8], and N. Ikeda and S. Watanabe ...
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On neutral impulsive stochastic differential equations with Poisson jumps
... 11. Hale, J., Verduyn Lunel, S.M.: Introduction to Functional Differential Equations. Springer, New York (1993) 12. Ikeda, N., Watanabe, S.: Stochastic Differential Equations and Diffusion Processes. ...
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