The stochastic differential equation
Parameter estimation of stochastic differential equation
... spline; stochastic differential equation; truncated power series basis abStRak Permodelan tak-berparameter adalah satu kaedah yang sangat bergantung kepada data dan dimotivasi oleh ciri kelicinan ...
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A Stochastic Differential Equation Inventory Model
... A stochastic differential equation is put forward to model this situation with solutions to it derived when analytically ...Fokker–Planck equation for the diffusion process at the steady ...
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A stochastic differential equation SIS epidemic model
... 2 Department of Applied Mathematics, Donghua University, Shanghai 201620, China. Abstract In this paper we extend the classical SIS epidemic model from a deterministic framework to a stochastic one, and formulate ...
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A GUARANTEED CONTROL PROBLEM FOR A LINEAR STOCHASTIC DIFFERENTIAL EQUATION
... linear stochastic differential equation (SDE) from the viewpoint of the method of open-loop control packages worked out earlier for the guidance of a linear control system of ordinary ...
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Stochastic differential equation for two-phase growth model
... Thus, this research proposes to build stochastic differential equation (SDE) model for two-phase population growth model. 1.2 Problem Statement Both CTMC and SDE models have some weaknesses which are ...
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Bayesian Stochastic Differential Equation Modelling with Application to Finance
... Chapter 5 Conclusion 5.1 Summary In this thesis we have discussed inference techniques for the unknown quantities of standard and fractional stochastic differential equation models within the ...
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A note on exponential almost sure stability of stochastic differential equation
... Our goal is to relax a sufficient condition for the exponential almost sure stability of a certain class of stochastic differential equations. Compare to the existing theory, we prove the almost sure ...
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Two Implicit Runge Kutta Methods for Stochastic Differential Equation
... Received August 20, 2012; revised September 10, 2012; accepted September 17, 2012 ABSTRACT In this paper, the Itô-Taylor expansion of stochastic differential equation is briefly introduced. The ...
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The rate of convergence of Hurst index estimate for the stochastic differential equation
... Available online 23 June 2012 Abstract We consider a stochastic differential equation involving a pathwise integral with respect to fractional Brownian motion. The estimates for the Hurst parameter ...
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The rate of convergence of the Hurst index estimate for a stochastic differential equation
... of stochastic differential equation with respect to a fractional Brownian motion and establish the rate of convergence of this estimator to the true value of H when the diameter of partition of ...
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Noise Analysis of Common-Source Amplifier using Stochastic Differential Equation
... KEYWORDS: common-source amplifier, noise, stochastic differential equation, mean and variance. I. I NTRODUCTION The common-source amplifier is the most widely used in analog circuit design. In ...
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A Galerkin approximation scheme for the mean correction in a mean-reversion stochastic differential equation
... above stochastic differential equation, the mean correction function α sat- isfies a non-linear partial differential equation which is known as the viscous Burgers ...
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A stochastic differential equation SIS epidemic model with two correlated Brownian motions
... a stochastic differential equation with two cor- related Brownian motions for the number of infected population, based on the previous work from Gray et ...
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The Application of stochastic differential equation on rate of budget implementation: the case of Adigrat University
... of stochastic differential equation in the rate of budget implementation the case of Adigrat ...continuous stochastic process which is the sum of a predictable and an unpredictable ...
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STOCHASTIC DIFFERENTIAL EQUATION NOISE ANALYSIS OF COMMON-SOURCE AMPLIFIER WITH VARIABLE LOAD
... Keywords: common-source amplifier, noise, stochastic differential equation, mean and variance. I.INTRODUCTION The common-source amplifier is the most widely used in analog circuit design. In this ...
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Discretizing a backward stochastic differential equation
... Zhang [ 12 ] studied a numerical scheme to solve a coupled forward-backward sto- chastic differential equations, which converge strongly to the real solution.. His ap- proach is still qui[r] ...
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3 Parameter Estimation of Stochastic Differential Equation
... the stochastic differential equations, Milstein numerical scheme has been ...of stochastic models indicate good fits. Therefore the use of stochastic models are shown to be appropriate in ...
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Modeling Election Problem by a Stochastic Differential Equation
... the differential equation and then by the random differential equation including the above unobserva- ble ...the stochastic diffe- rential equation and simulate these solutions ...
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A stochastic differential equation model for pest management
... a stochastic integrated pest management (IPM) model with pesticides that have residual effects ...of stochastic IPM models is stochastically ul- timately bounded under some ...
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Limit theorems for solutions of stochastic differential equation problems
... A limit theorem is obtained for the eigenvalues, eigenfunctions of stochastic eigenvalue problems respectively for the solutions of stochastic boundary problems, with weakly correlated c[r] ...
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