Results 21 to 30 of about 2,603 (123)
Effect of randomly fluctuating environment on autotroph‐herbivore model system
International Journal of Mathematics and Mathematical Sciences, Volume 2004, Issue 68, Page 3703-3716, 2004., 2004 First we deal with a brief introduction of the autotroph‐herbivore model system along with deterministic analysis of local stability, bifurcation behavior, and persistence of the populations. The second part consists of the stochastic formulation of the model system to incorporate the effect of environmental fluctuation and then analysis of ...
Tapan Saha, Malay Bandyopadhyay
wiley +1 more source
On copulas of self-similar Ito processes
Dependence Modeling, 2021 We characterize the cumulative distribution functions and copulas of two-dimensional self-similar Ito processes, with randomly correlated Wiener margins, as solutions of certain elliptic partial differential equations.
Jaworski Piotr, Krzywda Marcin
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The exact solutions of the stochastic Ginzburg–Landau equation
Results in Physics, 2021 The main goal of this paper is to obtain the exact solutions of the stochastic real-valued Ginzburg–Landau equation, which is forced by multiplicative noise in the Itô sense.
Wael W. Mohammed +5 more
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Prevalence of backward stochastic differential equations with unique solution
International Journal of Stochastic Analysis, Volume 2004, Issue 2, Page 123-136, 2004., 2004 We prove that in the sense of Baire category, almost all backward stochastic differential equations (BSDEs) with bounded and continuous coefficient have the properties of existence and uniqueness of solutions as well as the continuous dependence of solutions on the coefficient and the L2‐convergence of their associated successive approximations.
K. Bahlali, B. Mezerdi, Y. Ouknine
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Dependence Modeling, 2019 We study the dynamics of the family of copulas {Ct}t≥0 of a pair of stochastic processes given by stochastic differential equations (SDE). We associate to it a parabolic partial differential equation (PDE). Having embedded the set of bivariate copulas in
Jaworski Piotr
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Second‐order neutral stochastic evolution equations with heredity
International Journal of Stochastic Analysis, Volume 2004, Issue 2, Page 177-192, 2004., 2004 Existence, continuous dependence, and approximation results are established for a class of abstract second‐order neutral stochastic evolution equations with heredity in a real separable Hilbert space. A related integro‐differential equation is also mentioned, as well as an example illustrating the theory.
Mark A. McKibben
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Backward stochastic differential equations with stochastic monotone coefficients
International Journal of Stochastic Analysis, Volume 2004, Issue 4, Page 317-335, 2004., 2004 We prove an existence and uniqueness result for backward stochastic differential equations whose coefficients satisfy a stochastic monotonicity condition. In this setting, we deal with both constant and random terminal times. In the random case, the terminal time is allowed to take infinite values.
K. Bahlali, A. Elouaflin, M. N′zi
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Journal of Biological Dynamics, 2023 In this paper, a new stochastic four-species predator-prey model with disease in the first prey is proposed and studied. First, we present the stochastic model with some biological assumptions and establish the existence of globally positive solutions ...
C. Gokila +3 more
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Some estimates on exponentials of solutions to stochastic differential equations
International Journal of Stochastic Analysis, Volume 2004, Issue 4, Page 287-316, 2004., 2004 Exponential of functionals of solutions to certain stochastic differential equations (SDEs) plays an interesting role in some mathematical finance problems. The purpose of this paper is to establish some estimates for these exponentials.
Jiongmin Yong
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Calibration and simulation of Heston model
Open Mathematics, 2017 We calibrate Heston stochastic volatility model to real market data using several optimization techniques. We compare both global and local optimizers for different weights showing remarkable differences even for data (DAX options) from two consecutive ...
Mrázek Milan, Pospíšil Jan
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