Results 21 to 30 of about 211 (177)
Mean square exponential stability of stochastic function differential equations in the G-framework
Open Mathematics, 2023 This research focuses on the stochastic functional differential equations driven by G-Brownian motion (G-SFDEs) with infinite delay. It is proved that the trivial solution of a G-SFDE with infinite delay is exponentially stable in mean square. An example
Li Guangjie, Hu Zhipei
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Construction of special soliton solutions to the stochastic Riccati equation
Open Mathematics, 2022 A scheme for the analytical stochastization of ordinary differential equations (ODEs) is presented in this article. Using Itô calculus, an ODE is transformed into a stochastic differential equation (SDE) in such a way that the analytical solutions of the
Navickas Zenonas +4 more
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Construction of analytical solutions to systems of two stochastic differential equations
Open Mathematics, 2023 A scheme for the stochastization of systems of ordinary differential equations (ODEs) based on Itô calculus is presented in this article. Using the presented techniques, a system of stochastic differential equations (SDEs) can be constructed in such a ...
Navickas Zenonas +4 more
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Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff [PDF]
, 2009 Barrier option, Complexity, Digital option, Euler–Maruyama, Lookback option, Path-dependent option, Statistical error, Strong error, Weak error, 65C05, 60H10, C15, C63,
Higham, Desmond J. +8 more
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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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A Model for Liver Homeostasis Using Modified Mean‐Reverting Ornstein–Uhlenbeck Process
Computational and Mathematical Methods in Medicine, Volume 11, Issue 1, Page 27-47, 2010., 2010 Short of a liver biopsy, hepatic disease and drug‐induced liver injury are diagnosed and classified from clinical findings, especially laboratory results. It was hypothesized that a healthy hepatic dynamic equilibrium might be modelled by an Ornstein–Uhlenbeck (OU) stochastic process, which might lead to more sensitive and specific diagnostic criteria.
D. C. Trost +4 more
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Predictability and uniqueness of weak solutions of the stochastic differential equations
Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica, 2023 Causality is a topic which receives much attention nowadays and it represents a prediction property in the context of possible reduction of available information in order to predict a given filtration.
Merkle Ana
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Exact solutions of the stochastic new coupled Konno-Oono equation
Results in Physics, 2021 In this paper we consider the stochastic Konno-Oono equation, which is forced by multiplicative noise. In order to find exact solutions of stochastic nonlinear Konno-Oono equations, generalized G′G-expansion method are implemented.
Wael W. Mohammed +3 more
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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
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Open Mathematics, 2022 In this paper, our aims are to study the stability with general decay rate of hybrid stochastic fractional differential equations driven by Lévy noise with impulsive effects.
Hou Tingting, Zhang Hui
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