Results 1 to 10 of about 20,051 (307)

On Local Linear Approximations to Diffusion Processes [PDF]

International Journal of Mathematics and Mathematical Sciences, 2011
Diffusion models have been used extensively in many applications. These models, such as those used in the financial engineering, usually contain unknown parameters which we wish to determine.
X. L. Duan, Z. M. Qian, W. A. Zheng
doaj   +2 more sources

Higher-order approximations for space-fractional diffusion equation

Journal of Numerical Analysis and Approximation Theory
Second-order and third-order finite difference approximations for fractional derivatives are derived from a recently proposed unified explicit form. The Crank-Nicholson schemes based on these approximations are applied to discretize the space-fractional
Anura Gunarathna Wickramarachchi, Haniffa Mohamed Nasir   +1 more
doaj   +3 more sources

Diffusion approximations of some stochastic difference equations revisited

Stochastic Processes and Their Applications, 1988
In this paper, we consider the diffusion approximations of some stochastic processes with discrete parameter which are asymptotically given by stochastic difference equations.
Hisao Watanabe
exaly   +2 more sources

Some spectral problems of a diffusion operator under Paley-Wiener-based high-order approximations

Journal of Innovative Applied Mathematics and Computational Sciences
In this study, we acquired spectral results for the diffusion operator under higher-order approximations. We reconstruct the well-known techniques and derive the essential results for the presented problem.
Mine Babaoglu
doaj   +3 more sources

Fluid and diffusion approximations of probabilistic matching systems [PDF]

Queueing Systems, 2017
This paper focuses on probabilistic matching systems where two classes of users arrive at the system to match with users from the other class. The users are selective and the matchings occur probabilistically.
Burak Büke
exaly   +2 more sources

Stein's method for steady-state diffusion approximations: An introduction through the Erlang-A and Erlang-C models

Stochastic Systems, 2016
This paper provides an introduction to the Stein method framework in the context of steady-state diffusion approximations. The framework consists of three components: the Poisson equation and gradient bounds, generator coupling, and moment bounds ...
Anton Braverman, J. G. Dai, Jiekun Feng
doaj   +3 more sources

Optimized diffusion approximation [PDF]

Journal of the Optical Society of America A, 2018
We show that the diffusion approximation (DA) to the radiative transport equation, which is commonly used in biomedical optics to describe propagation of light in tissues, contains a previously unexplored adjustable parameter. This parameter is related to the rate of exponential decay of the reduced intensity.
Ugo Tricoli, Callum M. Macdonald, Anabela Da Silva, Vadim A. Markel   +3 more
openaire   +2 more sources

Diffusive Corrections to $P_N$ Approximations [PDF]

Multiscale Modeling & Simulation, 2011
22 pages, 4 ...
Matthias Schäfer 0003, Martin Frank, C. David Levermore   +2 more
openaire   +2 more sources

Diffusion Approximations of the Ruin Probability for the Insurer–Reinsurer Model Driven by a Renewal Process

Risks, 2022
We introduce here a diffusion-type approximation of the ruin probability both in finite and infinite time for a two-dimensional risk process, where claims and premiums are shared with a predetermined proportion.
Krzysztof Burnecki, Marek A. Teuerle, Aleksandra Wilkowska   +2 more
doaj   +1 more source

Asymptotic Diffusion Analysis of Multi-Server Retrial Queue with Hyper-Exponential Service

Mathematics, 2020
A multi-server retrial queue with a hyper-exponential service time is considered in this paper. The study is performed by the method of asymptotic diffusion analysis under the condition of long delay in orbit.
Alexander Moiseev, Anatoly Nazarov, Svetlana Paul   +2 more
doaj   +1 more source