Results 1 to 10 of about 2,971,628 (227)

Mathematica code for numerical generation of random process with given distribution and exponential autocorrelation function

SoftwareX, 2018
Stochastic simulations commonly require random process generation with a predefined probability density function (PDF) and an exponential autocorrelation function (ACF).
D. Bykhovsky
doaj   +1 more source

An Averaging Principle for Mckean–Vlasov-Type Caputo Fractional Stochastic Differential Equations

Journal of Mathematics, 2021
In this paper, we want to establish an averaging principle for Mckean–Vlasov-type Caputo fractional stochastic differential equations with Brownian motion.
Weifeng Wang, Lei Yan, Junhao Hu, Zhongkai Guo   +3 more
doaj   +1 more source

Averaging Principle for Caputo Fractional Stochastic Differential Equations Driven by Fractional Brownian Motion with Delays

Complexity, 2021
In this article, we investigate a class of Caputo fractional stochastic differential equations driven by fractional Brownian motion with delays. Under some novel assumptions, the averaging principle of the system is obtained.
Pengju Duan, Hao Li, Jie Li, Pei Zhang
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On Caputo–Katugampola Fractional Stochastic Differential Equation

Mathematics, 2022
We consider the following stochastic fractional differential equation CD0+α,ρφ(t)=κϑ(t,φ(t))w˙(t), 00 represents the noise level. The main result of the paper focuses on the energy growth bound and the asymptotic behaviour of the random solution ...
McSylvester Ejighikeme Omaba, Hamdan Al Sulaimani   +1 more
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Maximum principle for a stochastic delayed system involving terminal state constraints

Journal of Inequalities and Applications, 2017
We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state is constrained in a convex set.
Jiaqiang Wen, Yufeng Shi
doaj   +1 more source

Square-Mean Asymptotically Almost Periodic Solutions for a Class of Fractional Stochastic Differential Equation

Journal of Harbin University of Science and Technology
The study of the properties for fractional stochastic differential equation is one of the hot directions in the field of mathematics over the years.
YAO Huili, LIU Mengran, WANG Jingnan
doaj   +1 more source

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, Timofejeva Inga, Telksnys Tadas, Marcinkevicius Romas, Ragulskis Minvydas   +4 more
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Stochastic Differential Equations

Journal of Multivariate Analysis, 1974
AbstractWhen a system is acted upon by exterior disturbances, its time-development can often be described by a system of ordinary differential equations, provided that the disturbances are smooth functions. But for sound reasons physicists and engineers usually want the theory to apply when the noises belong to a larger class, including for example ...
openaire   +1 more source

On Free Stochastic Differential Equations [PDF]

Journal of Theoretical Probability, 2011
The paper derives an equation for the Cauchy transform of the solution of a free stochastic differential equation (SDE). This new equation is used to solve several particular examples of free SDEs.
openaire   +3 more sources

Discretizing a backward stochastic differential equation

International Journal of Mathematics and Mathematical Sciences, 2002
We show a simple method to discretize Pardoux-Peng's nonlinear backward stochastic differential equation. This discretization scheme also gives a numerical method to solve a class of semi-linear PDEs.
Yinnan Zhang, Weian Zheng
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