Results 21 to 30 of about 323,277 (326)

A kind of non-zero sum mixed differential game of backward stochastic differential equation

Advances in Difference Equations, 2020
This paper is concerned with a non-zero sum mixed differential game problem described by a backward stochastic differential equation. Here the term “mixed” means that this game problem contains a deterministic control v1 $v_{1}$ of Player 1 and a random ...
Huanjun Zhang
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Modified Equations for Stochastic Differential Equations [PDF]

BIT Numerical Mathematics, 2006
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Identification and estimation of continuous time dynamic systems with exogenous variables using panel data [PDF]

, 1993
This paper deals with the identification and maximum likelihood estimation of the parameters of a stochastic differential equation from discrete time sampling. Score function and maximum likelihood equations are derived explicitly.
Hamerle, Alfred, Nagl, Willi, Singer, Hermann   +2 more
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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
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A test of backward stochastic differential equations solver for solving semilinear parabolic differential equations in 1D and 2D

Partial Differential Equations in Applied Mathematics, 2022
Backward stochastic differential equation solver was first introduced by Han et al in 2017. A semilinear parabolic partial differential equation is converted into a stochastic differential equation, and then solved by the backward stochastic differential
Evan Davis, Guangming Yao, Elizabeth Javor, Kalani Rubasinghe, Luis Antonio Topete Galván   +4 more
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Differentiability of backward stochastic differential equations in Hilbert spaces with monotone generators [PDF]

, 2006
The aim of the present paper is to study the regularity properties of the solution of a backward stochastic differential equation with a monotone generator in infinite dimension.
A. Bensoussan, A. Bensoussan, E. Pardoux, E. Pardoux, E. Pardoux, E. Pardoux, F. Gozzi, Fulvia Confortola, G. Da Prato, J. Ma, J. Zabczyk, M. Fuhrman, M. Fuhrman, N. El Karoui, N. El Karoui, Ph. Briand, Philippe Briand, S. Cerrai, S. Peng, S. Peng, S. Peng, S. Peng, W.H. Fleming   +22 more
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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.
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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
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STATIONARY SOLUTIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS WITH MEMORY AND STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS

Communications in Contemporary Mathematics, 2005
We explore Itô stochastic differential equations where the drift term possibly depends on the infinite past. Assuming the existence of a Lyapunov function, we prove the existence of a stationary solution assuming only minimal continuity of the coefficients.
Bakhtin, Y, Mattingly, JC
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Multi-dimensional Legendre wavelets approach on the Black-Scholes and Heston Cox Ingersoll Ross equations

AIMS Mathematics, 2019
The one dimension Legendre Wavelet is a numerical method to solve one dimension equation. In this paper Black-Scholes equation (B-S), that has applied via single asset American option and Heston Cox- Ingersoll- Ross equation (HCIR), as partial ...
Jafar Biazar, Fereshteh Goldoust
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