Results 21 to 30 of about 327,410 (288)

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

Derivation and computation of discrete-delayand continuous-delay SDEs in mathematical biology

Mathematical Biosciences and Engineering, 2013
Stochastic versions of several discrete-delay and continuous-delay differential equations, useful in mathematical biology, are derived from basic principles carefully taking into account the demographic, environmental, or physiological randomness in the ...
Edward J. Allen
doaj   +1 more source

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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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
doaj   +1 more source

Penalization method for a nonlinear Neumann PDE via weak solutions of reflected SDEs

, 2013
In this paper we prove an approximation result for the viscosity solution of a system of semi-linear partial differential equations with continuous coefficients and nonlinear Neumann boundary condition. The approximation we use is based on a penalization
Bahlali, Khaled, Maticiuc, Lucian, Zalinescu, Adrian   +2 more
core   +3 more sources

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

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
doaj   +1 more source

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
doaj   +1 more source

Linearly Solvable Stochastic Control Lyapunov Functions [PDF]

, 2016
This paper presents a new method for synthesizing stochastic control Lyapunov functions for a class of nonlinear stochastic control systems. The technique relies on a transformation of the classical nonlinear Hamilton-Jacobi-Bellman partial differential ...
Burdick, Joel W., Horowitz, Matanya B., Leong, Yoke Peng   +2 more
core   +3 more sources

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
doaj   +1 more source