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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Large deviations for stochastic Kuramoto–Sivashinsky equation with multiplicative noise
Nonlinear Analysis, 2021 The Kuramoto–Sivashinsky equation is a nonlinear parabolic partial differential equation, which describes the instability and turbulence of waves in chemical reactions and laminar flames. The aim of this work is to prove the large deviation principle for
Gregory Amali Paul Rose +2 more
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Modeling water table fluctuations by means of a stochastic differential equation [PDF]
, 1998 Marc F. P. Bierkens
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Existence and Uniqueness of the Solution of Stochastic Differential Equation Involving Wiener Process and Fractional Brownian Motion with Hurst Index H > 1/2 [PDF]
, 2011 We consider a mixed stochastic differential equation driven by possibly dependent fractional Brownian motion and Brownian motion. Under mild regularity assumptions on the coefficients, it is proved that the equation has a unique solution.
Y. Mishura, G. Shevchenko
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Efficient Memristive Stochastic Differential Equation Solver
Advanced Intelligent Systems, 2023 Herein, an efficient numerical solver for stochastic differential equations based on memristors is presented. The solver utilizes the stochastic switching effect in memristive devices to simulate the generation of a Brownian path and employs iterative ...
Xuening Dong +4 more
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Adiabatic elimination in quantum stochastic models [PDF]
, 2007 We consider a physical system with a coupling to bosonic reservoirs via a quantum stochastic differential equation. We study the limit of this model as the coupling strength tends to infinity.
A.C. Doherty +23 more
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Stochastic differential equation models for ion channel noise in Hodgkin-Huxley neurons. [PDF]
Physical review. E, Statistical, nonlinear, and soft matter physics, 2010 The random transitions of ion channels between conducting and nonconducting states generate a source of internal fluctuations in a neuron, known as channel noise.
Joshua H. Goldwyn +3 more
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Probabilistic Representations of Solutions of the Forward Equations [PDF]
, 2007 In this paper we prove a stochastic representation for solutions of the evolution equation $ \partial_t \psi_t = {1/2}L^*\psi_t $ where $ L^* $ is the formal adjoint of an elliptic second order differential operator with smooth coefficients corresponding
Rajeev, B., Thangavelu, S.
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Maple for Stochastic Differential Equations [PDF]
, 2001 This paper introduces the MAPLE software package stochastic consisting of MAPLE routines for stochastic calculus and stochastic differential equations and for constructing basic numerical methods for specific stochastic differential equations, with simple examples illustrating the use of the routines.
Grüne, Lars +2 more
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A Stochastic Differential Equation SIS Epidemic Model
SIAM Journal on Applied Mathematics, 2011 In this paper we extend the classical susceptible-infected-susceptible epidemic model from a deterministic framework to a stochastic one and formulate it as a stochastic differential equation (SDE) for the number of infectious individuals $I(t)$. We then
A. Gray +4 more
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