Results 31 to 40 of about 44,706 (312)
Almost sure exponential stability of the Euler–Maruyama approximations for stochastic functional differential equations [PDF]
, 2011 By the continuous and discrete nonnegative semimartingale convergence theorems, this paper investigates conditions under which the Euler–Maruyama (EM) approximations of stochastic functional differential equations (SFDEs) can share the almost sure ...
Wu, Fuke +5 more
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Some contributions to stochastic differential equations [PDF]
, 2022 This thesis elaborates topics on a type of McKean–Vlasov stochastic differential equations and forward–backward stochastic differential equations arising from physics models. Mainly, this thesis is divided into three parts.
Yao, Yuhan
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Patchwork sampling of stochastic differential equations [PDF]
Physical Review E, 2016 We propose a method to sample stationary properties of solutions of stochastic differential equations, which is accurate and efficient if there are rarely visited regions or rare transitions between distinct regions of the state space. The method is based on a complete, non-overlapping partition of the state space into patches on which the stochastic ...
Kürsten, Rüdiger, Behn, Ulrich
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On the almost sure running maxima of solutions of affine stochastic functional differential equations [PDF]
, 2010 This paper studies the large fluctuations of solutions of scalar and finite-dimensional affine stochastic functional differential equations with finite memory as well as related nonlinear equations.
Wu, H., Appleby, John A.D., Mao, Xuerong
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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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A Dynamic Competition Analysis of Stochastic Fractional Differential Equation Arising in Finance via Pseudospectral Method [PDF]
, 2023 This research focuses on the analysis of the competitive model used in the banking sector based on the stochastic fractional differential equation. For the approximate solution, a pseudospectral technique is utilized for the proposed model based on the ...
Sami Ullah Khan, Ishtiaq Ali
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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
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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 +1 more
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Journal of Harbin University of Science and TechnologyThe 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
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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 +4 more
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