Results 41 to 50 of about 836,551 (359)
Strong approximation of monotone stochastic partial differential equations driven by white noise
IMA Journal of Numerical Analysis, 2020 We establish an optimal strong convergence rate of a fully discrete numerical scheme for second-order parabolic stochastic partial differential equations with monotone drifts, including the stochastic Allen–Cahn equation, driven by an additive space ...
Zhihui Liu, Zhonghua Qiao
semanticscholar +1 more source
A new financial chaotic model in Atangana-Baleanu stochastic fractional differential equations
Alexandria Engineering Journal, 2021 We formulate and analyze a new financial chaotic model in fractional stochastic differential equation in Atangana-Baleanu operator. The model is constructed initially in integer case and then the application of fractional and stochastic approach are used
Chen Liping +3 more
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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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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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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 +2 more
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Modified Equations for Stochastic Differential Equations [PDF]
BIT Numerical Mathematics, 2006 We describe a backward error analysis for stochastic differential equations with respect to weak convergence. Modified equations are provided for forward and backward Euler approximations to Ito SDEs with additive noise, and extensions to other types of equation and approximation are discussed.
openaire +2 more sources
The Master Equation for Large Population Equilibriums [PDF]
, 2014 We use a simple N-player stochastic game with idiosyncratic and common noises to introduce the concept of Master Equation originally proposed by Lions in his lectures at the Coll\`ege de France.
D Nualart +10 more
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Portfolio optimization based on jump-diffusion stochastic differential equation
Alexandria Engineering Journal, 2020 In order to better link the stochastic diffusion stochastic differential equation with securities investment, this paper proposes a securities portfolio optimization method of the stochastic diffusion stochastic differential equation.
Yiling Huang
doaj
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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A spectral-based numerical method for Kolmogorov equations in Hilbert spaces
, 2016 We propose a numerical solution for the solution of the Fokker-Planck-Kolmogorov (FPK) equations associated with stochastic partial differential equations in Hilbert spaces.
Delgado-Vences, Francisco J. +1 more
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