Analytical Solutions for Multi-Time Scale Fractional Stochastic Differential Equations Driven by Fractional Brownian Motion and Their Applications [PDF]
Entropy, 2018 In this paper, we investigate analytical solutions of multi-time scale fractional stochastic differential equations driven by fractional Brownian motions.
Xiao-Li Ding, Juan J. Nieto
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Conservative Continuous-Stage Stochastic Runge–Kutta Methods for Stochastic Differential Equations
Fractal and Fractional, 2023 In this paper, we develop a new class of conservative continuous-stage stochastic Runge–Kutta methods for solving stochastic differential equations with a conserved quantity. The order conditions of the continuous-stage stochastic Runge–Kutta methods are
Xiuyan Li +3 more
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Stochastic Runge–Kutta methods for multi-dimensional Itô stochastic differential algebraic equations
Results in Applied Mathematics, 2021 In this paper, we discuss the numerical solutions to index 1 stochastic differential algebraic equations. We introduce a new class of weak second-order stochastic Runge–Kutta methods for finding the numerical approximate solutions to multi-dimensional ...
Priya Nair, Anandaraman Rathinasamy
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A sufficient maximum principle for backward stochastic systems with mixed delays
Mathematical Biosciences and Engineering, 2023 In this paper, we study the problem of optimal control of backward stochastic differential equations with three delays (discrete delay, moving-average delay and noisy memory). We establish the sufficient optimality condition for the stochastic system. We
Heping Ma, Hui Jian , Yu Shi
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Optimal harvesting for a stochastic competition system with stage structure and distributed delay
Electronic Journal of Qualitative Theory of Differential Equations, 2021 A stochastic competition system with harvesting and distributed delay is investigated, which is described by stochastic differential equations with distributed delay.
Yue Zhang, Jing Zhang
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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 +3 more
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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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Journal of Function Spaces, 2020 In this paper, we investigate the stochastic averaging method for neutral stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter H∈1/2,1.
Peiguang Wang, Yan Xu
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Caratheodory’s approximation for a type of Caputo fractional stochastic differential equations
Advances in Difference Equations, 2020 The Caratheodory approximation for a type of Caputo fractional stochastic differential equations is considered. As is well known, under the Lipschitz and linear growth conditions, the existence and uniqueness of solutions for some type of differential ...
Zhongkai Guo, Junhao Hu, Weifeng Wang
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Stability Analysis for a Class of Stochastic Differential Equations with Impulses
Mathematics, 2023 This paper is concerned with the problem of asymptotic stability for a class of stochastic differential equations with impulsive effects. A sufficient criterion on asymptotic stability is derived for such impulsive stochastic differential equations via ...
Mingli Xia +3 more
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