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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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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Stochastic Differential Equations
Arbitrage Theory in Continuous Time, 2019 Abstract In this chapter we introduce stochastic differential equations (SDEs) and discuss existence and uniqueness questions. The geometric and linear equations are studied in some detail and their most important properties are derived. We then discuss the connection between SDEs and partial differential equations (PDEs).
V. Lakshmikantham, S.G. Deo
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Image Restoration with Mean-Reverting Stochastic Differential Equations [PDF]
International Conference on Machine Learning, 2023 This paper presents a stochastic differential equation (SDE) approach for general-purpose image restoration. The key construction consists in a mean-reverting SDE that transforms a high-quality image into a degraded counterpart as a mean state with fixed
Ziwei Luo +4 more
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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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Distribution dependent stochastic differential equations [PDF]
Frontiers of Mathematics in China, 2020 Due to their intrinsic link with nonlinear Fokker-Planck equations and many other applications, distribution dependent stochastic differential equations (DDSDEs) have been intensively investigated.
Xing Huang, Panpan Ren, Feng-Yu Wang
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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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