Results 1 to 10 of about 2,792,496 (276)

A selective review of modern stochastic modeling: SDE/SPDE numerics, data-driven identification, and generative methods with applications in biomathematics

Transactions on Computational Modeling and Intelligent Systems
This review maps 2020-2025 developments in stochastic modeling, highlighting non-standard approaches and their applications to biology and epidemiology.
Yassine Sabbar, Kottakkaran Sooppy Nisar
doaj   +1 more source

The Optimal Discretization of Stochastic Differential Equations

Journal of Complexity, 2001
The paper studies discrete time pathwise approximations of stochastic differential equations. An adaptive discretization is introduced that reflects local properties of the simulated trajectory. The corresponding error is shown to converge to zero in average with a certain rate.
Norbert Hofmann, Thomas Müller-Gronbach, Klaus Ritter 0001   +2 more
openaire   +2 more sources

Almost Surely Exponential Stability of Numerical Solutions for Stochastic Pantograph Equations

Abstract and Applied Analysis, 2014
Our effort is to develop a criterion on almost surely exponential stability of numerical solution to stochastic pantograph differential equations, with the help of the discrete semimartingale convergence theorem and the technique used in stable analysis ...
Shaobo Zhou
doaj   +1 more source

ON FUZZY STOCHASTIC DIFFERENTIAL EQUATIONS

Journal of the Korean Mathematical Society, 2005
The author considers a fuzzy stochastic differential equation containing a fuzzy valued diffusion term which is defined by a stochastic integral of a fuzzy process wrt one-dimensional Brownian motion. He develops a theory of existence and uniqueness of the solution for such systems and demonstrates how the technical machinery can be applied to ...
openaire   +2 more sources

Investigation of high order stochastic differential equations using averaging method

Vietnam Journal of Mechanics, 2007
The averaging method is a useful tool for investigating both deterministic and stochastic quasilinear system. In the stochastic problems, however, the method has often been developed only for mechanical systems subjected to white noise excitations.In the
Nguyen Dong Anh, Ngo Thi Hong Hue
doaj   +1 more source

Differential Equation–Constrained Optimization with Stochasticity

SIAM/ASA Journal on Uncertainty Quantification
27 pages, 7 ...
Qin Li 0007, Li Wang 0033, Yunan Yang
openaire   +4 more sources

Fourier Spectral Methods for Some Linear Stochastic Space-Fractional Partial Differential Equations

Mathematics, 2016
Fourier spectral methods for solving some linear stochastic space-fractional partial differential equations perturbed by space-time white noises in the one-dimensional case are introduced and analysed.
Yanmei Liu, Monzorul Khan, Yubin Yan
doaj   +1 more source

Stochastic Homogenization of Reflected Stochastic Differential Equations

Electronic Journal of Probability, 2010
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +3 more sources

About a Problem of Stabilization by Noise for a System of Linear Differential Equations

Axioms
The well-known effect of stabilization by noise for Ito’s scalar linear stochastic differential equation was proven by R.Z. Khasminskii more than 50 years ago. Here, a similar statement is obtained for a system of linear stochastic differential equations.
Leonid Shaikhet
doaj   +1 more source

A linear numerical scheme for nonlinear BSDEs with uniformly continuous coefficients

Journal of Applied Mathematics, 2004
We attempt to present a new numerical approach to solve nonlinear backward stochastic differential equations. First, we present some definitions and theorems to obtain the condition, from which we can approximate the nonlinear term of the backward ...
Omid. S. Fard, Ali V. Kamyad
doaj   +1 more source