Models of stochastic dynamics of development of industrial enterprises with lagging internal and external investments [PDF]
Vestnik Samarskogo Gosudarstvennogo Tehničeskogo Universiteta. Seriâ: Fiziko-Matematičeskie Nauki, 2021 The article proposes new stochastic models of the dynamic development of enterprises that restore their production at the expense of internal and external lagging investments.
Alexander L. Saraev, Leonid A. Saraev
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Modified Equations for Stochastic Differential Equations [PDF]
BIT Numerical Mathematics, 2006 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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AIMS Mathematics, 2017 It is well-known that under suitable conditions there exists a unique solution of a ddimensional linear stochastic differential equation. The explicit expression of the solution, however, is not given in general.
Hiroshi Takahashi, Ken-ichi Yoshihara
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Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations [PDF]
Journal of nonlinear science, 2017 High-dimensional partial differential equations (PDEs) appear in a number of models from the financial industry, such as in derivative pricing models, credit valuation adjustment models, or portfolio optimization models. The PDEs in such applications are
C. Beck, Weinan E, Arnulf Jentzen
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Delayed Stochastic Linear-Quadratic Control Problem and Related Applications
Journal of Applied Mathematics, 2012 We discuss a quadratic criterion optimal control problem for stochastic linear system with delay in both state and control variables. This problem will lead to a kind of generalized forward-backward stochastic differential equations (FBSDEs) with Itô’s ...
Li Chen, Zhen Wu, Zhiyong Yu
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The Existence of Strong Solutions for a Class of Stochastic Differential Equations
International Journal of Differential Equations, 2018 In this paper, we will consider the existence of a strong solution for stochastic differential equations with discontinuous drift coefficients. More precisely, we study a class of stochastic differential equations when the drift coefficients are an ...
Junfei Zhang
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Marcus Stochastic Differential Equations: Representation of Probability Density
MathematicsMarcus stochastic delay differential equations are often used to model stochastic dynamical systems with memory in science and engineering. It is challenging to study the existence, uniqueness, and probability density of Marcus stochastic delay ...
Fang Yang, Chen Fang, Xu Sun
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Stability of Stochastic Partial Differential Equations
Axioms, 2023 In this paper, we study the stability of the stochastic parabolic differential equation with dependent coefficients. We consider the stability of an abstract Cauchy problem for the solution of certain stochastic parabolic differential equations in a ...
Allaberen Ashyralyev, Ülker Okur
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Stochastic Differential Equations
Journal of Multivariate Analysis, 1974 AbstractWhen a system is acted upon by exterior disturbances, its time-development can often be described by a system of ordinary differential equations, provided that the disturbances are smooth functions. But for sound reasons physicists and engineers usually want the theory to apply when the noises belong to a larger class, including for example ...
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Averaged Systems of Stochastic Differential Equations with Lévy Noise and Fractional Brownian Motion
Fractal and FractionalIn some problems, partial differential equations are reduced to ordinary differential equations. In special cases, when incorporating randomness, equations can be reduced to systems of stochastic differential Equations (SDEs).
Tayeb Blouhi +6 more
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