Results 31 to 40 of about 542,973 (204)
Periodic Averaging Principle for Neutral Stochastic Delay Differential Equations with Impulses
Complexity, 2020 In this paper, we study the periodic averaging principle for neutral stochastic delay differential equations with impulses under non-Lipschitz condition.
Peiguang Wang, Yan Xu
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Strong Solutions of Mean-Field Stochastic Differential Equations with irregular drift [PDF]
, 2018 We investigate existence and uniqueness of strong solutions of mean-field stochastic differential equations with irregular drift coefficients. Our direct construction of strong solutions is mainly based on a compactness criterion employing Malliavin ...
Martin Bauer +2 more
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Distribution dependent stochastic differential equations [PDF]
Frontiers of Mathematics in China, 2016 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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Ergodicity of stochastic differential equations with jumps and singular coefficients [PDF]
Annales De L Institut Henri Poincare-probabilites Et Statistiques, 2017 We show the strong well-posedness of SDEs driven by general multiplicative Levy noises with Sobolev diffusion and jump coefficients and integrable drift.
Longjie Xie, Xicheng Zhang
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Bisimulation Relations Between Automata, Stochastic Differential Equations and Petri Nets [PDF]
Electronic Proceedings in Theoretical Computer Science, 2010 Two formal stochastic models are said to be bisimilar if their solutions as a stochastic process are probabilistically equivalent. Bisimilarity between two stochastic model formalisms means that the strengths of one stochastic model formalism can be used
Mariken H.C. Everdij, Henk A.P. Blom
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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
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Analysis of stability for stochastic delay integro-differential equations
Journal of Inequalities and Applications, 2018 In this paper, we concern stability of numerical methods applied to stochastic delay integro-differential equations. For linear stochastic delay integro-differential equations, it is shown that the mean-square stability is derived by the split-step ...
Yu Zhang, Longsuo Li
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On stability for numerical approximations of stochastic ordinary differential equations
Electronic Journal of Qualitative Theory of Differential Equations, 2004 Stochastic ordinary differential equations (SODE) represent physical phenomena driven by stochastic processes. Like for deterministic differential equations, various numerical schemes are proposed for SODE (see references).
R. Horváth Bokor
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Numerical methods for simulation of stochastic differential equations
, 2018 In this paper we are concerned with numerical methods to solve stochastic differential equations (SDEs), namely the Euler-Maruyama (EM) and Milstein methods. These methods are based on the truncated Ito-Taylor expansion.
M. Bayram +2 more
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MathematicsThis paper examines fractional multi-time scale stochastic functional differential equations that, in addition, are driven by fractional noises. Based on a specially crafted fixed-point principle for the so-called “local operators”, we prove a Peano-type
Arcady Ponosov, Lev Idels
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