Results 11 to 20 of about 151,196 (279)
Stochastic Functional Differential Equation under Regime Switching [PDF]
Discrete Dynamics in Nature and Society, 2012 We discuss stochastic functional differential equation under regime switching dx(t)=f(xt,r(t),t)dt+q(r(t))x(t)dW1(t)+σ(r(t))|x(t)|βx(t)dW2(t). We obtain unique global solution of this system without the linear growth condition; furthermore, we prove its ...
Ling Bai, Zhang Kai
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Mathematics, 2016 We perform a classification of the Lie point symmetries for the Black-Scholes-Merton Model for European options with stochastic volatility, σ, in which the last is defined by a stochastic differential equation with an Orstein-Uhlenbeck term.
Andronikos Paliathanasis +3 more
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Frontiers in Physics, 2021 In this article, we study the existence and uniqueness of square-mean piecewise almost periodic solutions to a class of impulsive stochastic functional differential equations driven by fractional Brownian motion.
Lili Gao, Xichao Sun
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Closed-Loop Solvability of Stochastic Linear-Quadratic Optimal Control Problems with Poisson Jumps
Mathematics, 2022 The stochastic linear–quadratic optimal control problem with Poisson jumps is addressed in this paper. The coefficients in the state equation and the weighting matrices in the cost functional are all deterministic but are allowed to be indefinite.
Zixuan Li, Jingtao Shi
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Mathematics, 2022 This paper examines the numerical solutions of the neutral stochastic functional differential equation. This study establishes the discrete stochastic Razumikhin-type theorem to investigate the exponential stability in the mean square sense of the Euler ...
Qi Wang, Huabin Chen, Chenggui Yuan
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Mathematics, 2021 In this paper, we study the indefinite linear-quadratic (LQ) stochastic optimal control problem for stochastic differential equations (SDEs) with jump diffusions and random coefficients driven by both the Brownian motion and the (compensated) Poisson ...
Jun Moon, Jin-Ho Chung
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ON THE SUPPORT THEOREM FOR STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS [PDF]
Demonstratio Mathematica, 1995 The support of the measure generated by the solution to some stochastic differential equation with delayed argument is studied. The obtained theorem is a consequence of the approximation theorem of Wong-Zakai type and the support theorem of Miller and Sanz-Solé.
Dawidowicz, A. L., Twardowska, K.
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Stability in distribution of stochastic functional differential equations [PDF]
Systems & Control Letters, 2019 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wang, Ya, Wu, Fuke, Mao, Xuerong
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Journal of Optimization, Differential Equations and Their Applications, 2021 In this paper, we study the questions of the existence of global weak solutions and local strong solutions of paired stochastic functional differential equations in a Hilbert space, one of which is an equation with an unbounded operator, and the other is
Andrey O. Stanzhytskyi
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Approximate Moment Functions for Logistic Stochastic Differential Equations
Numerical Algorithms, 2023 Abstract In this paper, we introduce an iterative procedure for approximate moment functions of logistic stochastic differential equations. We first reduce the solutions of the moment functions of such an equation to an infinite system of linear ordinary differential equations.
Coskun Çetin, Jasmina Dordevic
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