Results 61 to 70 of about 10,390 (168)

Peano Theorems for Pedjeu–Ladde-Type Multi-Time Scale Stochastic Differential Equations Driven by Fractional Noises

Mathematics
This 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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Haar Wavelet Method for Series Expansion of Fractional Wiener Integral

پژوهش‌های ریاضی, 2019
Introduction The stochastic calculus plays an important role in the study of stochastic integral equations and stochastic differential equations. The fractional Brownian motion has many applications in different branches of sciences such as economics ...
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A class of stochastic Gronwall’s inequality and its application

Journal of Inequalities and Applications, 2018
This paper puts forward the basic form of stochastic Gronwall’s inequality and uses, respectively, the iterative method, the integral method and the martingale representation method to prove it.
Xin Wang, Shengjun Fan
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Numerical solution of nonlinear stochastic Itô-Volterra integral equations driven by fractional Brownian motion using triangular functions

Results in Applied Mathematics
The paper proposes an efficient global approximation method via triangular functions (TFs) to solve stochastic Itô-Volterra integral equations (SIVIEs) driven by fractional Brownian motion (fBm) with Hurst parameter H∈((1/2),1). By the relevant knowledge
Guo Jiang, Jiayi Ying, Yuanqin Chen, Wen Sun   +3 more
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An Optimal Control Problem of Forward-Backward Stochastic Volterra Integral Equations with State Constraints

Abstract and Applied Analysis, 2014
This paper is devoted to the stochastic optimal control problems for systems governed by forward-backward stochastic Volterra integral equations (FBSVIEs, for short) with state constraints.
Qingmeng Wei, Xinling Xiao
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On operators of stochastic differentiation on spaces of regular test and generalized functions of Lévy white noise analysis

Karpatsʹkì Matematičnì Publìkacìï, 2014
The operators of stochastic differentiation, which are closely related with the extended Skorohod stochastic integral and with the Hida stochastic derivative, play an important role in the classical (Gaussian) white noise analysis.
M.M. Dyriv, N.A. Kachanovsky
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Exact Finite-Difference Schemes for d-Dimensional Linear Stochastic Systems with Constant Coefficients

Journal of Applied Mathematics, 2013
The authors attempt to construct the exact finite-difference schemes for linear stochastic differential equations with constant coefficients. The explicit solutions to Itô and Stratonovich linear stochastic differential equations with constant ...
Peng Jiang, Xiaofeng Ju, Dan Liu, Shaoqun Fan   +3 more
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On stochastic solutions of nonlocal random functional integral equations

Arab Journal of Mathematical Sciences, 2019
In this paper, we use Schauder’s fixed point to establish the existence of at least one solution for a functional nonlocal stochastic differential equation under sufficient conditions in the space of all square integrable stochastic processes with a ...
M.M. Elborai, M.I. Youssef
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Walsh function-based numerical approach for nonlinear stochastic integral equations: Application to stochastic logistic models

Boundary Value Problems
The current research study proposes an efficient numerical method for obtaining an approximate solution to nonlinear stochastic integral equations implementing the collocation method and the Walsh operational matrices.
Prit Pritam Paikaray, Sanghamitra Beuria, Nigam Chandra Parida, Mohammad Izadi   +3 more
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ON MARTINGALE PROPERTY OF THE STOCHASTIC INTEGRAL EQUATIONS

Korean Journal of Mathematics, 2015
Summary: A martingale is a mathematical model for a fair wager and the modern theory of martingales plays a very important and useful role in the study of the stochastic fields. This paper is devoted to investigate a martingale and a non-martingale on the several stochastic integral or differential equations.
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