Results 1 to 10 of about 105,022 (283)
Optimization of the mean-square approximation procedures for iterated Stratonovich stochastic integrals of multiplicities 1 to 3 with respect to components of the multi-dimensional Wiener process based on Multiple Fourier–Legendre series [PDF]
MATEC Web of Conferences, 2022 The article is devoted to approximation of iterated Ito and Stratonovich stochastic integrals of multiplicities 1 to 3 by the method of multiple Fourier–Legendre series.
Kuznetsov Dmitriy, Kuznetsov Mikhail
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Mathematics, 2023 Spectral representations of iterated Itô and Stratonovich stochastic integrals of arbitrary multiplicity, including integrals from Taylor–Itô and Taylor–Stratonovich expansions, are obtained by the spectral method.
Konstantin Rybakov
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Stochastic variational integrators [PDF]
IMA Journal of Numerical Analysis, 2008 This paper presents a continuous and discrete Lagrangian theory for stochastic Hamiltonian systems on manifolds. The main result is to derive stochastic governing equations for such systems from a critical point of a stochastic action. Using this result the paper derives Langevin-type equations for constrained mechanical systems and implements a ...
Bou-Rabee, Nawaf, Owhadi, Houman
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Quantum Hermite-Hadamard type integral inequalities for convex stochastic processes
AIMS Mathematics, 2021 In this paper, we introduce the notions of q-mean square integral for stochastic processes and co-ordinated stochastic processes. Furthermore, we establish some new quantum Hermite-Hadamard type inequalities for convex stochastic processes and co ...
Thanin Sitthiwirattham +3 more
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On relation between one multiple and a corresponding one-dimensional integral with applications [PDF]
Yugoslav Journal of Operations Research, 2018 For a given finite positive measure on an interval I ⊆ R, a multiple stochastic integral of a Volterra kernel with respect to a product of a corresponding Gaussian orthogonal stochastic measure is introduced.
Bajić Tatjana
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Studying Some Stochastic Differential Equations with trigonometric terms with Application
Zanco Journal of Pure and Applied Sciences, 2022 In this paper we look at several (trigonometric) stochastic differential equations, we find the general form for such nonlinear stochastic differential equation by using the I'to formula.
Abdulghafoor Jasim Salim , Ali A. Asmael
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Set-Valued Stochastic Lebesque Integral and Representation Theorems [PDF]
International Journal of Computational Intelligence Systems, 2008 In this paper, we shall firstly illustrate why we should introduce set-valued stochastic integrals, and then we shall discuss some properties of set-valued stochastic processes and the relation between a set-valued stochastic process and its selection ...
Jungang Li, Shoumei Li
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Stochastic complex integrals in a two-dimensional flow
International Journal of Mathematics for Industry, 2021 Two-dimensional flow is considered in the [Formula: see text] plane. A flat plate is placed parallel to the [Formula: see text]-axis. The circulation of the flow is investigated and it is the real part of the stochastic complex integral.
Kouji Yamamuro
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Spectral representation of stochastic integration operators [PDF]
MATEC Web of Conferences, 2022 The spectral representation for stochastic integration operators with respect to the Wiener process is proposed in the form of a composition of spectral characteristics used in the spectral form of mathematical description for control systems.
Rybakov Konstantin
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, 2022 The article is devoted to the mean-square approximation of iterated Ito and Stratonovich stochastic integrals in the context of the numerical integration of Ito stochastic differential equations.
Kuznetsov, Dmitriy F.
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