Results 111 to 120 of about 932 (203)

On a high-dimensional nonlinear stochastic partial differential equation

, 2011
18 pagesIn this paper we investigate a nonlinear stochastic partial differential equation (spde in short) perturbed by a space-correlated Gaussian noise in arbitrary dimension, with a non-Lipschitz coefficient noisy term.
Mellouk, Mohamed, Boulanba, Lahcen
core  

Local Lipschitz continuity in the initial value and strong completeness for nonlinear stochastic differential equations

Recently, Hairer et. al (2012) showed that there exist SDEs with infinitely often differentiable and globally bounded coefficient functions whose solutions fail to be locally Lipschitz continuous in the strong L^p-sense with respect to the initial value ...
Cox, Sonja, Hutzenthaler, Martin, Jentzen, Arnulf   +2 more
core  

Comparison theorem for solutions of backward stochastic differential equations with continuous coefficient

Comparison theorems for solutions of one-dimensional backward stochastic differential equations were established by Peng and Cao-Yan, where the coefficients were, respectively, required to be Lipschitz and Dini continuous. In this work, we generalize the
Liu, Jicheng, Ren, Jiagang
core  

On Solutions of Backward Stochastic Volterra Integral Equations with Jumps in Hilbert Spaces

, 2010
This paper studies the existence, uniqueness and stability of the adapted solutions to backward stochastic Volterra integral equations (BSVIEs) driven by a cylindrical Brownian motion on a separable Hilbert space and a Poisson random measure with non ...
Ren, Y (15524684)
core  

Nonlinear fractional stochastic delay modeling and computational analysis of herpes simplex virus type II dynamics. [PDF]

Sci Rep
Raza A, Alsulami M, Lampart M, Shafique U.   +3 more
europepmc   +1 more source

Beyond diagonal noise: A better predator-prey modeling framework with cross-covariance. [PDF]

PLoS One
Yu J, Wang LS.
europepmc   +1 more source

Square integrable solutions and stability of a second-order stochastic integro-differential equation. [PDF]

Sci Rep
Oudjedi-Damerdji LF, Meziane M, Djidel O, Boulaaras S, Alharbi A.   +4 more
europepmc   +1 more source

S-shaped Utility Maximization with VaR Constraint and Partial Information. [PDF]

J Optim Theory Appl
Zhu D, Davey A, Zheng H.
europepmc   +1 more source

The Euler scheme for stochastic differential equations with discontinuous drift coefficient: A numerical study of the convergence rate

, 2017
The Euler scheme is one of the standard schemes to obtain numerical approximations of stochastic differential equations (SDEs). Its convergence properties are well-known in the case of globally Lipschitz continuous coefficients.
Göttlich, Simone, Lux, Kerstin, Neuenkirch, Andreas   +2 more
core  

Random Neural Networks for Rough Volatility. [PDF]

Appl Math Optim
Jacquier A, Žurič Ž.
europepmc   +1 more source