Results 21 to 30 of about 932 (203)
Stability for Stochastic McKean--Vlasov Equations with Non-Lipschitz Coefficients [PDF]
SIAM Journal on Control and Optimization, 2021 In this paper we consider the stability for a type of stochastic McKean-Vlasov equations with non-Lipschitz coefficients. First, sufficient conditions are given for the exponential stability of the second moments for their solutions in terms of a Lyapunov function.
Xiaojie Ding, Huijie Qiao
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Mendel, 2023 We deal with fractional mean field backwardWe deal with fractional mean field backward stochastic differential equations with hurst parameter $H\in (\frac{1}{2},1)$ when the coefficient $f$ satisfy a stochastic Lipschitz conditions, we prove the ...
Mostapha Abdelouahab Saouli
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Convergence of the Stochastic Euler Scheme for Locally Lipschitz Coefficients [PDF]
Foundations of Computational Mathematics, 2011 Stochastic differential equations are often simulated with the Monte Carlo Euler method. Convergence of this method is well understood in the case of globally Lipschitz continuous coefficients of the stochastic differential equation. The important case of superlinearly growing coefficients, however, has remained an open question. The main difficulty is
Martin Hutzenthaler, Arnulf Jentzen
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On the Global Positivity Solutions of Non-homogeneous Stochastic Differential Equations
Frontiers in Applied Mathematics and Statistics, 2022 In this article, we treat the existence and uniqueness of strong solutions to the Cauchy problem of stochastic equations of the form dXt=αXtdt+σXtγdBt,X0=x>0.
Farai Julius Mhlanga, Lazarus Rundora
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Generalized BSDEs driven by RCLL martingales with stochastic monotone coefficients
Modern Stochastics: Theory and Applications, 2023 A solution is given to generalized backward stochastic differential equations driven by a real-valued RCLL martingale on an arbitrary filtered probability space.
Badr Elmansouri, Mohamed El Otmani
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Modern Stochastics: Theory and Applications, 2020 In this paper, a solution is given to reflected backward doubly stochastic differential equations when the barrier is not necessarily right-continuous, and the noise is driven by two independent Brownian motions and an independent Poisson random measure.
Mohamed Marzougue, Yaya Sagna
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Fractal and Fractional, 2022 We deal with backward stochastic differential equations driven by a pure jump Markov process and an independent Brownian motion (BSDEJs for short). We start by proving the existence and uniqueness of the solutions for this type of equation and present a ...
Khaoula Abdelhadi +3 more
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Adaptive Euler methods for stochastic systems with non-globally Lipschitz coefficients [PDF]
Numerical Algorithms, 2021 AbstractWe present strongly convergent explicit and semi-implicit adaptive numerical schemes for systems of semi-linear stochastic differential equations (SDEs) where both the drift and diffusion are not globally Lipschitz continuous. Numerical instability may arise either from the stiffness of the linear operator or from the perturbation of the ...
Cónall Kelly, Gabriel J. Lord
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Mathematics, 2021 The rough Heston model is a form of a stochastic Volterra equation, which was proposed to model stock price volatility. It captures some important qualities that can be observed in the financial market—highly endogenous, statistical arbitrages prevention,
Siow Woon Jeng, Adem Kiliçman
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ON STOCHASTIC EVOLUTION EQUATIONS WITH NON-LIPSCHITZ COEFFICIENTS [PDF]
Stochastics and Dynamics, 2009 In this paper, we study the existence and uniqueness of solutions for several classes of stochastic evolution equations with non-Lipschitz coefficients, that contains backward stochastic evolution equations, stochastic Volterra type evolution equations and stochastic functional evolution equations.
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