Results 11 to 20 of about 184,298 (338)
Homogenized Dynamics of Stochastic Partial Differential Equations with Dynamical Boundary Conditions [PDF]
, 2007 A microscopic heterogeneous system under random influence is considered. The randomness enters the system at physical boundary of small scale obstacles as well as at the interior of the physical medium.
Wei Wang, Jinqiao Duan
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Differential games for stochastic partial differential equations [PDF]
Nagoya Mathematical Journal, 1993 In this paper we are concerned with zero-sum two-player finite horizon games for stochastic partial differential equations (SPDE in short). The main aim is to formulate the principle of dynamic programming for the upper (or lower) value function and investigate the relationship between upper (or lower) value function and viscocity solution of min-max ...
Fleming, W. H., Nisio, M.
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STATIONARY SOLUTIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS WITH MEMORY AND STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS [PDF]
Communications in Contemporary Mathematics, 2005 We explore Itô stochastic differential equations where the drift term possibly depends on the infinite past. Assuming the existence of a Lyapunov function, we prove the existence of a stationary solution assuming only minimal continuity of the coefficients.
Jonathan C. Mattingly +3 more
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The Osgood condition for stochastic partial differential equations [PDF]
Bernoulli, 2021 We study the following equation \begin{equation*} \frac{\partial u(t,\,x)}{\partial t}= u(t,\,x)+b(u(t,\,x))+ \dot{W}(t,\,x),\quad t>0, \end{equation*} where $ $ is a positive constant and $\dot{W}$ is a space-time white noise. The initial condition $u(0,x)=u_0(x)$ is assumed to be a nonnegative and continuous function.
Foondun, Mohammud, Nualart, Eulalia
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AIMS Mathematics, 2019 The one dimension Legendre Wavelet is a numerical method to solve one dimension equation. In this paper Black-Scholes equation (B-S), that has applied via single asset American option and Heston Cox- Ingersoll- Ross equation (HCIR), as partial ...
Jafar Biazar, Fereshteh Goldoust
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Partial Differential Equations in Applied Mathematics, 2022 Backward stochastic differential equation solver was first introduced by Han et al in 2017. A semilinear parabolic partial differential equation is converted into a stochastic differential equation, and then solved by the backward stochastic differential
Evan Davis +4 more
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Approximations of stochastic partial differential equations
The Annals of Applied Probability, 2016 In this paper we show that solutions of stochastic partial differential equations driven by Brownian motion can be approximated by stochastic partial differential equations forced by pure jump noise/random kicks. Applications to stochastic Burgers equations are discussed.
Di Nunno, Giulia, Zhang, Tusheng
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Probabilistic Representations of Solutions of the Forward Equations [PDF]
, 2007 In this paper we prove a stochastic representation for solutions of the evolution equation $ \partial_t \psi_t = {1/2}L^*\psi_t $ where $ L^* $ is the formal adjoint of an elliptic second order differential operator with smooth coefficients corresponding
Rajeev, B., Thangavelu, S.
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Stability of Stochastic Partial Differential Equations
Axioms, 2023 In this paper, we study the stability of the stochastic parabolic differential equation with dependent coefficients. We consider the stability of an abstract Cauchy problem for the solution of certain stochastic parabolic differential equations in a Hilbert space.
Allaberen Ashyralyev, Ülker Okur
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A direct approach to linear-quadratic stochastic control [PDF]
Opuscula Mathematica, 2017 A direct approach is used to solve some linear-quadratic stochastic control problems for Brownian motion and other noise processes. This direct method does not require solving Hamilton-Jacobi-Bellman partial differential equations or backward stochastic ...
Tyrone E. Duncan, Bozenna Pasik-Duncan
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