Results 21 to 30 of about 208,713 (299)
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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Fuzzy-Stochastic Partial Differential Equations [PDF]
SIAM/ASA Journal on Uncertainty Quantification, 2019 31 ...
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Stochastic Partial Differential Equation SIS Epidemic Models: Modeling and Analysis
Communications on Stochastic Analysis, 2019 The study on epidemic models plays an important role in mathematical biology and mathematical epidemiology. There has been much effort devoted to epidemic models using ordinary differential equations (ODEs), partial differential equations (PDEs), and ...
N. Nguyen, G. Yin
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Stochastic partial differential equation based modelling of large space–time data sets [PDF]
, 2012 Increasingly larger data sets of processes in space and time ask for statistical models and methods that can cope with such data. We show that the solution of a stochastic advection–diffusion partial differential equation provides a flexible model class ...
Fabio Sigrist, H. Künsch, W. Stahel
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Linear quadratic control of backward stochastic differential equation with partial information [PDF]
Applied Mathematics and Computation, 2020 In this paper, we study an optimal control problem of linear backward stochastic differential equation (BSDE) with quadratic cost functional under partial information.
Guangchen Wang, Wencan Wang, Zhiguo Yan
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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.
Bakhtin, Y, Mattingly, JC
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Covariance structure of parabolic stochastic partial differential equations [PDF]
, 2012 In this paper parabolic random partial differential equations and parabolic stochastic partial differential equations driven by a Wiener process are considered.
Lang, Annika +5 more
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Appendix B. Stochastic partial differential equation approximation to Gaussian random fields.
, 2016 Stochastic partial differential equation approximation to Gaussian random ...
James T. Thorson +6 more
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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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Triviality of the 2D stochastic Allen-Cahn equation [PDF]
, 2012 We consider the stochastic Allen-Cahn equation driven by mollified space-time white noise. We show that, as the mollifier is removed, the solutions converge weakly to 0, independently of the initial condition.
H. Weber +8 more
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