Results 31 to 40 of about 184,298 (338)
Sistemnì Doslìdženâ ta Informacìjnì Tehnologìï, 2018 This paper considers the asymptotic behavior of the strong solution of the linear partial stochastic differential Ito–Skorokhod equation in the corresponding space with random parameters.
Volodymyr K. Yasynskyy +1 more
doaj +1 more source
Penalization method for a nonlinear Neumann PDE via weak solutions of reflected SDEs
, 2013 In this paper we prove an approximation result for the viscosity solution of a system of semi-linear partial differential equations with continuous coefficients and nonlinear Neumann boundary condition. The approximation we use is based on a penalization
Bahlali, Khaled +2 more
core +3 more sources
Solving linear parabolic rough partial differential equations [PDF]
, 2018 We study linear rough partial differential equations in the setting of [Friz and Hairer, Springer, 2014, Chapter 12]. More precisely, we consider a linear parabolic partial differential equation driven by a deterministic rough path $\mathbf{W}$ of H ...
Bayer, Christian +4 more
core +3 more sources
Hölder estimates of mild solutions for nonlocal SPDEs
Advances in Difference Equations, 2019 We consider nonlocal PDEs driven by additive white noises on Rd ${\mathbb{R}}^{d}$. For Lq $L^{q}$ integrable coefficients, we derive the existence and uniqueness, as well as Hölder continuity, of mild solutions.
Rongrong Tian +3 more
doaj +1 more source
Pricing Arithmetic Asian Options under Hybrid Stochastic and Local Volatility
Journal of Applied Mathematics, 2014 Recently, hybrid stochastic and local volatility models have become an industry standard for the pricing of derivatives and other problems in finance. In this study, we use a multiscale stochastic volatility model incorporated by the constant elasticity ...
Min-Ku Lee +2 more
doaj +1 more source
Advances in Difference Equations, 2018 In this paper, based on the white noise theory for d-parameter Lévy random fields given by (Holden et al. in Stochastic Partial Differential Equations: A modeling, white noise functional approach, 2010), we develop a white noise frame for anisotropic ...
Xuebin Lü, Wanyang Dai
doaj +1 more source
Integrability of Stochastic Birth-Death processes via Differential Galois Theory [PDF]
, 2019 Stochastic birth-death processes are described as continuous-time Markov processes in models of population dynamics. A system of infinite, coupled ordinary differential equations (the so-called master equation) describes the time-dependence of the ...
Acosta-Humanez, Primitivo B. +2 more
core +2 more sources
Feynman--Kac formula for the heat equation driven by fractional noise with Hurst parameter $H<1/2$ [PDF]
, 2012 In this paper, a Feynman-Kac formula is established for stochastic partial differential equation driven by Gaussian noise which is, with respect to time, a fractional Brownian motion with Hurst parameter ...
Hu, Yaozhong, Lu, Fei, Nualart, David
core +2 more sources
The unpredictably eruptive dynamics of spruce budworm populations in eastern Canada
Population Ecology, EarlyView.We examine historical population data for spruce budworm from several locations through the period 1930–1997, and use density‐dependent recruitment curves to test whether the pattern of population growth over time is more consistent with Royama's (1984; Ecological Monographs 54:429–462) linear R(t) model of harmonic oscillation at Green River New ...
Barry J. Cooke, Jacques Régnière
wiley +1 more source
Stability of stochastic partial differential equation
Journal of Mathematical Analysis and Applications, 1981 AbstractStochastic partial differential equations such as occur in vibration problems for mechanical structures subjected to random loading are modelled as infinite dimensional stochastic Itô differential equations using a semigroup approach. Sufficient conditions for exponential stability of the expected energy of the system, as well as for the ...
openaire +4 more sources