Results 51 to 60 of about 208,713 (299)
Controlled Reflected McKean–Vlasov SDEs and Neumann Problem for Backward SPDEs
MathematicsThis paper is concerned with the stochastic optimal control problem of a 1-dimensional McKean–Vlasov stochastic differential equation (SDE) with reflection, of which the drift coefficient and diffusion coefficient can be both dependent on the state of ...
Li Ma, Fangfang Sun, Xinfang Han
doaj +1 more source
Известия высших учебных заведений. Поволжский регион: Физико-математические науки, 2021 Background. E. Nelson [1-3] introduced derivatives on the average in the works and over time, they began to be studied as a separate class of stochastic differential equations.
O.O. Zheltikova
doaj +1 more source
Optimal control of stochastic partial differential equations in Banach spaces [PDF]
, 2010 In this thesis we study optimal control problems in Banach spaces for stochastic partial differential equations. We investigate two different approaches.
Serrano Perdomo, Rafael Antonio +1 more
core
Alexandria Engineering JournalThis work strives to study the impact of both the multiplicative Wiener process and spatial fractional derivatives on the solutions of (3+1) stochastic fractional partial differential equation describing the fluids with gas bubbles. Based on the complete
Mamdouh Elbrolosy +2 more
doaj +1 more source
Optimal Portfolio Selection of Mean-Variance Utility with Stochastic Interest Rate
Journal of Function Spaces, 2020 In order to tackle the problem of how investors in financial markets allocate wealth to stochastic interest rate governed by a nested stochastic differential equations (SDEs), this paper employs the Nash equilibrium theory of the subgame perfect ...
Shuang Li +4 more
doaj +1 more source
Strong approximation of monotone stochastic partial differential equations driven by white noise
IMA Journal of Numerical Analysis, 2020 We establish an optimal strong convergence rate of a fully discrete numerical scheme for second-order parabolic stochastic partial differential equations with monotone drifts, including the stochastic Allen–Cahn equation, driven by an additive space ...
Zhihui Liu, Zhonghua Qiao
semanticscholar +1 more source
The Osgood condition for stochastic partial differential equations [PDF]
Bernoulli, 2019 We study the following equation \begin{equation*} \frac{\partial u(t,\,x)}{\partial t}= \Delta u(t,\,x)+b(u(t,\,x))+\sigma \dot{W}(t,\,x),\quad t>0, \end{equation*} where $\sigma$ is a positive constant and $\dot{W}$ is a space-time white noise.
Mohammud Foondun, E. Nualart
semanticscholar +1 more source
Effective action for stochastic partial differential equations [PDF]
Physical Review E, 1999 Stochastic partial differential equations (SPDEs) are the basic tool for modeling systems where noise is important. In this paper we set up a functional integral formalism and demonstrate how to extract all the one-loop physics for an arbitrary SPDE subject to arbitrary Gaussian noise.
Hochberg, David +3 more
openaire +4 more sources
Traveling wave solutions of some important Wick-type fractional stochastic nonlinear partial differential equations [PDF]
Chaos, Solitons & Fractals, 2019 In this article, exact traveling wave solutions of a Wick-type stochastic nonlinear Schrodinger equation and of a Wick-type stochastic fractional Regularized Long Wave-Burgers (RLW-Burgers) equation have been obtained by using an improved computational ...
Hyunsoo Kim +3 more
semanticscholar +1 more source
Abstract Functional Stochastic Evolution Equations Driven by Fractional Brownian Motion
Abstract and Applied Analysis, 2014 We investigate a class of abstract functional stochastic evolution equations driven by a fractional Brownian motion in a real separable Hilbert space. Global existence results concerning mild solutions are formulated under various growth and compactness ...
Mark A. McKibben, Micah Webster
doaj +1 more source