Results 71 to 80 of about 208,713 (299)

On the almost sure running maxima of solutions of affine stochastic functional differential equations

, 2010
This paper studies the large fluctuations of solutions of scalar and finite-dimensional affine stochastic functional differential equations with finite memory as well as related nonlinear equations.
Wu, H., Appleby, John A.D., Mao, Xuerong
core   +1 more source

On a stochastic partial differential equation with a fractional Laplacian operator

, 2012
In this article, we consider the regularity of the solution of d u ( t , x ) = ( Δ α 2 u ( t , x ) + f ( t , x ) ) d t + ∑ i = 1 m g i ( t , x ) d w t i , u ( 0 , x ) = u 0 ( x ) . We adopt the framework given in some works of Krylov which are related to
Tongkeun Chang, Kijung Lee
semanticscholar   +1 more source

Infinite Horizon Optimal Control of Stochastic Delay Evolution Equations in Hilbert Spaces

Abstract and Applied Analysis, 2013
The aim of the present paper is to study an infinite horizon optimal control problem in which the controlled state dynamics is governed by a stochastic delay evolution equation in Hilbert spaces.
Xueping Zhu, Jianjun Zhou
doaj   +1 more source

Hörmander’s theorem for stochastic partial differential equations [PDF]

St. Petersburg Mathematical Journal, 2016
23 pages, localization on random events ...
openaire   +2 more sources

Valuation of boundary-linked assets [PDF]

, 2004
This article studies the valuation of boundary-linked assets and their derivatives in continuous-time markets. Valuing boundary-linked assets requires the solution of a stochastic differential equation with boundary conditions, which, often, is not ...
Vidal-Sanz, Jose M., Esteban-Bravo, Mercedes   +1 more
core  

From stochastic processes to numerical methods: A new scheme for solving reaction subdiffusion fractional partial differential equations

, 2016
We have introduced a new explicit numerical method, based on a discrete stochastic process, for solving a class of fractional partial differential equations that model reaction subdiffusion.
Henry, BI ; https://orcid.org/, Henry, B. I., Jacobs, BA, Angstmann, CN ; https://orcid.org/, Angstmann, C. N., Nichols, JA, Langlands, T. A. M., Langlands, TAM, Donnelly, I. C., Donnelly, IC, Jacobs, B. A., Nichols, J. A.   +11 more
core   +1 more source

A stochastic control problem

Electronic Journal of Differential Equations, 2004
In this paper, we study a specific stochastic differential equation depending on a parameter and obtain a representation of its probability density function in terms of Jacobi Functions.
William Margulies, Dean Zes
doaj  

Application of the Tanh–Coth and HSI methods in deriving exact analytical solutions for the STFKS equation

Frontiers in Applied Mathematics and Statistics
The stochastic time-fractional Kuramoto–Sivashinsky (STFKS) equation models a wide range of physical phenomena involving spatio-temporal instabilities and noise-driven dynamics.
Abaker A. Hassaballa, Abaker A. Hassaballa, Elzain A. E. Gumma, Ahmed M. A. Adam, Omer M. A. Hamed, Ali Satty, Mohyaldein Salih, Faroug A. Abdalla, Zakariya M. S. Mohammed, Zakariya M. S. Mohammed   +9 more
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Some non-existence results for a class of stochastic partial differential equations [PDF]

Journal of Differential Equations, 2016
Consider the following stochastic partial differential equation, \begin{equation*} \partial_t u_t(x)= \mathcal{L}u_t(x)+ \sigma (u_t(x))\dot F(t,x)\quad{t>0}\quad\text{and}\quad x\in R^d.
Mohammud Foondun, W. Liu, Erkan Nane
semanticscholar   +1 more source

Ambit Processes and Stochastic Partial Differential Equations [PDF]

SSRN Electronic Journal, 2010
Ambit processes are general stochastic processes based on stochastic integrals with respect to Levy bases. Due to their flexible structure, they have great potential for providing realistic models for various applications such as in turbulence and finance.
Barndorff-Nielsen, Ole, Benth, Fred Espen, Veraart, Almut   +2 more
openaire   +2 more sources