Results 81 to 90 of about 208,713 (299)
On the viscosity solutions of a stochastic differential utility problem [PDF]
We prove existence, uniqueness and gradient estimates of stochastic differential utility as a solution of the Cauchy problem for degenerate nonlinear partial differential equation.
Andrea Pascucci, Fabio Antonelli
core
Mild solutions to semilinear stochastic partial differential equations\n with locally monotone coefficients [PDF]
, 2021 Stefan Tappe
openalex +1 more source
Covariance structure of parabolic stochastic partial differential equations with multiplicative Lévy noise [PDF]
, 2017 The characterization of the covariance function of the solution process to a stochastic partial differential equation is considered in the parabolic case with multiplicative Lévy noise of affine type.
Kirchner, Kristin +8 more
core +1 more source
Pandæsim: An Epidemic Spreading Stochastic Simulator
Biology, 2020 Many methods have been used to model epidemic spreading. They include ordinary differential equation systems for globally homogeneous environments and partial differential equation systems to take into account spatial localisation and inhomogeneity ...
Patrick Amar
doaj +1 more source
On stochastic differential equations and a generalised Burgers equation
, 2012 In this paper, we discuss a link of Itˆo’s stochastic differential equa- tions to nonlinear partial differential equations of Burgers type. Un- der certain conditions, we derive a generalised Burgers equation from a stochastic differential equation.
Wu, JiangLun, Yang, Wei
core
Pricing Parisian Option under a Stochastic Volatility Model
Journal of Applied Mathematics, 2014 We study the pricing of a Parisian option under a stochastic volatility model. Based on the manipulation problem that barrier options might create near barriers, the Parisian option has been designed as an extended barrier option. A stochastic volatility
Min-Ku Lee, Kyu-Hwan Jang
doaj +1 more source
On a high-dimensional nonlinear stochastic partial differential equation
, 2014 International audienceIn this paper we investigate a nonlinear stochastic partial differential equation perturbed by a space-correlated Gaussian noise in arbitrary dimensiond>1, with a non-Lipschitz coefficient noisy term. The equation studied coincides
Mellouk, Mohamed, Boulanba, Lahcen
core +1 more source
On a Fractional SPDE Driven by Fractional Noise and a Pure Jump Lévy Noise in ℝd
Abstract and Applied Analysis, 2014 We study a stochastic partial differential equation in the whole space x∈ℝd, with arbitrary dimension d≥1, driven by fractional noise and a pure jump Lévy space-time white noise. Our equation involves a fractional derivative operator. Under some suitable
Xichao Sun, Zhi Wang, Jing Cui
doaj +1 more source
Міжнародний науково-технічний журнал "Проблеми керування та інформатики", 2007 The problem of evaluation of a probability of dangerous aircraft approach by using earlier developed generalized stochastic conflict probability evaluation method, which is based on conflict probability equation as multi-dimensional parabolic partial ...
V.P. Kharchenko +2 more
doaj +1 more source
Multi-element stochastic reduced basis methods [PDF]
, 2007 This paper presents mutli-element Stochastic Reduced Basis Methods (ME-SRBMs) for solving linear stochastic partial differential equations. In ME-SRBMs, the domain of definition of the random inputs is decomposed into smaller subdomains or random ...
Surya Mohan, P. +5 more
core +1 more source