Results 51 to 60 of about 199,250 (207)

Algorithmic Solution of Stochastic Differential Equations

Algorithms, 2010
This brief note presents an algorithm to solve ordinary stochastic differential equations (SDEs). The algorithm is based on the joint solution of a system of two partial differential equations and provides strong solutions for finite-dimensional systems ...
Henri Schurz
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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, Jeong-Hoon Kim, Kyu-Hwan Jang   +2 more
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A white noise approach to stochastic partial differential equations driven by the fractional Lévy noise

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
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Andrzej Lasota's selected results [PDF]

Opuscula Mathematica, 2008
In this article we recall Andrzej Lasota's selected results which either indicated new directions of research, or layed the foundations for new approaches, or solved interesting problems. The area of mathematical interests of Professor Andrzej Lasota was
Józef Myjak
doaj  

DifferentialEquations.jl – A Performant and Feature-Rich Ecosystem for Solving Differential Equations in Julia

Journal of Open Research Software, 2017
DifferentialEquations.jl is a package for solving differential equations in Julia. It covers discrete equations (function maps, discrete stochastic (Gillespie/Markov) simulations), ordinary differential equations, stochastic differential equations ...
Christopher Rackauckas, Qing Nie
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Analytical solutions to the fractional stochastic (3 + 1) equation of fluids with gas bubbles using an extended auxiliary function method

Alexandria Engineering Journal
This 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, Mohammed Alhamud, Adel Elmandouh   +2 more
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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
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Pseudo S-asymptotically Bloch type periodicity with applications to partial stochastic neutral evolution equations [PDF]

Arab Journal of Mathematical Sciences
PurposeThis paper introduces the concept of (µ, ν)-pseudo S-asymptotically Bloch type (ω, k)- periodic functions, aiming to extend the framework of periodicity in stochastic analysis and to investigate their role in neutral partial stochastic ...
Marwa Missaoui
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On a smooth and nowhere equal to zero distribution density of a stochastic differential equation’s solution on manifold

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
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A free stochastic partial differential equation

Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 2014
We get stationary solutions of a free stochastic partial differential equation. As an application, we prove equality of non-microstate and microstate free entropy dimensions under a Lipschitz like condition on conjugate variables, assuming also R^ embeddability. This includes an N-tuple of q-Gaussian random variables e.g. for |q|N\leq 0.13.
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