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Relevant bibliographies by topics / Stochastic differential equations

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Academic literature on the topic 'Stochastic differential equations'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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Journal articles on the topic "Stochastic differential equations"

1

Norris, J. R., and B. Oksendal. "Stochastic Differential Equations." Mathematical Gazette 77, no. 480 (1993): 393. http://dx.doi.org/10.2307/3619809.

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Syed Tahir Hussainy and Pathmanaban K. "A study on analytical solutions for stochastic differential equations via martingale processes." Journal of Computational Mathematica 6, no. 2 (2022): 85–92. http://dx.doi.org/10.26524/cm151.

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In this paper, we propose some analytical solutions of stochastic differential equations related to Martingale processes. In the first resolution, the answers of some stochastic differential equations are connected to other stochastic equations just with diffusion part (or drift free). The second suitable method is to convert stochastic differential equations into ordinary ones that it is tried to omit diffusion part of stochastic equation by applying Martingale processes. Finally, solution focuses on change of variable method that can be utilized about stochastic differential equations which

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BOUFOUSSI, B., and N. MRHARDY. "MULTIVALUED STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS VIA BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS." Stochastics and Dynamics 08, no. 02 (2008): 271–94. http://dx.doi.org/10.1142/s0219493708002317.

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In this paper, we establish by means of Yosida approximation, the existence and uniqueness of the solution of a backward doubly stochastic differential equation whose coefficient contains the subdifferential of a convex function. We will use this result to prove the existence of stochastic viscosity solution for some multivalued parabolic stochastic partial differential equation.

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Tunc, Cemil, and Zozan Oktan. "STABILITY AND BOUNDEDNESS OF STOCHASTIC INTEGRO-DELAY DIFFERENTIAL EQUATIONS." Journal of Mathematical Analysis 15, no. 5 (2024): 69–83. https://doi.org/10.54379/jma-2024-5-5.

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This work addresses stochastic integro-delay differential equations (SIDDEs) of second order with two constant delays. In the study, two new results including sufficient conditions on stochastic asymptotic stability and stochastic boundedness in probability of solutions of the given SIDDEs are proved. The proofs of new results are done by using a Lyapunov-Krasovskii functional (L-KF) as a basic tool. To demonstrate the validity of the obtained results, two examples are provided. According to a comparison with previous literature, the results of this study are new and also allow new contributio

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MTW and H. Kunita. "Stochastic Flows and Stochastic Differential Equations." Journal of the American Statistical Association 93, no. 443 (1998): 1251. http://dx.doi.org/10.2307/2669903.

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Krylov, Nicolai. "Stochastic flows and stochastic differential equations." Stochastics and Stochastic Reports 51, no. 1-2 (1994): 155–58. http://dx.doi.org/10.1080/17442509408833949.

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Jacka, S. D., and H. Kunita. "Stochastic Flows and Stochastic Differential Equations." Journal of the Royal Statistical Society. Series A (Statistics in Society) 155, no. 1 (1992): 175. http://dx.doi.org/10.2307/2982680.

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Halanay, A., T. Morozan, and C. Tudor. "Bounded solutions of affine stochastic differential equations and stability." Časopis pro pěstování matematiky 111, no. 2 (1986): 127–36. http://dx.doi.org/10.21136/cpm.1986.118271.

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Tleubergenov, Marat, and Gulmira Ibraeva. "ON THE CLOSURE OF STOCHASTIC DIFFERENTIAL EQUATIONS OF MOTION." Eurasian Mathematical Journal 12, no. 2 (2021): 82–89. http://dx.doi.org/10.32523/2077-9879-2021-12-2-82-89.

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Eliazar, Iddo. "Selfsimilar stochastic differential equations." Europhysics Letters 136, no. 4 (2021): 40002. http://dx.doi.org/10.1209/0295-5075/ac4dd4.

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Abstract Diffusion in a logarithmic potential (DLP) attracted significant interest in physics recently. The dynamics of DLP are governed by a Langevin stochastic differential equation (SDE) whose underpinning potential is logarithmic, and that is driven by Brownian motion. The SDE that governs DLP is a particular case of a selfsimilar SDE: one that is driven by a selfsimilar motion, and that produces a selfsimilar motion. This paper establishes the pivotal role of selfsimilar SDEs via two novel universality results. I) Selfsimilar SDEs emerge universally, on the macro level, when applying scal

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Dissertations / Theses on the topic "Stochastic differential equations"

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Bahar, Arifah. "Applications of stochastic differential equations and stochastic delay differential equations in population dynamics." Thesis, University of Strathclyde, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.415294.

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Dareiotis, Anastasios Constantinos. "Stochastic partial differential and integro-differential equations." Thesis, University of Edinburgh, 2015. http://hdl.handle.net/1842/14186.

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In this work we present some new results concerning stochastic partial differential and integro-differential equations (SPDEs and SPIDEs) that appear in non-linear filtering. We prove existence and uniqueness of solutions of SPIDEs, we give a comparison principle and we suggest an approximation scheme for the non-local integral operators. Regarding SPDEs, we use techniques motivated by the work of De Giorgi, Nash, and Moser, in order to derive global and local supremum estimates, and a weak Harnack inequality.

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Abourashchi, Niloufar. "Stability of stochastic differential equations." Thesis, University of Leeds, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.509828.

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Zhang, Qi. "Stationary solutions of stochastic partial differential equations and infinite horizon backward doubly stochastic differential equations." Thesis, Loughborough University, 2008. https://dspace.lboro.ac.uk/2134/34040.

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In this thesis we study the existence of stationary solutions for stochastic partial differential equations. We establish a new connection between solutions of backward doubly stochastic differential equations (BDSDEs) on infinite horizon and the stationary solutions of the SPDEs. For this, we prove the existence and uniqueness of the L2ρ (Rd; R1) × L2ρ (Rd; Rd) valued solutions of BDSDEs with Lipschitz nonlinear term on both finite and infinite horizons, so obtain the solutions of initial value problems and the stationary weak solutions (independent of any initial value) of SPDEs. Also the L2

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Hollingsworth, Blane Jackson Schmidt Paul G. "Stochastic differential equations a dynamical systems approach /." Auburn, Ala, 2008. http://repo.lib.auburn.edu/EtdRoot/2008/SPRING/Mathematics_and_Statistics/Dissertation/Hollingsworth_Blane_43.pdf.

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Mu, Tingshu. "Backward stochastic differential equations and applications : optimal switching, stochastic games, partial differential equations and mean-field." Thesis, Le Mans, 2020. http://www.theses.fr/2020LEMA1023.

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Cette thèse est relative aux Equations Différentielles Stochastique Rétrogrades (EDSRs) réfléchies avec deux obstacles et leurs applications aux jeux de switching de somme nulle, aux systèmes d’équations aux dérivées partielles, aux problèmes de mean-field. Il y a deux parties dans cette thèse. La première partie porte sur le switching optimal stochastique et est composée de deux travaux. Dans le premier travail, nous montrons l’existence de la solution d’un système d’EDSR réfléchies à obstacles bilatéraux interconnectés dans le cadre probabiliste général. Ce problème est lié à un jeu de switc

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Rassias, Stamatiki. "Stochastic functional differential equations and applications." Thesis, University of Strathclyde, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.486536.

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The general truth that the principle of causality, that is, the future state of a system is independent of its past history, cannot support all the cases under consideration, leads to the introduction of the FDEs. However, the strong need of modelling real life problems, demands the inclusion of stochasticity. Thus, the appearance of the SFDEs (special case of which is the SDDEs) is necessary and definitely unavoidable. It has been almost a century since Langevin's model that the researchers incorporate noise terms into their work. Two of the main research interests are linked with the existen

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Hofmanová, Martina. "Degenerate parabolic stochastic partial differential equations." Phd thesis, École normale supérieure de Cachan - ENS Cachan, 2013. http://tel.archives-ouvertes.fr/tel-00916580.

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In this thesis, we address several problems arising in the study of nondegenerate and degenerate parabolic SPDEs, stochastic hyperbolic conservation laws and SDEs with continues coefficients. In the first part, we are interested in degenerate parabolic SPDEs, adapt the notion of kinetic formulation and kinetic solution and establish existence, uniqueness as well as continuous dependence on initial data. As a preliminary result we obtain regularity of solutions in the nondegenerate case under the hypothesis that all the coefficients are sufficiently smooth and have bounded derivatives. In the s

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Curry, Charles. "Algebraic structures in stochastic differential equations." Thesis, Heriot-Watt University, 2014. http://hdl.handle.net/10399/2791.

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We define a new numerical integration scheme for stochastic differential equations driven by Levy processes with uniformly lower mean square remainder than that of the scheme of the same strong order of convergence obtained by truncating the stochastic Taylor series. In doing so we generalize recent results concerning stochastic differential equations driven by Wiener processes. The aforementioned works studied integration schemes obtained by applying an invertible mapping to the stochastic Taylor series, truncating the resulting series and applying the inverse of the original mapping. The shu

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Rajotte, Matthew. "Stochastic Differential Equations and Numerical Applications." VCU Scholars Compass, 2014. http://scholarscompass.vcu.edu/etd/3383.

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We will explore the topic of stochastic differential equations (SDEs) first by developing a foundation in probability theory and It\^o calculus. Formulas are then derived to simulate these equations analytically as well as numerically. These formulas are then applied to a basic population model as well as a logistic model and the various methods are compared. Finally, we will study a model for low dose anthrax exposure which currently implements a stochastic probabilistic uptake in a deterministic differential equation, and analyze how replacing the probablistic uptake with an SDE alters the d

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Books on the topic "Stochastic differential equations"

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Øksendal, Bernt. Stochastic Differential Equations. Springer Berlin Heidelberg, 1992. http://dx.doi.org/10.1007/978-3-662-02847-6.

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Øksendal, Bernt. Stochastic Differential Equations. Springer Berlin Heidelberg, 1995. http://dx.doi.org/10.1007/978-3-662-03185-8.

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Øksendal, Bernt. Stochastic Differential Equations. Springer Berlin Heidelberg, 2003. http://dx.doi.org/10.1007/978-3-642-14394-6.

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Panik, Michael J. Stochastic Differential Equations. John Wiley & Sons, Inc., 2017. http://dx.doi.org/10.1002/9781119377399.

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Øksendal, Bernt. Stochastic Differential Equations. Springer Berlin Heidelberg, 1985. http://dx.doi.org/10.1007/978-3-662-13050-6.

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Øksendal, Bernt. Stochastic Differential Equations. Springer Berlin Heidelberg, 1989. http://dx.doi.org/10.1007/978-3-662-02574-1.

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Sobczyk, Kazimierz. Stochastic Differential Equations. Springer Netherlands, 1991. http://dx.doi.org/10.1007/978-94-011-3712-6.

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Cecconi, Jaures, ed. Stochastic Differential Equations. Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-11079-5.

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Øksendal, Bernt. Stochastic Differential Equations. Springer Berlin Heidelberg, 1998. http://dx.doi.org/10.1007/978-3-662-03620-4.

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service), SpringerLink (Online, ed. Stochastic Differential Equations. Springer-Verlag Berlin Heidelberg, 2011.

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Book chapters on the topic "Stochastic differential equations"

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Doleans–Dade, C. "Stochastic Processes and Stochastic Differential Equations." In Stochastic Differential Equations. Springer Berlin Heidelberg, 2010. http://dx.doi.org/10.1007/978-3-642-11079-5_1.

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Kallianpur, Gopinath, and Rajeeva L. Karandikar. "Stochastic Differential Equations." In Introduction to Option Pricing Theory. Birkhäuser Boston, 2000. http://dx.doi.org/10.1007/978-1-4612-0511-1_4.

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Øksendal, Bernt. "Stochastic Differential Equations." In Universitext. Springer Berlin Heidelberg, 1989. http://dx.doi.org/10.1007/978-3-662-02574-1_5.

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Protter, Philip. "Stochastic Differential Equations." In Stochastic Integration and Differential Equations. Springer Berlin Heidelberg, 1990. http://dx.doi.org/10.1007/978-3-662-02619-9_6.

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Gawarecki, Leszek, and Vidyadhar Mandrekar. "Stochastic Differential Equations." In Probability and Its Applications. Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-16194-0_3.

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Platen, Eckhard, and David Heath. "Stochastic Differential Equations." In A Benchmark Approach to Quantitative Finance. Springer Berlin Heidelberg, 2006. http://dx.doi.org/10.1007/978-3-540-47856-0_7.

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Rozanov, Yuriĭ A. "Stochastic Differential Equations." In Introduction to Random Processes. Springer Berlin Heidelberg, 1987. http://dx.doi.org/10.1007/978-3-642-72717-7_10.

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Kloeden, Peter E., and Eckhard Platen. "Stochastic Differential Equations." In Numerical Solution of Stochastic Differential Equations. Springer Berlin Heidelberg, 1992. http://dx.doi.org/10.1007/978-3-662-12616-5_4.

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Chung, K. L., and R. J. Williams. "Stochastic Differential Equations." In Introduction to Stochastic Integration. Springer New York, 2013. http://dx.doi.org/10.1007/978-1-4614-9587-1_10.

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Schuss, Zeev. "Stochastic Differential Equations." In Applied Mathematical Sciences. Springer New York, 2009. http://dx.doi.org/10.1007/978-1-4419-1605-1_4.

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Conference papers on the topic "Stochastic differential equations"

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Sul, Jinhwan, Jungin E. Kim, and Yan Wang. "Quantum Functional Expansion to Solve Stochastic Differential Equations." In 2024 IEEE International Conference on Quantum Computing and Engineering (QCE). IEEE, 2024. https://doi.org/10.1109/qce60285.2024.00071.

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Sharifi, J., and H. Momeni. "Optimal control equation for quantum stochastic differential equations." In 2010 49th IEEE Conference on Decision and Control (CDC). IEEE, 2010. http://dx.doi.org/10.1109/cdc.2010.5717172.

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MATICIUC, LUCIAN, and AUREL RĂŞCANU. "BACKWARD STOCHASTIC GENERALIZED VARIATIONAL INEQUALITY." In Applied Analysis and Differential Equations - The International Conference. WORLD SCIENTIFIC, 2007. http://dx.doi.org/10.1142/9789812708229_0018.

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Guillouzic, Steve. "Transition rates for stochastic delay differential equations." In Stochastic and chaotic dynamics in the lakes. AIP, 2000. http://dx.doi.org/10.1063/1.1302421.

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Kumar, Archana, and Pramod Kumar Kapur. "SRGMs Based on Stochastic Differential Equations." In 2009 Second International Conference on Communication Theory, Reliability, and Quality of Service (CTRQ). IEEE, 2009. http://dx.doi.org/10.1109/ctrq.2009.26.

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Malinowski, Marek T. "On Bipartite Fuzzy Stochastic Differential Equations." In 8th International Conference on Fuzzy Computation Theory and Applications. SCITEPRESS - Science and Technology Publications, 2016. http://dx.doi.org/10.5220/0006079501090114.

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Chen, Zengjing, and Xiangrong Wang. "Comonotonicity of Backward Stochastic Differential Equations." In Proceedings of the International Conference on Mathematical Finance. WORLD SCIENTIFIC, 2001. http://dx.doi.org/10.1142/9789812799579_0003.

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Megan, Mihail, Diana Monica Stoica, Diana Alina Bistrian, Theodore E. Simos, George Psihoyios, and Ch Tsitouras. "Nonuniform Instability of Stochastic Differential Equations." In ICNAAM 2010: International Conference of Numerical Analysis and Applied Mathematics 2010. AIP, 2010. http://dx.doi.org/10.1063/1.3498498.

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FAGNOLA, FRANCO. "H-P QUANTUM STOCHASTIC DIFFERENTIAL EQUATIONS." In Proceedings of the RIMS Workshop on Infinite-Dimensional Analysis and Quantum Probability. WORLD SCIENTIFIC, 2003. http://dx.doi.org/10.1142/9789812705242_0002.

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FAGNOLA, FRANCO. "REGULAR SOLUTIONS OF QUANTUM STOCHASTIC DIFFERENTIAL EQUATIONS." In Quantum Stochastics and Information - Statistics, Filtering and Control. WORLD SCIENTIFIC, 2008. http://dx.doi.org/10.1142/9789812832962_0002.

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Reports on the topic "Stochastic differential equations"

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Christensen, S. K., and G. Kallianpur. Stochastic Differential Equations for Neuronal Behavior. Defense Technical Information Center, 1985. http://dx.doi.org/10.21236/ada159099.

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Dalang, Robert C., and N. Frangos. Stochastic Hyperbolic and Parabolic Partial Differential Equations. Defense Technical Information Center, 1994. http://dx.doi.org/10.21236/ada290372.

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Jiang, Bo, Roger Brockett, Weibo Gong, and Don Towsley. Stochastic Differential Equations for Power Law Behaviors. Defense Technical Information Center, 2012. http://dx.doi.org/10.21236/ada577839.

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Sharp, D. H., S. Habib, and M. B. Mineev. Numerical Methods for Stochastic Partial Differential Equations. Office of Scientific and Technical Information (OSTI), 1999. http://dx.doi.org/10.2172/759177.

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Jones, Richard H. Fitting Stochastic Partial Differential Equations to Spatial Data. Defense Technical Information Center, 1993. http://dx.doi.org/10.21236/ada279870.

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Garrison, J. C. Stochastic differential equations and numerical simulation for pedestrians. Office of Scientific and Technical Information (OSTI), 1993. http://dx.doi.org/10.2172/10184120.

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Xiu, Dongbin, and George E. Karniadakis. The Wiener-Askey Polynomial Chaos for Stochastic Differential Equations. Defense Technical Information Center, 2003. http://dx.doi.org/10.21236/ada460654.

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Chow, Pao-Liu, and Jose-Luis Menaldi. Stochastic Partial Differential Equations in Physical and Systems Sciences. Defense Technical Information Center, 1986. http://dx.doi.org/10.21236/ada175400.

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Budhiraja, Amarjit, Paul Dupuis, and Arnab Ganguly. Moderate Deviation Principles for Stochastic Differential Equations with Jumps. Defense Technical Information Center, 2014. http://dx.doi.org/10.21236/ada616930.

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Webster, Clayton G., Guannan Zhang, and Max D. Gunzburger. An adaptive wavelet stochastic collocation method for irregular solutions of stochastic partial differential equations. Office of Scientific and Technical Information (OSTI), 2012. http://dx.doi.org/10.2172/1081925.

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