Preliminaries to Probability Theory and Stochastic Differential Equations

Mathematical Concepts and Methods in Science and Engineering - Mathematical Methods in Robust Control of Linear Stochastic Systems ◽

10.1007/978-0-387-35924-3_1 ◽

2007 ◽

pp. 1-32

Keyword(s):

Probability Theory ◽

Differential Equations ◽

Stochastic Differential Equations

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Preliminaries to Probability Theory and Stochastic Differential Equations

Mathematical Methods in Robust Control of Linear Stochastic Systems ◽

10.1007/978-1-4614-8663-3_1 ◽

2013 ◽

pp. 1-38

Author(s):

Vasile Dragan ◽

Toader Morozan ◽

Adrian-Mihail Stoica

Keyword(s):

Probability Theory ◽

Differential Equations ◽

Stochastic Differential Equations

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2. Statistical Simulation of the Cauchy Problem Solution for Systems of Stochastic Differential Equations. 2.1. Elements of Probability Theory, Stochastic Processes and Statistical Simulation

Numerical Analysis of Systems of Ordinary and Stochastic Differential Equations ◽

10.1515/9783110944662.50 ◽

2011 ◽

Keyword(s):

Probability Theory ◽

Cauchy Problem ◽

Differential Equations ◽

Stochastic Processes ◽

Stochastic Differential Equations ◽

Statistical Simulation ◽

Problem Solution ◽

The Cauchy Problem

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Stochastic Differential Equations for Power Law Behaviors

10.21236/ada577839 ◽

2012 ◽

Author(s):

Bo Jiang ◽

Roger Brockett ◽

Weibo Gong ◽

Don Towsley

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Power Law

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Constrained Stochastic Differential Equations Driven by Fractional Brownian Motions: Stationarity and Parameter Estimation Problems

10.21236/ada591767 ◽

2013 ◽

Author(s):

Chihoon Lee

Keyword(s):

Parameter Estimation ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Brownian Motions ◽

Fractional Brownian Motions ◽

Estimation Problems

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Method of Iterated Integrals for Solution of Stochastic Integrals with Applications to Monte Carlo Simulation of Stochastic Differential Equations.

SSRN Electronic Journal ◽

10.2139/ssrn.3133959 ◽

2018 ◽

Author(s):

Ahsan Amin

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Stochastic Integrals ◽

Iterated Integrals

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Delay‐dependent stability of nonlinear hybrid neutral stochastic differential equations with multiple delays

International Journal of Robust and Nonlinear Control ◽

10.1002/rnc.5275 ◽

2020 ◽

Vol 31 (1) ◽

pp. 250-267 ◽

Cited By ~ 1

Author(s):

Ruili Song ◽

Bo Wang ◽

Quanxin Zhu

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Multiple Delays ◽

Delay Dependent ◽

Delay Dependent Stability ◽

Nonlinear Hybrid

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Numerical Approximations to the Stationary Solutions of Stochastic Differential Equations

SIAM Journal on Numerical Analysis ◽

10.1137/100797886 ◽

2011 ◽

Vol 49 (4) ◽

pp. 1397-1416 ◽

Cited By ~ 4

Author(s):

Andrei Yevik ◽

Huaizhong Zhao

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Stationary Solutions ◽

Numerical Approximations

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Strong Solution Existence for a Class of Degenerate Stochastic Differential Equations

IFAC-PapersOnLine ◽

10.1016/j.ifacol.2020.12.007 ◽

2020 ◽

Vol 53 (2) ◽

pp. 2220-2224

Author(s):

William M. McEneaney ◽

Hidehiro Kaise ◽

Peter M. Dower ◽

Ruobing Zhao

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Strong Solution ◽

Solution Existence

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Wong–Zakai approximations for quasilinear systems of Itô’s type stochastic differential equations

Stochastic Processes and their Applications ◽

10.1016/j.spa.2021.07.007 ◽

2021 ◽

Author(s):

Alberto Lanconelli ◽

Ramiro Scorolli

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Quasilinear Systems

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A note on the Euler–Maruyama scheme for 1-dimensional stochastic differential equations involving the local time of the unknown process

Journal of Interdisciplinary Mathematics ◽

10.1080/09720502.2021.1893474 ◽

2021 ◽

pp. 1-21

Author(s):

Mohamed Bourza ◽

Mohsine Benabdallah

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Local Time

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