Random Walks and Stochastic Differential Equations

Applied Stochastic Models and Control for Finance and Insurance ◽

10.1007/978-1-4615-5823-1_3 ◽

1998 ◽

pp. 89-146

Author(s):

Charles S. Tapiero

Keyword(s):

Differential Equations ◽

Random Walks ◽

Stochastic Differential Equations

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Comment on “Diffusion processes in composite porous media and their numerical integration by random walks: Generalized stochastic differential equations with discontinuous coefficients” by E. M. LaBolle, J. Quastel, G. E. Fogg, and J. Gravner

Water Resources Research ◽

10.1029/2005wr004091 ◽

2006 ◽

Vol 42 (2) ◽

Cited By ~ 7

Author(s):

Doo-Hyun Lim

Keyword(s):

Porous Media ◽

Differential Equations ◽

Random Walks ◽

Stochastic Differential Equations ◽

Numerical Integration ◽

Diffusion Processes ◽

Discontinuous Coefficients

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Random walks and stochastic differential equations

Universitext - Nonstandard Analysis in Practice ◽

10.1007/978-3-642-57758-1_4 ◽

1995 ◽

pp. 71-90 ◽

Cited By ~ 5

Author(s):

Eric Benoît

Keyword(s):

Differential Equations ◽

Random Walks ◽

Stochastic Differential Equations

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A stability theorem for stochastic differential equations with application to storage processes, random walks and optimal stochastic control problems

Stochastic Processes and their Applications ◽

10.1016/0304-4149(86)90036-0 ◽

1986 ◽

Vol 23 (2) ◽

pp. 199-220 ◽

Cited By ~ 4

Author(s):

Keigo Yamada

Keyword(s):

Differential Equations ◽

Random Walks ◽

Stochastic Differential Equations ◽

Stochastic Control ◽

Stability Theorem ◽

Optimal Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems ◽

Storage Processes

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Reply to comment by D.-H. Lim on “Diffusion processes in composite porous media and their numerical integration by random walks: Generalized stochastic differential equations with discontinuous coefficients”

Water Resources Research ◽

10.1029/2005wr004403 ◽

2006 ◽

Vol 42 (2) ◽

Cited By ~ 7

Author(s):

E. M. LaBolle ◽

Yong Zhang

Keyword(s):

Porous Media ◽

Differential Equations ◽

Random Walks ◽

Stochastic Differential Equations ◽

Numerical Integration ◽

Diffusion Processes ◽

Discontinuous Coefficients

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Diffusion processes in composite porous media and their numerical integration by random walks: Generalized stochastic differential equations with discontinuous coefficients

Water Resources Research ◽

10.1029/1999wr900224 ◽

2000 ◽

Vol 36 (3) ◽

pp. 651-662 ◽

Cited By ~ 85

Author(s):

Eric M. LaBolle ◽

Jeremy Quastel ◽

Graham E. Fogg ◽

Janko Gravner

Keyword(s):

Porous Media ◽

Differential Equations ◽

Random Walks ◽

Stochastic Differential Equations ◽

Numerical Integration ◽

Diffusion Processes ◽

Discontinuous Coefficients

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Continuous-time Random Walks for the Numerical Solution of Stochastic Differential Equations

Memoirs of the American Mathematical Society ◽

10.1090/memo/1228 ◽

2018 ◽

Vol 256 (1228) ◽

pp. 0-0 ◽

Cited By ~ 1

Author(s):

Nawaf Bou-Rabee ◽

Eric Vanden-Eijnden

Keyword(s):

Differential Equations ◽

Random Walks ◽

Numerical Solution ◽

Stochastic Differential Equations ◽

Continuous Time ◽

Continuous Time Random Walks

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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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