Modeling with Itô Stochastic Differential Equations

DOI10.1007/978-1-4020-5953-7zbMath1130.60064MaRDI QIDQ3423451

Edward J. Allen

Publication date: 22 February 2007

Published in: Mathematical Modelling: Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4020-5953-7

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

Related Items

Estimating reducible stochastic differential equations by conversion to a least-squares problem, Computing probabilistic solutions of the Bernoulli random differential equation, Environmental variability and mean-reverting processes, Probability of a disease outbreak in stochastic multipatch epidemic models, Stochastic models for virus and immune system dynamics, Numerical stationary distribution and its convergence for nonlinear stochastic differential equations, Derivation and computation of discrete-delay and continuous-delay SDEs in mathematical biology, Split-step Milstein methods for multi-channel stiff stochastic differential systems, Probabilistic solution of the homogeneous Riccati differential equation: a case-study by using linearization and transformation techniques, Convergence and asymptotic stability of the explicit Steklov method for stochastic differential equations, Demographic stochasticity in the SDE SIS epidemic model, Persistence-time estimation for some stochastic SIS epidemic models, Mathematical models for the effects of hypertension and stress on kidney and their uncertainty, SDE SIS epidemic model with demographic stochasticity and varying population size, A numerical solver for high dimensional transient Fokker-Planck equation in modeling polymeric fluids, Extinction-time for stochastic population models, Practical estimation of high dimensional stochastic differential mixed-effects models, Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients, A stochastic SIRI epidemic model with Lévy noise, Fluctuating periodic solutions and moment boundedness of a stochastic model for the bone remodeling process, Numerical solution of stochastic elliptic partial differential equations using the meshless method of radial basis functions, Meshless simulation of stochastic advection-diffusion equations based on radial basis functions, The modified dual reciprocity boundary elements method and its application for solving stochastic partial differential equations, Random first-order linear discrete models and their probabilistic solution: a comprehensive study, How stochasticity influences leading indicators of critical transitions, Reflected stochastic differential equation models for constrained animal movement, A stochastic SIRS epidemic model incorporating media coverage and driven by Lévy noise, Numerical methods for simulation of stochastic differential equations, Equivalence of the mean square stability between the partially truncated Euler-Maruyama method and stochastic differential equations with super-linear growing coefficients, A reliable numerical analysis for stochastic dengue epidemic model with incubation period of virus, Explicit criteria for mean square exponential stability of stochastic differential equations, The truncated Milstein method for stochastic differential equations with commutative noise, Computing the probability density function of non-autonomous first-order linear homogeneous differential equations with uncertainty, Determination of minimum required damping in stochastic following seas modeled by using Gaussian white noise, Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations, Stochastic modeling of phytoplankton allelopathy, On the MS-stability of predictor-corrector schemes for stochastic differential equations, A stochastic viral infection model driven by Lévy noise, A family of Chaplygin-type solvers for Itô stochastic differential equations, Extinction and ergodic property of stochastic SIS epidemic model with nonlinear incidence rate, Basic stochastic model for tumor virotherapy, The truncated theta-EM method for nonlinear and nonautonomous hybrid stochastic differential delay equations with Poisson jumps, Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps, Application of combination schemes based on radial basis functions and finite difference to solve stochastic coupled nonlinear time fractional sine-Gordon equations, Global analysis of an environmental and death transmission model for Ebola outbreak with perturbation, Varying-coefficient stochastic differential equations with applications in ecology, Stationary distribution of stochastic population dynamics with infinite delay, Modeling of COVID-19 propagation with compartment models, Probabilistic analysis of a class of impulsive linear random differential equations forced by stochastic processes admitting Karhunen-Loève expansions, On the generalized logistic random differential equation: theoretical analysis and numerical simulations with real-world data, The backward Euler-Maruyama method for invariant measures of stochastic differential equations with super-linear coefficients, On the random wave equation within the mean square context, Uncertainty quantification analysis of the biological Gompertz model subject to random fluctuations in all its parameters, Game-theoretic frameworks for epidemic spreading and human decision-making: a review, Probabilistic analysis of linear-quadratic logistic-type models with hybrid uncertainties via probability density functions, Numerical techniques for stochastic foot and mouth disease epidemic model with the impact of vaccination, A generalized entropy optimization modelling in the theory of stochastic differential equations, Stochastic prey-predator model with additional food for predator, Uncertainty quantification for random Hamiltonian systems by using polynomial expansions and geometric integrators, The truncated \(\theta \)-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations, Moment characteristic method in the optimal control theory of diffusion-type stochastic systems, Explicit criteria for mean square exponential stability of stochastic linear differential equations with distributed delays, On the threshold dynamics of the stochastic SIRS epidemic model using adequate stopping times, On real-valued SDE and nonnegative-valued SDE population models with demographic variability, A comprehensive probabilistic solution of random SIS-type epidemiological models using the random variable transformation technique, Stochastic analysis of in-host HCV dynamics through budding and bursting process, Analysis of random non-autonomous logistic-type differential equations via the Karhunen-Loève expansion and the random variable transformation technique, Stochastic model of an influenza epidemic with drug resistance, A discontinuous Galerkin method for systems of stochastic differential equations with applications to population biology, finance, and physics, Iterative method for non-adapted fuzzy stochastic differential equations, On exponential stability in mean square of neutral stochastic functional differential equations, On a new method for the stochastic perturbation of the disease transmission coefficient in SIS models, A mean extinction-time estimate for a stochastic Lotka-Volterra predator-prey model, A fast convergent numerical method for matrix sign function with application in SDEs, On weak approximations of CIR equation with high volatility, Comparing stochastic Lotka-Volterra predator-prey models, On a class of stochastic differential equations with random and Hölder continuous coefficients arising in biological modeling, The asymptotic behavior of a stochastic vaccination model with backward bifurcation, Mathematical analysis of HIV/AIDS stochastic dynamic models, A stochastic differential equation SIS epidemic model with two correlated Brownian motions, A new approach to simulating stochastic delayed systems, On solving stochastic differential equations, Probabilistic solution of random homogeneous linear second-order difference equations, Construction of consistent discrete and continuous stochastic models for multiple assets with application to option valuation, The Itô-Henstock stochastic differential equations, Stochastic noise reduction upon complexification: positively correlated birth-death type systems, Derivation and experimental comparison of cell-division probability densities, Numerical solution of time-dependent stochastic partial differential equations using RBF partition of unity collocation method based on finite difference, The truncated EM method for stochastic differential equations with Poisson jumps, Deterministic and stochastic dynamics of a competitive phytoplankton model with allelopathy, A stochastic differential equation SIS epidemic model with two independent Brownian motions, Optimal control problem with an integral equation as the control object, Persistence and extinction in stochastic delay logistic equation by incorporating Ornstein-Uhlenbeck process, The effect of demographic and environmental variability on disease outbreak for a dengue model with a seasonally varying vector population, Fuzzy stochastic differential equations driven by fractional Brownian motion, Hopf bifurcation without parameters in deterministic and stochastic modeling of cancer virotherapy. I, Uncertainty quantification for hybrid random logistic models with harvesting via density functions, An application of new method to obtain probability density function of solution of stochastic differential equations, Stochastic SIS metapopulation models for the spread of disease among species in a fragmented landscape, Stochastic difference equations and a stochastic partial differential equation for neutron transport, Stochastic juvenile–adult models with application to a green tree frog population, Multifractal analysis of visibility graph-based Ito-related connectivity time series, Stochastic mixed-mode oscillations in a three-species predator-prey model, STOCHASTIC MODELING OF PHYTOPLANKTON–ZOOPLANKTON INTERACTIONS WITH TOXIN PRODUCING PHYTOPLANKTON, A note on a derivation method for SDE models: Applications in biology and viability criteria, Unnamed Item, On the Pathwise Growth Rates of Large Fluctuations of Stochastic Population Systems with Infinite Delay, A logistic-harvest model with allee effect under multiplicative noise, A general model system related to affine stochastic differential equations, STOCHASTICITY AND COOPERATIVE HUNTING IN PREDATOR–PREY INTERACTIONS, New criteria for mean square exponential stability of stochastic delay differential equations, Multi-level Monte Carlo methods with the truncated Euler–Maruyama scheme for stochastic differential equations, Bayesian forecast of the basic reproduction number during the Covid-19 epidemic in Morocco and Italy, Examining HIV progression mechanisms via mathematical approaches, New results on exponential stability in mean square of neutral stochastic equations with delays, DYNAMIC INTERACTIONS BETWEEN PREY AND PREDATOR WITH COOPERATION AND ALLEE EFFECT: DETERMINISTIC AND STOCHASTIC APPROACH, Модели стохастической динамики развития производственных предприятий с запаздывающими внутренними и внешними инвестициями, Stochastic model of innovation diffusion that takes into account the changes in the total market volume, Lévy noise perturbation for an epidemic model with impact of media coverage, Novel criteria for exponential stability in mean square of stochastic functional differential equations, Mean exit time and escape probability for the Ornstein–Uhlenbeck process, Selection of a stochastic Landau-Lifshitz equation and the stochastic persistence problem, A reliable numerical analysis for stochastic gonorrhea epidemic model with treatment effect, Solving Random Ordinary and Partial Differential Equations Through the Probability Density Function: Theory and Computing with Applications, Doubling-Time Probability Densities For Growth Processes, Stabilized IMLS based element free Galerkin method for stochastic elliptic partial differential equations, A Stochastic Analysis of Power Doubling Time for a Subcritical System, Media effects on the dynamics of a stochastic SIRI epidemic model with relapse and Lévy noise perturbation, Impact of Variability in Stochastic Models of Bacteria-Phage Dynamics Applicable to Phage Therapy, Construction of Equivalent Stochastic Differential Equation Models, Derivation of Stochastic Partial Differential Equations, Stochastic Optimization in Population Dynamics: The Case of Multi-site Fisheries, NUMERICAL MODELING OF A NOVEL STOCHASTIC CORONAVIRUS, Aesop's moral on success, Unnamed Item, A note about the invariance of the basic reproduction number for stochastically perturbed SIS models, Theory and methods for random differential equations: a survey, Mean square exponential stability of stochastic function differential equations in the G-framework, Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence, The stochasticity in adherence to nonpharmaceutical interventions and booster doses and the mitigation of COVID-19, Using Malliavin calculus to solve a chemical diffusion master equation, Numerical solutions of an option pricing rainfall weather derivatives model, Stochastic Reaction Network Modeling and Optimal Control for Covid-19, Modeling cholera epidemiology using stochastic differential equations, Statistical Analysis of a General Adsorption Kinetic Model with Randomness in Its Formulation. An Application to Real Data, Stochastic modeling for describing crystallization droplets in water emulsion, <scp>Event‐triggered</scp> adaptive stabilization control of stochastic nonlinear systems with unmodeled dynamics, Almost sure convergence and asymptotic stability of systems of linear stochastic difference equations in ℝ^ddriven byL²-martingales, Derivation of SPDEs for Correlated Random Walk Transport Models in One and Two Dimensions, Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods, Derivation of Several SDE Systems in One- and Two-Locus Population Genetics, Derivation of Stochastic Partial Differential Equations for Reaction-Diffusion Processes, Comparison of Markov Chain and Stochastic Differential Equation Population Models Under Higher-Order Moment Closure Approximations, Itô-Type Stochastic Parabolic Partial Differential Equations in Hilbert Spaces: Stability and Convergence Results via Lyapunov-Like Functions, Efficient stochastic model for the point kinetics equations, The effect of delay in viral production in within-host models during early infection, Assessing the risk of alternative management strategies in a Mediterranean fishery: protecting the younger vs reducing fishing effort, Математические модели стохастической динамики развития предприятий, THE EFFECT OF STOCHASTIC VARIABILITY ON TRANSMISSION DYNAMICS OF ECHINOCOCCOSIS, Non-positivity and oscillations of solutions of nonlinear stochastic difference equations with state-dependent noise, Derivation of stochastic partial differential equations for size- and age-structured populations