An algorithmic introduction to numerical simulation of stochastic differential equations
From MaRDI portal
Euler-Maruyama methodlinear stabilityMATLABMilstein methodMonte Carlo methodstochastic differential equationsstochastic simulationstrong and weak convergence
Ordinary differential equations and systems with randomness (34F05) Software, source code, etc. for problems pertaining to probability theory (60-04) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20)
Recommendations
Cited in
(only showing first 100 items - show all)- Local error estimates for moderately smooth problems. II: SDEs and SDAEs with small noise
- Split-step backward balanced Milstein methods for stiff stochastic systems
- Noise-induced changes to the behaviour of semi-implicit Euler methods for stochastic delay differential equations undergoing bifurcation
- Fuzzy filtering of nonlinear fuzzy stochastic systems with time-varying delay
- Numerical realizations of solutions of the stochastic KdV equation
- A fast solver for Fokker-Planck equation applied to viscoelastic flows calculations: 2D FENE model.
- Threshold of a stochastic SIR epidemic model with Lévy jumps
- Persistence and extinction for a class of stochastic SIS epidemic models with nonlinear incidence rate
- Stochastic permanence of an SIQS epidemic model with saturated incidence and independent random perturbations
- Periodic solutions and stationary distribution of mutualism models in random environments
- Dynamics of the stochastic Leslie-Gower predator-prey system with randomized intrinsic growth rate
- Stochastic extinction and persistence of a parasite-host epidemiological model
- Asymptotic behaviors of a cell-to-cell HIV-1 infection model perturbed by white noise
- Long-time behavior of a stochastic epidemic model with varying population size
- Periodic solution for a stochastic non-autonomous competitive Lotka-Volterra model in a polluted environment
- \(H_{\infty}\) control for nonlinear stochastic Markov systems with time-delay and multiplicative noise
- Analysis of a stochastic predator-prey model with disease in the predator and Beddington-DeAngelis functional response
- Dynamics of stochastic non-autonomous plankton-allelopathy system
- Stability of a stochastic logistic model under regime switching
- The asymptotic behavior of a stochastic SIS epidemic model with vaccination
- A stochastic SIR epidemic model with density dependent birth rate
- Permanence and extinction in non-autonomous logistic system with random perturbation and feedback control
- Investigating the two-moment characterisation of subcellular biochemical networks
- Stochastic dynamics of an SEIS epidemic model
- Analysis of a nonautonomous stochastic predator-prey model with Crowley-Martin functional response
- Persistence and stability of the disease-free equilibrium in a stochastic epidemic model with imperfect vaccine
- The extinction and persistence of a stochastic SIR model
- Long time behavior of a tumor-immune system competition model perturbed by environmental noise
- Dissipative control of a three-species food chain stochastic system with a hidden Markov chain
- Asymptotic behavior and numerical simulations of a Lotka-Volterra mutualism system with white noises
- Asymptotic properties of a stochastic nonautonomous competitive system with impulsive perturbations
- Stochastic quasilinear viscoelastic wave equation with nonlinear damping and source terms
- Threshold behaviour of a stochastic SIR model
- Qualitative analysis of a stochastic ratio-dependent Holling-Tanner system
- A parallel time integrator for noisy nonlinear oscillatory systems
- Analysis of a stochastic non-autonomous food-limited Lotka-Volterra cooperative model
- Stationary distribution and extinction of a three-species food chain stochastic model
- Can protection zone potentially strengthen protective effects in random environments?
- The modified dual reciprocity boundary elements method and its application for solving stochastic partial differential equations
- Numerical solutions of stochastic Volterra-Fredholm integral equations by hybrid Legendre block-pulse functions
- A stochastic SIS epidemic model incorporating media coverage in a two patch setting
- Periodic solution for stochastic non-autonomous multispecies Lotka-Volterra mutualism type ecosystem
- Global dynamics of a stochastic avian-human influenza epidemic model with logistic growth for avian population
- Path integration for real options
- \(H_{\infty}\) control for nonlinear stochastic systems with time-delay and multiplicative noise
- Optimal harvesting policies for a stochastic food-chain system with Markovian switching
- On the stability of -methods for stochastic Volterra integral equations
- Numerical preservation of long-term dynamics by stochastic two-step methods
- The extinction and persistence of the stochastic SIS epidemic model with vaccination
- Dynamics of virus infection model with nonlytic immune response induced by stochastic noise
- Synchronization of bursting neurons with a slowly varying d. c. current
- Mixed fractional Heston model and the pricing of American options
- Infinite horizon \(H_\infty\) control for nonlinear stochastic Markov jump systems with \((x, u, v)\)-dependent noise via fuzzy approach
- Algorithms for integration of stochastic differential equations using parallel optimized sampling in the Stratonovich calculus
- Persistence and extinction of a modified Leslie-Gower Holling-type II stochastic predator-prey model with impulsive toxicant input in polluted environments
- Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure
- A stochastic SIRS epidemic model incorporating media coverage and driven by Lévy noise
- Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations
- Ferrofluids and magnetically guided superparamagnetic particles in flows: a review of simulations and modeling
- An efficient approach based on radial basis functions for solving stochastic fractional differential equations
- Generalized seizures in a neural field model with bursting dynamics
- Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations
- Stationary distribution and extinction of a stochastic SIRS epidemic model with information intervention
- Numerical methods for simulation of stochastic differential equations
- Analysis of a stochastic cooperation-competition model
- A stochastic model for water-vegetation systems and the effect of decreasing precipitation on semi-arid environments
- Stochastic epidemic metapopulation models on networks: SIS dynamics and control strategies
- Modelling conjugation with stochastic differential equations
- Competition and coexistence of a stochastic Holling II \(n\)-predator one-prey model
- Global threshold dynamics of a stochastic epidemic model incorporating media coverage
- An exponential quantum projection filter for open quantum systems
- Nonlinear stochastic \(H_{\infty}\) control with Markov jumps and \((x, u, v)\)-dependent noise: finite and infinite horizon cases
- Robust adaptive exponential synchronization of stochastic perturbed chaotic delayed neural networks with parametric uncertainties
- Persistence and extinction of a stochastic single-specie model under regime switching in a polluted environment
- Strong convergence of the split-step theta method for stochastic delay differential equations with nonglobally Lipschitz continuous coefficients
- Asymptotic behavior of a stochastic two-species competition model under the effect of disease
- Asymptotic behavior of positive solutions of a competitive system subject to environmental noise
- Stochastic permanence, stationary distribution and extinction of a single-species nonlinear diffusion system with random perturbation
- Dynamics analysis of a stochastic SIR epidemic model
- Dynamical behavior of a stochastic food-chain system with Beddington-DeAngelis functional response
- Stability of infinite dimensional interconnected systems with impulsive and stochastic disturbances
- A stochastic predator-prey system with stage structure for predator
- The stability of SI epidemic model in complex networks with stochastic perturbation
- Persistence and nonpersistence of a predator prey system with stochastic perturbation
- Dynamics of a stochastic SIS epidemic model with saturated incidence
- Dynamical behavior of the stochastic delay mutualism system
- Dynamics of a stochastic functional system for wastewater treatment
- On a stochastic SEIS model with treatment rate of latent population
- Asymptotic behavior of global positive solution to a stochastic SIR model incorporating media coverage
- A stochastic prey-predator model with time-dependent delays
- Recurrence and strong stochastic persistence of a stochastic single-species model
- Dynamical behaviors of a stochastic \textit{SIQR} epidemic model with quarantine-adjusted incidence
- A stochastic HIV infection model with latent infection and antiretroviral therapy
- The principle of competitive exclusion about a stochastic Lotka-Volterra model with two predators competing for one prey
- Dynamics of a stochastic SIR epidemic model with saturated incidence
- The constitution of visual perceptual units in the functional architecture of V1
- Persistence and extinction of a stochastic single-specie model under regime switching in a polluted environment. II
- Dynamical behavior of a stochastic two-species monod competition chemostat model
- A stochastic SIRS epidemic model with nonlinear incidence rate
- Numerical investigation of noise induced changes to the solution behaviour of the discrete FitzHugh-Nagumo equation
This page was built for publication: An algorithmic introduction to numerical simulation of stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2753005)
