Constructing an SDE from its two-point generator

DOI10.1142/S0219493715500252MaRDI QIDQ3453144zbMATH OpenFDO

Authors Mohammad Alvand

Publication date 20 November 2015

Published in Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219493715500252

zbMATH Keywords

Brownian flowCholesky decompositionstochastic differential equationtwo-point generator

Mathematics Subject Classification ID

Factorization of matrices (15A23) Generation, random and stochastic difference and differential equations (37H10) Convergence of probability measures (60B10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• scientific article; zbMATH DE number 44587 (Why is no real title available?)
• scientific article; zbMATH DE number 2150787 (Why is no real title available?)
• scientific article; zbMATH DE number 3383043 (Why is no real title available?)
• Stochastic averaging and asymptotic behavior of the stochastic Duffing--van der Pol equation
• The asymptotic stability of a noisy non-linear oscillator

Cited in

(1)

• Stochastic averaging for SDEs with Hopf drift and polynomial diffusion coefficients

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