Numerical solution of SDE through computer experiments. Including floppy disk
From MaRDI portal
stabilitystochastic processesstiff problemsstochastic differential equationstextbookstochastic integrationexercisescomputer programsEuler methodsstochastic Taylor seriesTURBO PASCAL programs
Probabilistic methods, stochastic differential equations (65C99) Software, source code, etc. for problems pertaining to probability theory (60-04) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to numerical analysis (65-01) Numerical methods for initial value problems involving ordinary differential equations (65L05)
Recommendations
Cited in
(only showing first 100 items - show all)- Derivation and computation of discrete-delay and continuous-delay SDEs in mathematical biology
- Discrete-time approximations of stochastic delay equations: the Milstein scheme.
- Complexity and effective dimension of discrete Lévy areas
- Stochastic and coherence resonance in a dressed neuron model
- On the number of deviations of geometric Brownian motion with drift from its extreme points with applications to transaction costs
- Derivation of SPDEs for correlated random walk transport models in one and two dimensions
- scientific article; zbMATH DE number 1705382 (Why is no real title available?)
- Analysis of crack growth with robust, distribution-free estimators and tests for non-stationary autoregressive processes
- Low-storage Runge-Kutta methods for stochastic differential equations
- A step size control algorithm for the weak approximation of stochastic differential equations
- A comparison of three different stochastic population models with regard to persistence time
- Estimating the parameters of stochastic differential equations using a criterion function
- Numerical study of interacting particles approximation for integro-differential equations
- Application of the Heston stochastic volatility model for Borsa Istanbul using impression matrix norm
- Bounds for the transition density of time-homogeneous diffusion processes
- Numerical Solution to Hybrid Stochastic Differential Systems
- scientific article; zbMATH DE number 2009855 (Why is no real title available?)
- On a stochastic nonlocal system with discrete diffusion modeling life tables
- Loss of regularity for Kolmogorov equations
- A sustainability condition for stochastic forest model
- Parameter estimation in a verhulst stochastic model
- Diffusion approximation for signaling stochastic networks
- Numerical solution of stochastic differential equations in finance
- Balanced Milstein Methods for Ordinary SDEs
- Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
- An approximate method via Taylor series for stochastic functional differential equations
- Almost sure asymptotic stability of drift-implicit \(\theta\)-methods for bilinear ordinary stochastic differential equations in \(\mathbb R^1\)
- SDE-MATH: a software package for the implementation of strong high-order numerical methods for Ito SDEs with multidimensional non-commutative noise based on multiple Fourier-Legendre series
- Generalized spectral testing for multivariate continuous-time models
- Construction of Equivalent Stochastic Differential Equation Models
- A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods
- Stochasticity and cooperative hunting in predator-prey interactions
- Generalized Lagrangian coherent structures
- A phenomenological model of myelinated nerve with a dynamic threshold
- On the first hitting time of a one-dimensional diffusion and a compound Poisson process
- Simulation and inference for stochastic differential equations. With R examples.
- Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement
- Doubling-time probability densities for growth processes
- In-phase and anti-phase synchronization in noisy Hodgkin-Huxley neurons
- 3D extreme value analysis for stock return, interest rate and speed of mean reversion
- Developments in formulation and application of the filtered density function
- Solving the Kolmogorov PDE by means of deep learning
- Approximate and generalized confidence bands for the mean and mode functions of the lognormal diffusion process
- The optimal discretization of probability density functions
- Disease emergence in deterministic and stochastic models for host and pathogen
- On the numerical discretisation of stochastic oscillators
- Shooting Methods for Numerical Solution of Nonlinear Stochastic Boundary-Value Problems
- Derivation of stochastic partial differential equations for size- and age-structured populations
- Impulsive control of stochastic systems with applications in chaos control, chaos synchronization, and neural networks
- SDELab: A package for solving stochastic differential equations in MATLAB
- scientific article; zbMATH DE number 711262 (Why is no real title available?)
- A non-standard-Euler-Maruyama scheme
- Numerical solutions for jump-diffusions with regime switching
- Life Tables with Covariates: Dynamic Model for Nonlinear Analysis of Longitudinal Data
- How to simulate anisotropic diffusion processes on curved surfaces
- A comparison of persistence-time estimation for discrete and continuous stochastic population models that include demographic and environmental variability
- Numerical solution of stochastic differential problems in the biosciences
- Environmental variability and mean-reverting processes
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- Parameter estimation in stochastic differential equations
- Maximum likelihood estimation of time-inhomogeneous diffusions.
- Parameter Estimation in a Gompertzian Stochastic Model for Tumor Growth
- Shooting Methods for Numerical Solution of Stochastic Boundary-Value Problems
- A diffusion process to model generalized von Bertalanffy growth patterns: fitting to real data
- Mathematical models for hantavirus infection in rodents
- Stochastic Gauss equations
- A new Gompertz-type diffusion process with application to random growth
- Signal propagation in feedforward neuronal networks with unreliable synapses
- A survey on OR and mathematical methods applied on gene-environment networks
- Approximating explicitly the mean-reverting CEV process
- Simulating Coulomb and log-gases with hybrid Monte Carlo algorithms
- Numerical analysis of stochastic differential equations without tears
- Exact solutions of stochastic differential equations: Gompertz, generalized logistic and revised exponential
- A variable step-size control algorithm for the weak approximation of stochastic differential equations
- Discrete attachment to a cellulolytic biofilm modeled by an Itô stochastic differential equation
- Stochastic Galerkin techniques for random ordinary differential equations
- Uncertainty quantification for hyperbolic conservation laws with flux coefficients given by spatiotemporal random fields
- Iterative methods for nonlinear systems associated with finite difference approach in stochastic differential equations
- Computing the finite time Lyapunov exponent for flows with uncertainties
- Deterministic and stochastic nutrient-phytoplankton-zooplankton models with periodic toxin producing phytoplankton
- From elementary probability to stochastic differential equations with MAPLE
- Stochastic sensitivity: a computable Lagrangian uncertainty measure for unsteady flows
- Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts
- Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
- Threshold behaviour of a stochastic epidemic model with two-dimensional noises
- A comparative analysis of efficiency of using the Legendre polynomials and trigonometric functions for the numerical solution of Ito stochastic differential equations
- On the possibility of track length based Monte-Carlo algorithms for stationary drift-diffusion systems with sources and sinks
- An SDE model for deterioration of rock surfaces
- Andronov-Hopf and Neimark-Sacker bifurcations in time-delay models of HIV transmission
- Analysis of stochastic numerical schemes for the evolution equations of geophysics
- Filtering and the EM-Algorithm for the Markovian Arrival Process
- A fractional differential equation model for continuous glucose monitoring data
- Uncertainty in finite-time Lyapunov exponent computations
- A stochastic SIRS epidemic model with a general awareness-induced incidence
- Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations
- Stochastic differential equations: theory and practice of numerical solution
- Numerical solution algorithms for stochastic differential systems with switching diffusion
- Explicit one-step numerical method with the strong convergence order of 2.5 for Ito stochastic differential equations with a multi-dimensional nonadditive noise based on the Taylor-Stratonovich expansion
- Andronov-Hopf and Neimark-Sacker bifurcations in time-delay differential equations and difference equations with applications to models for diseases and animal populations
- Localization errors in solving stochastic partial differential equations in the whole space
This page was built for publication: Numerical solution of SDE through computer experiments. Including floppy disk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1313407)
