Theory of stochastic differential equations with jumps and applications.
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Cited in
(only showing first 100 items - show all)- Backward stochastic differential equations. From linear to fully nonlinear theory
- Explosive solutions for stochastic differential equations driven by Lévy processes
- The filtering equations of forward-backward stochastic systems with random jumps and applications to partial information stochastic optimal control
- Comparison theorem for stochastic differential delay equations with jumps
- Yamada-Watanabe results for stochastic differential equations with jumps
- Randomized Milstein algorithm for approximation of solutions of jump-diffusion SDEs
- On approximation of solutions of stochastic delay differential equations via randomized Euler scheme
- An Euler-Poisson scheme for Lévy driven stochastic differential equations
- Exponential ergodicity of some Markov dynamical systems with application to a Poisson-driven stochastic differential equation
- Coupled system of second-order stochastic differential inclusions driven by Lévy noise
- Optimal harvesting for a stochastic regime-switching logistic diffusion system with jumps
- Sample paths of continuous-state branching processes with dependent immigration
- Well-posedness for the stochastic 2D primitive equations with Lévy noise
- Well-posedness and dynamics of the stochastic fractional magneto-hydrodynamic equations
- Finite time stability of stochastic hybrid systems
- Stability in distribution of a stochastic hybrid competitive Lotka-Volterra model with Lévy jumps
- Further result on finite-time stabilization of stochastic nonholonomic systems
- Finite-time \(H_{\infty}\) filtering for non-linear stochastic systems
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
- The existence and asymptotic estimations of solutions to stochastic pantograph equations with diffusion and Lévy jumps
- pth moment asymptotic stability for neutral stochastic functional differential equations with Lévy processes
- scientific article; zbMATH DE number 6892595 (Why is no real title available?)
- Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions
- Analysis and verification of uniform moment exponential stability for stochastic hybrid systems with Poisson jump
- \(p\)th moment exponential stability of neutral stochastic differential equations driven by Lévy noise
- Time-inconsistent linear-quadratic non-zero sum stochastic differential games with random jumps
- On Milstein-type scheme for SDE driven by Lévy noise with super-linear coefficients
- Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure
- Backward stochastic Volterra integral equations with jumps in a general filtration
- Approximation properties for solutions to non-Lipschitz stochastic differential equations with Lévy noise
- Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions
- Some properties of finite-time stable stochastic nonlinear systems
- Robust finite-time fault estimation for stochastic nonlinear systems with Brownian motions
- \( \mathcal{H}_\infty\) control for Poisson-driven stochastic systems
- On the approximations of solutions to neutral SDEs with Markovian switching and jumps under non-Lipschitz conditions
- Kinetic time-inhomogeneous Lévy-driven model
- Successive approximation to solutions of stochastic differential equations with jumps in local non-Lipschitz conditions
- Coupled stochastic systems of Skorokhod type: Well‐posedness of a mathematical model and its applications
- Reflected generalized BSDE with jumps under stochastic conditions and an obstacle problem for integral-partial differential equations with nonlinear Neumann boundary conditions
- scientific article; zbMATH DE number 6841152 (Why is no real title available?)
- Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem
- BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
- Modeling and analysis of switching diffusion systems: past-dependent switching with a countable state space
- A positive role of multiplicative noise on the emergence of flocking in a stochastic Cucker-Smale system
- Stochastic equations, flows and measure-valued processes
- Sampled-data LQG control for a class of linear quantum systems
- On the optimality of the refraction-reflection strategies for Lévy processes
- Neural network adaptive finite-time control of stochastic nonlinear systems with full state constraints
- On tamed Milstein schemes of SDEs driven by Lévy noise
- Pathwise uniqueness of stochastic differential equations driven by Cauchy processes with drift
- Dynamics of the stochastic low concentration trimolecular oscillatory chemical system with jumps
- On the asymptotic stability and numerical analysis of solutions to nonlinear stochastic differential equations with jumps
- Stochastic periodic solutions of stochastic differential equations driven by Lévy process
- Heavy-traffic limits for many-server queues with service interruptions
- Numerical analysis on local risk-minimization for exponential Lévy models
- Global finite-time adaptive stabilization for nonlinear systems with multiple unknown control directions
- Strong Convergence for Split-Step Methods in Stochastic Jump Kinetics
- High-order split-step theta methods for non-autonomous stochastic differential equations with non-globally Lipschitz continuous coefficients
- Periodic solutions of stochastic differential equations driven by Lévy noises
- Stochastic SIR Lévy jump model with heavy-tailed increments
- Stochastic maximum principle of mean-field jump-diffusion systems with mixed delays
- On Feller and strong Feller properties and exponential ergodicity of regime-switching jump diffusion processes with countable regimes
- Adaptive step-size control for global approximation of SDEs driven by countably dimensional Wiener process
- Large deviations for invariant measures of stochastic differential equations with jumps
- Adaptive fuzzy event-triggered control for nonstrict-feedback switched stochastic nonlinear systems with state constraints
- Pathwise uniqueness of stochastic differential equations driven by Brownian motions and finite variation Lévy processes
- Analysis of a hybrid switching SVIR epidemic model with vaccination and Lévy noise
- scientific article; zbMATH DE number 1896412 (Why is no real title available?)
- Adaptive neural network asymptotic tracking control for nonstrict feedback stochastic nonlinear systems
- Permanence and extinction of a stochastic delay logistic model with jumps
- On martingale problems and Feller processes
- Media effects on the dynamics of a stochastic SIRI epidemic model with relapse and Lévy noise perturbation
- Continuous-state branching processes with immigration
- Fully nonlocal stochastic control problems with fractional Brownian motions and Poisson jumps
- Random periodic solutions for a class of hybrid stochastic differential equations
- Hausdorff dimension of the range and the graph of stable-like processes
- Stochastic differential equations driven by fractional Brownian motion and Poisson point process
- Strong solutions and strong Feller properties for regime-switching diffusion processes in an infinite state space
- Euler-Maruyama approximations for stochastic McKean-Vlasov equations with non-Lipschitz coefficients
- Exponential ergodicity for non-Lipschitz multivalued stochastic differential equations with Lévy jumps
- A variation of constant formula for Caputo fractional stochastic differential equations with jump-diffusion
- Asymptotic behavior of the stochastic Rayleigh-van der Pol equations with jumps
- On Krylov's estimates for optional semimartingales
- Finite-time stability and instability of stochastic nonlinear systems
- Exponential stability of the exact solutions and \(\theta\)-EM approximations to neutral SDDEs with Markov switching
- The stochastic fixed-time synchronization of delays neural networks driven by Lévy noise
- Asymptotic boundedness and stability of solutions to hybrid stochastic differential equations with jumps and the Euler-Maruyama approximation
- Global well-posedness of the viscous Camassa-Holm equation with gradient noise
- Asymptotic behavior of a stochastic non-autonomous predator-prey system with jumps
- Backward doubly stochastic equations with jumps and comparison theorems
- General decay asymptotic stability of neutral stochastic differential delayed equations with Markov switching
- Efficient approximation of SDEs driven by countably dimensional Wiener process and Poisson random measure
- Maximal inequalities and exponential estimates for stochastic convolutions driven by Lévy-type processes in Banach spaces with application to stochastic quasi-geostrophic equations
- Coupling and exponential ergodicity for stochastic differential equations driven by Lévy processes
- Persistence and extinction of a stochastic SIS epidemic model with regime switching and Lévy jumps
- Fluctuation theory for level-dependent Lévy risk processes
- Integrability and regularity of the flow of stochastic differential equations with jumps
- Linear-quadratic mean-field game for stochastic large-population systems with jump diffusion
- Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps
- Numerical conservation issues for jump Pearson diffusions
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