Transformation invariant stochastic catastrophe theory

DOI10.1016/j.physd.2005.08.014zbMath1101.58025OpenAlexW2106574762MaRDI QIDQ2507966

Pascal A. I. Hartelman, Han L. J. van der Maas, Peter C. M. Molenaar, Raoul P. P. P. Grasman, Eric‐Jan Wagenmakers

Publication date: 5 October 2006

Published in: Physica D (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physd.2005.08.014

zbMATH Keywords

stochastic differential equationbifurcationphase transitionmultimodalitylevel crossing function

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Time series analysis of dynamical systems (37M10) Catastrophe theory (58K35)

Related Items (8)

An analysis of the effect of noise in a heterogeneous agent financial market model ⋮ Small-noise asymptotics of Hamilton-Jacobi-Bellman equations and bifurcations of stochastic optimal control problems ⋮ Phenomenological and ratio bifurcations of a class of discrete time stochastic processes ⋮ Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility ⋮ Nonlinear analysis of the cooperation of strategic alliances through stochastic catastrophe theory ⋮ A bifurcation theory for a class of discrete time Markovian stochastic systems ⋮ Application of the catastrophe theory in ascertainment of vertical bearing capacity of single pile ⋮ Can a stochastic cusp catastrophe model explain stock market crashes?

Uses Software

• R

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