scientific article; zbMATH DE number 5913352

zbMATH Open1216.60052MaRDI QIDQ3010640FDOQ3010640

Authors: Eckhard Platen, Peter E. Kloeden 

Publication date: 27 June 2011

Title of this publication is not available (Why is that?)

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (60)

• The discontinuous Galerkin method for stochastic differential equations driven by additive noises
• Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise
• Hunting French ducks in a noisy environment
• The Bubnov-Galerkin method in control problems for bilinear systems
• Estimating the state in stiff continuous-time stochastic systems within extended Kalman filtering
• A novel approach to construct numerical methods for stochastic differential equations
• Model reduction for stochastic systems
• Numerical solution based on hat functions for solving nonlinear stochastic Itô Volterra integral equations driven by fractional Brownian motion
• A new parameterization for the drift-free simulation in the Libor market model
• Strong approximations of stochastic differential equations with jumps
• Importance sampling for Kolmogorov backward equations
• Spatiotemporal patterns in an excitable plankton system with lysogenic viral infection
• Stochastic differential dynamic logic for stochastic hybrid programs
• Information ratio test for model misspecification on parametric structures in stochastic diffusion models
• A stochastic local discontinuous Galerkin method for stochastic two-point boundary-value problems driven by additive noises
• A micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations
• The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate
• From large deviations to semidistances of transport and mixing: coherence analysis for finite Lagrangian data
• Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations
• Sticky Brownian Motion and Its Numerical Solution
• Some derivative-free solvers for numerical solution of SODEs
• Stochastic modification of Newtonian dynamics and induced potential—Application to spiral galaxies and the dark potential
• Path-space information bounds for uncertainty quantification and sensitivity analysis of stochastic dynamics
• Parameter estimation in SDEs via the Fokker-Planck equation: likelihood function and adjoint based gradient computation
• On the approximations of solutions to stochastic differential equations under polynomial condition
• Fighting enemies and noise: competition of residents and invaders in a stochastically fluctuating environment
• Recursive marginal quantization of higher-order schemes
• Fluid and diffusion approximations of probabilistic matching systems
• Nonintrusive polynomial chaos expansions for sensitivity analysis in stochastic differential equations
• Parameter identification and uncertainty quantification in stochastic state space models and its application to texture analysis
• Bounding stationary averages of polynomial diffusions via semidefinite programming
• A high-order discontinuous Galerkin method for Itô stochastic ordinary differential equations
• Title not available (Why is that?)
• A numerical method for solving \(m\)-dimensional stochastic itô-Volterra integral equations by stochastic operational matrix
• Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets
• A discontinuous Galerkin method for systems of stochastic differential equations with applications to population biology, finance, and physics
• High-dimensional integration on \(\mathbb{R}^d\), weighted Hermite spaces, and orthogonal transforms
• A mathematical framework for critical transitions: bifurcations, fast-slow systems and stochastic dynamics
• A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems
• A finite difference method for stochastic nonlinear second-order boundary-value problems driven by additive noisese
• Stochastic modeling of bacterial population growth with antimicrobial resistance
• Early-warning signs for pattern-formation in stochastic partial differential equations
• Mean square convergence of the numerical solution of random differential equations
• Weak convergence of path-dependent SDEs in basket credit default swap pricing with contagion risk
• Estimating parameters in stochastic systems: A variational Bayesian approach
• Weak convergence rate of a time-discrete scheme for the Heston stochastic volatility model
• A class of balanced stochastic Runge-Kutta methods for stiff SDE systems
• Fast and Accurate Langevin Simulations of Stochastic Hodgkin-Huxley Dynamics
• Cheap arbitrary high order methods for single integrand SDEs
• Locally linearized methods for the simulation of stochastic oscillators driven by random forces
• Stochastic time series with strong, correlated measurement noise: Markov analysis in \(N\) dimensions
• Random batch algorithms for quantum Monte Carlo simulations
• Quantitative bounds for concentration-of-measure inequalities and empirical regression: the independent case
• Approximation of SDE solutions using local asymptotic expansions
• Multilevel Monte Carlo method for path-dependent barrier interest rate derivatives
• An Efficient Finite Difference Method for Stochastic Linear Second-Order Boundary-Value Problems Driven by Additive White Noises
• Title not available (Why is that?)
• ON MODELLING WATER QUALITY WITH STOCHASTIC DIFFERENTIAL EQUATIONS
• DYNAMIC INTERACTIONS BETWEEN PREY AND PREDATOR WITH COOPERATION AND ALLEE EFFECT: DETERMINISTIC AND STOCHASTIC APPROACH
• A probabilistic reduced basis method for parameter-dependent problems

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3010640)