scientific article

zbMath1216.60052MaRDI QIDQ3010640

Eckhard Platen, Peter E. Kloeden

Publication date: 27 June 2011

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Mathematics Subject Classification ID

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

Related Items (58)

The Bubnov-Galerkin method in control problems for bilinear systems ⋮ Importance sampling for Kolmogorov backward equations ⋮ From large deviations to semidistances of transport and mixing: coherence analysis for finite Lagrangian data ⋮ The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate ⋮ DYNAMIC INTERACTIONS BETWEEN PREY AND PREDATOR WITH COOPERATION AND ALLEE EFFECT: DETERMINISTIC AND STOCHASTIC APPROACH ⋮ Recursive marginal quantization of higher-order schemes ⋮ Parameter estimation in SDEs via the Fokker-Planck equation: likelihood function and adjoint based gradient computation ⋮ Fluid and diffusion approximations of probabilistic matching systems ⋮ On the approximations of solutions to stochastic differential equations under polynomial condition ⋮ Stochastic time series with strong, correlated measurement noise: Markov analysis in \(N\) dimensions ⋮ Information ratio test for model misspecification on parametric structures in stochastic diffusion models ⋮ Strong approximations of stochastic differential equations with jumps ⋮ Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model ⋮ Bounding Stationary Averages of Polynomial Diffusions via Semidefinite Programming ⋮ Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk ⋮ Stochastic modeling of bacterial population growth with antimicrobial resistance ⋮ A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations ⋮ Quantitative bounds for concentration-of-measure inequalities and empirical regression: the independent case ⋮ Hunting French ducks in a noisy environment ⋮ A probabilistic reduced basis method for parameter-dependent problems ⋮ Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations ⋮ A numerical method for solving \(m\)-dimensional stochastic itô-Volterra integral equations by stochastic operational matrix ⋮ An Efficient Finite Difference Method for Stochastic Linear Second-Order Boundary-Value Problems Driven by Additive White Noises ⋮ ON MODELLING WATER QUALITY WITH STOCHASTIC DIFFERENTIAL EQUATIONS ⋮ Early-warning signs for pattern-formation in stochastic partial differential equations ⋮ Fighting Enemies and Noise: Competition of Residents and Invaders in a Stochastically Fluctuating Environment ⋮ Estimating parameters in stochastic systems: A variational Bayesian approach ⋮ A discontinuous Galerkin method for systems of stochastic differential equations with applications to population biology, finance, and physics ⋮ A novel approach to construct numerical methods for stochastic differential equations ⋮ Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise ⋮ A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems ⋮ Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets ⋮ Mean square convergence of the numerical solution of random differential equations ⋮ A stochastic local discontinuous Galerkin method for stochastic two-point boundary-value problems driven by additive noises ⋮ Locally linearized methods for the simulation of stochastic oscillators driven by random forces ⋮ Cheap arbitrary high order methods for single integrand SDEs ⋮ Random Batch Algorithms for Quantum Monte Carlo Simulations ⋮ Numerical solution based on hat functions for solving nonlinear stochastic Itô Volterra integral equations driven by fractional Brownian motion ⋮ High-dimensional integration on \(\mathbb{R}^d\), weighted Hermite spaces, and orthogonal transforms ⋮ Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate Derivatives ⋮ Parameter identification and uncertainty quantification in stochastic state space models and its application to texture analysis ⋮ A mathematical framework for critical transitions: bifurcations, fast-slow systems and stochastic dynamics ⋮ Stochastic Differential Dynamic Logic for Stochastic Hybrid Programs ⋮ Path-Space Information Bounds for Uncertainty Quantification and Sensitivity Analysis of Stochastic Dynamics ⋮ Some derivative-free solvers for numerical solution of SODEs ⋮ A high-order discontinuous Galerkin method for Itô stochastic ordinary differential equations ⋮ Model reduction for stochastic systems ⋮ Sticky Brownian Motion and Its Numerical Solution ⋮ The discontinuous Galerkin method for stochastic differential equations driven by additive noises ⋮ Fast and Accurate Langevin Simulations of Stochastic Hodgkin-Huxley Dynamics ⋮ Estimating the State in Stiff Continuous-Time Stochastic Systems within Extended Kalman Filtering ⋮ Unnamed Item ⋮ Approximation of SDE solutions using local asymptotic expansions ⋮ Stochastic modification of Newtonian dynamics and induced potential—Application to spiral galaxies and the dark potential ⋮ A new parameterization for the drift-free simulation in the Libor market model ⋮ Nonintrusive Polynomial Chaos Expansions for Sensitivity Analysis in Stochastic Differential Equations ⋮ Spatiotemporal patterns in an excitable plankton system with lysogenic viral infection ⋮ A class of balanced stochastic Runge-Kutta methods for stiff SDE systems

This page was built for publication: