scientific article; zbMATH DE number 939851
From MaRDI portal
Publication:4714065
zbMath0858.65148MaRDI QIDQ4714065
Eckhard Platen, Peter E. Kloeden
Publication date: 4 December 1996
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
stochastic differential equationsLyapunov exponentsextrapolation methodRunge-Kutta methodstochastic stabilityEuler methodTaylor methodstochastic dynamical systems
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Lyapunov and other classical stabilities (Lagrange, Poisson, (L^p, l^p), etc.) in control theory (93D05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stochastic systems in control theory (general) (93E03) Numerical investigation of stability of solutions to ordinary differential equations (65L07) Probabilistic methods, stochastic differential equations (65C99)
Related Items (only showing first 100 items - show all)
An energy-consistency-preserving large eddy simulation-scalar filtered mass density function (LES-SFMDF) method for high-speed flows ⋮ HIGHER-ORDER RUNGE-KUTTA METHOD FOR ITÔ STOCHASTIC DIFFERENTIAL EQUATIONS WITH A NON-DEGENERATE DIFFUSION MATRIX ⋮ The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps ⋮ Preconditined semilinear stochastic singular and hypersingular integral equations ⋮ A modification of numerical methods for stochastic differential equations with the first integral ⋮ A Delayed Black and Scholes Formula ⋮ TOXIN-ALLELOPATHY AMONG PHYTOPLANKTON SPECIES PREVENTS COMPETITIVE EXCLUSION ⋮ Approximations for Solutions of Lévy-Type Stochastic Differential Equations ⋮ Local linearization filters for non-linear continuous-discrete state space models with multiplicative noise ⋮ STOCHASTIC MODELING WITH MONTE CARLO OF OBESITY POPULATION ⋮ Parametric Estimation and the CIR Model ⋮ Retrospective exact simulation of diffusion sample paths with applications ⋮ Unnamed Item ⋮ General Full Implicit Strong Taylor Approximations for Stiff Stochastic Differential Equations ⋮ Stability of stochastic model for Hepatitis C transmission with an isolation stage ⋮ Approximation for non-smooth functionals of stochastic differential equations with irregular drift ⋮ Unnamed Item ⋮ Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients ⋮ Enhancing the Order of the Milstein Scheme for Stochastic Partial Differential Equations with Commutative Noise ⋮ Strong Convergence Order for the Scheme of Fractional Diffusion Equation Driven by Fractional Gaussian Noise ⋮ Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates ⋮ A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case ⋮ Stochastic soliton solutions of conformable nonlinear stochastic systems processed with multiplicative noise ⋮ Impacts of Brownian motion and fractional derivative on the solutions of the stochastic fractional Davey-Stewartson equations ⋮ Le Cam-Stratonovich-Boole theory for Itô diffusions ⋮ TWO-STEP ORDER STRONG METHOD FOR APPROXIMATING STOCHASTIC DIFFERENTIAL EQUATIONS ⋮ On the solution of random linear difference equations with Laplace transform method ⋮ Balanced implicit methods with strong order 1.5 for solving stochastic differential equations ⋮ Lagrangian model for passive scalar gradients in turbulence ⋮ Estimation of anthracnose dynamics by nonlinear filtering ⋮ Simultaneous Hollowization, Joint Numerical Range, and Stabilization by Noise ⋮ Stochastic analysis of prey-predator model with stage structure for prey ⋮ A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag ⋮ Diffusive transport in Stokeslet flow and its application to plankton ecology ⋮ Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes ⋮ Comparative analysis of particle filters for stochastic systems with continuous and discrete time ⋮ A Stochastic Optimal Control Model for BCG Immunotherapy in Superficial Bladder Cancer ⋮ SUBSPACE METHOD FOR ANALYZING LARGE-SCALE NONLINEAR STOCHASTIC DYNAMIC SYSTEMS WITH POLYNOMIAL TYPE OF NONLINEARITES ⋮ Probabilistic Analysis of Random Structural Intensity for Structural Members under Stochastic Loadings ⋮ KMT Theory Applied to Approximations of SDE ⋮ Stochastic consistency and stochastic stability in mean square sense for Cauchy advection problem ⋮ On the Euler–Maruyama Scheme for Degenerate Stochastic Differential Equations with Non-sticky Condition ⋮ Unnamed Item ⋮ Unnamed Item ⋮ A derivative-free explicit method with order 1.0 for solving stochastic delay differential equations ⋮ Portfolio optimization with unobservable Markov-modulated drift process ⋮ A Stage-Structured Stochastic Model of Sterile Male Under Immigration ⋮ Free-knot spline approximation of stochastic processes ⋮ SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations ⋮ Variable-stepsize Runge-Kutta methods for stochastic Schrödinger equations ⋮ NONLINEAR DYNAMICAL SYSTEM IDENTIFICATION FROM UNCERTAIN AND INDIRECT MEASUREMENTS ⋮ Weak approximation of stochastic differential delay equations for bounded measurable function ⋮ The effect of changing the Coriolis force gradient parameter on the escape probability and mean residence time ⋮ The Euler scheme for Hilbert space valued stochastic differential equations ⋮ Unnamed Item ⋮ The optimal discretization of stochastic differential equations ⋮ Shell model for time-correlated random advection of passive scalars ⋮ Exact simulation of diffusions ⋮ Theoretical analysis of multiplicative-noise-induced complete synchronization in global coupled dynamical network ⋮ Euler scheme for solutions of a countable system of stochastic differential equations ⋮ Unnamed Item ⋮ Runge-Kutta methods: Some historical notes ⋮ A class of stochastic epidemic models and its deterministic counterpart ⋮ Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC ⋮ THE IMPLEMENTATION OF MILSTEIN SCHEME IN TWO-DIMENSIONAL SDES USING NON-DEGENERACY FOR THE DIFFUSION TERM ⋮ Weak Local Linear Discretizations for Stochastic Differential Equations with Jumps ⋮ Dynamics of cholera epidemic models in fluctuating environments ⋮ Adaptive complete synchronization of chaotic dynamical network with unknown and mismatched parameters ⋮ Auto-regressive moving average analysis of linear and discontinuous models of human balance during quiet standing ⋮ Weak Convergence of the Euler Scheme for Stochastic Differential Delay Equations ⋮ Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion) ⋮ UNCERTAIN AND STOCHASTIC FINANCIAL MODELS WITH MULTIPLE DELAYS ⋮ A Generalized Rayleigh--Plesset Equation for Ions with Solvent Fluctuations ⋮ Cancer self remission and tumor stability -- a stochastic approach ⋮ Numerical solution of stochastic differential problems in the biosciences ⋮ The Order 1.5 Approximation for Solutions of Jump-Diffusion Equations ⋮ The effect of noise on the complete synchronization of two bidirectionally coupled piecewise linear chaotic systems ⋮ Issues in the Software Implementation of Stochastic Numerical Runge–Kutta ⋮ Unnamed Item ⋮ Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes. ⋮ An algorithm for probabilistic solution of parabolic PDEs ⋮ Regression Properties for Asymmetric Generalized Scale Mixtures of Multivariate Gaussian Variables ⋮ An Approximate Innovation Method For The Estimation Of Diffusion Processes From Discrete Data ⋮ On stability of stochastic delay model for tumor-immune interaction ⋮ Unnamed Item ⋮ The optimal uniform approximation of systems of stochastic differential equations ⋮ Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions ⋮ A priori tests of a stochastic mode reduction strategy ⋮ Linear estimation of continuous-discrete linear state space models with multiplicative noise ⋮ Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient ⋮ Estimation of the evolution of a random set ⋮ Investigation of linear difference equations with random effects ⋮ Analysis of non-autonomous stochastic Gompertz model with delay ⋮ On the simulation of iterated Itô integrals. ⋮ Parameter estimation for a type of nonlinear stochastic models observed with error ⋮ Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme ⋮ Stochastic discrete Hamiltonian variational integrators ⋮ Quality control for structural credit risk models ⋮ On the global error of Itô--Taylor schemes for strong approximation of scalar stochastic differential equations ⋮ A stochastic Hamiltonian formulation applied to dissipative particle dynamics
This page was built for publication:
