scientific article; zbMATH DE number 939851
From MaRDI portal
Publication:4714065
Euler methodextrapolation methodLyapunov exponentsRunge-Kutta methodstochastic differential equationsstochastic dynamical systemsstochastic stabilityTaylor method
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical investigation of stability of solutions to ordinary differential equations (65L07) Lyapunov and other classical stabilities (Lagrange, Poisson, (L^p, l^p), etc.) in control theory (93D05) Stochastic systems in control theory (general) (93E03)
Recommendations
Cited in
(only showing first 100 items - show all)- Continuous-time and continuous-discrete-time unscented Rauch-Tung-Striebel smoothers
- Stochastic modeling of fatigue crack propagation
- Numerical solution of two-dimensional Fokker-Planck equations
- Step size control in the numerical solution of stochastic differential equations
- How sensitive is short-term Japanese interest rate volatility to the level of the interest rate?
- Alternative models for stock price dynamics.
- Empirical reverse engineering of the pricing kernel.
- Statistical analysis of the influence of conspecifics on the dispersal of a soil collembola.
- Numerical simulation of stochastic ordinary differential equations in biomathematical modelling.
- An exploratory data analysis (EDA) of the paths of moving animals.
- Convergence of a stochastic method for the modeling of polymeric fluids.
- Applying the EKF to stochastic differential equations with level effects
- On the stability properties of a stochastic model for phage-bacteria interaction in open marine environment
- A priori tests of a stochastic mode reduction strategy
- Linear estimation of continuous-discrete linear state space models with multiplicative noise
- Parameter estimation for a type of nonlinear stochastic models observed with error
- Stochastic discrete Hamiltonian variational integrators
- Global stability for a \({2 n + 1}\) dimensional HIV/AIDS epidemic model with treatments
- Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
- A stochastic multiple mapping conditioning computational model in openfoam for turbulent combustion
- Approximating explicitly the mean-reverting CEV process
- FOXTAIL: modeling the nonlinear interaction between Alfvén eigenmodes and energetic particles in tokamaks
- Barker's algorithm for Bayesian inference with intractable likelihoods
- Numerical methods for simulation of stochastic differential equations
- Tamed Euler-Maruyama approximation for stochastic differential equations with locally Hölder continuous diffusion coefficients
- Convergence of numerical solutions to stochastic differential equations with Markovian switching
- Statistical analysis of diffusion systems with invariants
- Numerical solution of stochastic linear heat conduction problem by using new algorithms
- Almost sure asymptotic stability of drift-implicit -methods for bilinear ordinary stochastic differential equations in R^1
- Stochastic modeling of fatigue crack damage for information-based maintenance
- 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
- On the simulation of iterated Itô integrals.
- On the global error of Itô--Taylor schemes for strong approximation of scalar stochastic differential equations
- Numerical integration of stochastic partial differential equations
- Stochastically perturbed vector-borne disease models with direct transmission
- Numerical solution for Fokker-Planck equations in accelerators
- Wavelets method for solving nonlinear stochastic Itô-Volterra integral equations
- On the Euler-Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients
- Perspectives on characteristics based curse-of-dimensionality-free numerical approaches for solving Hamilton-Jacobi equations
- Time-consistent portfolio optimization
- Numerical solution of stochastic Itô-Volterra integral equations based on Bernstein multi-scaling polynomials
- Sampling from non-smooth distributions through Langevin diffusion
- Time-dependent probability density function for general stochastic logistic population model with harvesting effort
- A family of fully implicit strong Itô-Taylor numerical methods for stochastic differential equations
- Compact finite difference method to numerically solving a stochastic fractional advection-diffusion equation
- Stochastic modelling and simulation of PTEN regulatory networks with miRNAs and ceRNAs
- Modeling of COVID-19 propagation with compartment models
- On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time
- Semi-implicit Euler-Maruyama scheme for polynomial diffusions on the unit ball
- Investigation of linear difference equations with random effects
- Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme
- A stochastic Hamiltonian formulation applied to dissipative particle dynamics
- An iterative shifted Chebyshev method for nonlinear stochastic Itô-Volterra integral equations
- Explicit order \( \frac{3}{2} \) Runge-Kutta method for numerical solutions of stochastic differential equations by using Itô-Taylor expansion
- The implementation of approximate coupling in two-dimensional SDEs with invertible diffusion terms
- Probability density function of SDEs with unbounded and path-dependent drift coefficient
- Chebyshev cardinal wavelets for nonlinear stochastic differential equations driven with variable-order fractional Brownian motion
- Central limit theorem for the multilevel Monte Carlo Euler method
- Randomness in a mathematical model for the transmission of respiratory syncytial virus (RSV)
- Exact solutions for a Wick-type stochastic reaction Duffing equation
- Positive role of multiplication noise in attaining complete synchronization on large complex networks of dynamical systems
- Parameter identification for a stochastic \textit{SEIRS} epidemic model: case study influenza
- An explicit positivity preserving numerical scheme for CIR/CEV type delay models with jump
- Semi-implicit Milstein approximation scheme for non-colliding particle systems
- The positive role of multiplicative noise in complete synchronization of unidirectionally coupled ring with three nodes
- The influence of time-dependent delay on behavior of stochastic population model with the Allee effect
- On the forward rate concept in multi-state life insurance
- Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient
- Estimation of the evolution of a random set
- Stability of numerical methods for ordinary stochastic differential equations along Lyapunov-type and other functions with variable step sizes
- Approximation for non-smooth functionals of stochastic differential equations with irregular drift
- Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients
- 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
- A derivative-free explicit method with order 1.0 for solving stochastic delay differential equations
- Free-knot spline approximation of stochastic processes
- Variable-stepsize Runge-Kutta methods for stochastic Schrödinger equations
- Exact simulation of diffusions
- A class of stochastic epidemic models and its deterministic counterpart
- Cancer self remission and tumor stability -- a stochastic approach
- Numerical solution of stochastic differential problems in the biosciences
- Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes.
- Retrospective exact simulation of diffusion sample paths with applications
- Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates
- Comparative analysis of particle filters for stochastic systems with continuous and discrete time
- An algorithmic introduction to numerical simulation of stochastic differential equations
- Shell model for time-correlated random advection of passive scalars.
- Theoretical analysis of multiplicative-noise-induced complete synchronization in global coupled dynamical network
- Analysis of non-autonomous stochastic Gompertz model with delay
- Auto-regressive moving average analysis of linear and discontinuous models of human balance during quiet standing
- Uncertain and stochastic financial models with multiple delays
- scientific article; zbMATH DE number 6692866 (Why is no real title available?)
- 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
- Quality control for structural credit risk models
- Numerical methods for strong solutions of stochastic differential equations: an overview
- Weak convergence of the Euler scheme for stochastic differential delay equations
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 Q4714065)
