Stochastic differential equations with random delays in the form of discrete Markov chains

DOI10.20537/VM150407zbMath1366.65004OpenAlexW2504126234MaRDI QIDQ5266458

Igor E. Poloskov

Publication date: 6 June 2017

Published in: Vestnik Udmurtskogo Universiteta. Matematika. Mekhanika. Komp'yuternye Nauki (Search for Journal in Brave)

Full work available at URL: http://mathnet.ru/eng/vuu504

zbMATH Keywords

numerical examplemodelingMonte Carlostochastic differential equationsrandom delaystochastic dynamic systemstate vectordiscrete Markov chaintransition process

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Numerical and analytical methods of study of stochastic systems with delay

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