scientific article; zbMATH DE number 5207903

Publication date: 2 November 2007

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

stochastic differential equation Wiener process stochastic control Monte Carlo method stochastic simulations Poisson process jump-diffusion

Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

Related Items (74)

Isogeometric analysis in option pricing ⋮ Temporal network epidemiology ⋮ Mean-square convergence and stability of two-step Milstein methods for stochastic differential equations with Poisson jumps ⋮ Numerical solutions of regime-switching jump diffusions ⋮ Robust control design for nonlinear stochastic partial differential systems with Poisson noise: fuzzy implementation ⋮ Numerical schemes for random ODEs with affine noise ⋮ Probabilistic analysis of linear-quadratic logistic-type models with hybrid uncertainties via probability density functions ⋮ Nonparametric inference for diffusion processes in systems with smooth evolution ⋮ Stability analysis of the \(\theta\)-method for hybrid neutral stochastic functional differential equations with jumps ⋮ On calibration of stochastic and fractional stochastic volatility models ⋮ Compensated two-step Maruyama methods for stochastic differential equations with Poisson jumps ⋮ Parameter estimation in SDEs via the Fokker-Planck equation: likelihood function and adjoint based gradient computation ⋮ DRAWDOWN MEASURES AND RETURN MOMENTS ⋮ Finite-time \(H_2 / H_\infty\) control for linear Itô stochastic Markovian jump systems with Brownian motion and Poisson jumps ⋮ Stabilization of the stochastic jump diffusion systems by state-feedback control ⋮ Fractional Hawkes processes ⋮ Construction of positivity preserving numerical method for jump-diffusion option pricing models ⋮ An asymptotic method for quasi-integrable Hamiltonian system with multi-time-delayed feedback controls under combined Gaussian and Poisson white noises ⋮ \(W\)-symmetries of jump-diffusion Itô stochastic differential equations ⋮ A compensated numerical method for solving stochastic differential equations with variable delays and random jump magnitudes ⋮ Effects of population growth on the success of invading mutants ⋮ Classicalization by phase space measurements ⋮ Optimal investment-consumption and life insurance with capital constraints ⋮ A jump-diffusion model for pricing electricity under price-cap regulation ⋮ Derivatives pricing with market impact and limit order book ⋮ Statistical inference for the intensity in a partially observed jump diffusion ⋮ Using maximum cross section method for filtering jump-diffusion random processes ⋮ Sequential improvement method in probabilistic criteria optimization problems for linear-in-state jump diffusion systems ⋮ Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems ⋮ Jump locations of jump-diffusion processes with state-dependent rates ⋮ An optimal portfolio problem of DC pension with input-delay and jump-diffusion process ⋮ An Efficient Gradient Projection Method for Stochastic Optimal Control Problems ⋮ A defined benefit pension plan game with Brownian and Poisson jumps uncertainty ⋮ A Brownian-Markov stochastic model for cart-like wheeled mobile robots ⋮ Stochastic transmission in epidemiological models ⋮ Optimal harvesting for a logistic growth model with predation and a constant elasticity of variance ⋮ Finite-time \(H_2/ H_\infty\) control design for stochastic Poisson systems with applications to clothing hanging device ⋮ Optimal ensemble control of stochastic time-varying linear systems ⋮ Asymptotic stability of semi-Markov modulated jump diffusions ⋮ Stationary moments, diffusion limits, and extinction times for logistic growth with random catastrophes ⋮ \(H_\infty\) robust tracking control of stochastic T-S fuzzy systems with Poisson jumps ⋮ Finite-time \(H_2/H_\infty\) control for linear Itô stochastic systems with \((x,u,v)\)-dependent noise ⋮ Runge-Kutta methods for jump-diffusion differential equations ⋮ Stability analysis for stochastic hybrid systems: a survey ⋮ JUMP SYSTEMS WITH THE MEAN-REVERTING γ-PROCESS AND CONVERGENCE OF THE NUMERICAL APPROXIMATION ⋮ Trajectory composition of Poisson time changes and Markov counting systems ⋮ Enhanced feedback robustness against communication channel multiplicative uncertainties via scaled dithers ⋮ Responses of leaky integrate-and-fire neurons to a plurality of stimuli in their receptive fields ⋮ DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS ⋮ Optimal portfolio and consumption subject to multidimensional economic factors ⋮ Second-order moment-closure for tighter epidemic thresholds ⋮ Continuous finite-dimensional locally optimal filtering of jump diffusions ⋮ Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model ⋮ Numerical methods for a class of nonlocal diffusion problems with the use of backward SDEs ⋮ Stochastic averaging of quasi-integrable and non-resonant Hamiltonian systems under combined Gaussian and Poisson white noise excitations ⋮ Parameter estimation in time-triggered and event-triggered model-based control of uncertain systems ⋮ Distributed parameters deterministic model for treatment of brain tumors using Galerkin finite element method ⋮ Unnamed Item ⋮ Stochastic averaging of quasi-partially integrable Hamiltonian systems under combined Gaussian and Poisson white noise excitations ⋮ Inverse optimal control of stochastic systems driven by Lévy processes ⋮ Analyzing dynamic decision-making models using Chapman-Kolmogorov equations ⋮ Exact simulation problems for jump-diffusions ⋮ Stochastic stability of viscoelastic systems under Gaussian and Poisson white noise excitations ⋮ Multiobjective control for nonlinear stochastic Poisson jump-diffusion systems via T-S fuzzy interpolation and Pareto optimal scheme ⋮ A MARKOV-MODULATED DIFFUSION MODEL FOR ENERGY HARVESTING SENSOR NODES ⋮ Compensated \(\theta\)-Milstein methods for stochastic differential equations with Poisson jumps ⋮ Naive method to test the convergence of simulation and its applications in the computation of bankruptcy probability ⋮ Wind time series modeling and stochastic optimal control for a grid-connected permanent magnet wind turbine generator ⋮ \(\mathscr{H}_-\) index for Itô stochastic systems with Poisson jump ⋮ Mixed \(H_2/ H_\infty\) control for Itô-type stochastic time-delay systems with applications to clothing hanging device ⋮ Linear-quadratic stochastic leader-follower differential games for Markov jump-diffusion models ⋮ PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME ⋮ Realization Utility with Path-Dependent Reference Points ⋮ Stochastic stability of quasi-partially integrable and non-resonant Hamiltonian systems under parametric excitations of combined Gaussian and Poisson white noises

Uses Software

Mathematica

This page was built for publication: