scientific article; zbMATH DE number 5257362

MaRDI QIDQ5453897zbMATH OpenFDO

Authors Omid Solaymani Fard

Publication date 3 April 2008

zbMATH Keywords

linearizationnonlinear stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Recommendations

• Local Lyapunov Functions for Nonlinear Stochastic Differential Equations by Linearization
• On the linearization of nonlinear Langevin-type stochastic differential equations
• Fundamental theory of nonlinear Itô stochastic differential equations under the local Lipschitz condition
• scientific article; zbMATH DE number 4109769
• scientific article; zbMATH DE number 2118857
• Estimation for nonlinear stochastic differential equations by a local linearization method¹
• Stochastic Differential Equations with Non-Lipschitz Coefficients in Hilbert Spaces
• Stochastic partial functional differential equations with locally monotone coefficients, locally Lipschitz non-linearity and delay
• Linear stochastic differential equations with boundary conditions

Cited in

(8)

• A semigroup approach to generalized Black-Scholes type equations in incomplete markets
• A novel approach to construct numerical methods for stochastic differential equations
• Fundamental theory of nonlinear Itô stochastic differential equations under the local Lipschitz condition
• The linear Steklov method for SDEs with non-globally Lipschitz coefficients: strong convergence and simulation
• Stochastic partial functional differential equations with locally monotone coefficients, locally Lipschitz non-linearity and delay
• Method for simulating non-linear stochastic differential equations in ℝ¹
• scientific article; zbMATH DE number 5983913 (Why is no real title available?)
• Convergence of the weighted format for non-linearity stochastic differential equation

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 Q5453897)