scientific article; zbMATH DE number 3272009
From MaRDI portal
Publication:5556832
zbMath0169.48702MaRDI QIDQ5556832
Iosif I. Gikhman, Anatoli V. Skorokhod
Publication date: 1968
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic processes (60Gxx)
Related Items
Optimal contingent claims. ⋮ Stability of invariant measure of a stochastic differential equation describing molecular rotation ⋮ Jaynes approach to the dynamics of Darwin systems ⋮ Law of the iterated logarithm for solutions of stochastic equations ⋮ On the separation method in stochastic reconstruction problem ⋮ The stability with general decay rate of hybrid stochastic fractional differential equations driven by Lévy noise with impulsive effects ⋮ Stability of solutions of dynamic systems with randomly structured aftereffect ⋮ Convergence of recursive procedures with a random response time ⋮ Quasilinear, parabolic, integro-differential problems with nonlinear oblique boundary conditions ⋮ Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling ⋮ Mixed product of stochastic semigroups generated by Wiener processes ⋮ Compensated two-step Maruyama methods for stochastic differential equations with Poisson jumps ⋮ Unnamed Item ⋮ Accurate stabilization for linear stochastic systems based on region pole assignment and its applications ⋮ Unnamed Item ⋮ Stability in probability of nonlinear stochastic systems with delay ⋮ Strong Markov approximation of Lévy processes and their generalizations in a scheme of series ⋮ Diffusion approximation of systems with weakly ergodic Markov perturbations. I ⋮ Functional law of the iterated logarithm type for a skew Brownian motion ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Feynman integral and complex classical trajectories ⋮ Moment characteristic method in the optimal control theory of diffusion-type stochastic systems ⋮ A method for the calculation of characteristics for the solution to stochastic differential equations ⋮ Stabilization by using artificial delays: an LMI approach ⋮ Asymptotic behavior of the martingale type integral functionals for unstable solutions to stochastic differential equations ⋮ Large deviations for solutions of one dimensional Itô equations ⋮ Asymptotic behavior of integral functionals of unstable solutions of one-dimensional Itô stochastic differential equations ⋮ Nonlinear oscillations in dynamical systems subjected to random actions with rational spectral densities ⋮ Multi-condition of stability for nonlinear stochastic non-autonomous delay differential equation ⋮ Stochastic noise reduction upon complexification: positively correlated birth-death type systems ⋮ Local time at zero for Arratia flow ⋮ Stability of neutral stochastic delayed systems with switching and distributed-delay dependent impulses ⋮ Well-posedness and EM approximations for non-Lipschitz stochastic fractional integro-differential equations ⋮ A “direct” method to prove the generalized Itô–Venttsel’ formula for a generalized stochastic differential equation ⋮ Nonattainability of a Set by a Diffusion Process ⋮ A limit theorem for regime-switching diffusion processes ⋮ On a sufficient condition for a diffusion process will never reach boundaries of some interval ⋮ The Cauchy problem for a stochastic parabolic equation with an argument deviation ⋮ On unattainable boundary of a diffusion process range: semi-Markov approach ⋮ A comprehensive probabilistic solution of random SIS-type epidemiological models using the random variable transformation technique ⋮ A convergent family of diffusion processes whose diffusion coefficients diverge ⋮ The stability with general decay rate of neutral stochastic functional hybrid differential equations with Lévy noise ⋮ A stochastic differential equation code for multidimensional Fokker-Planck type problems ⋮ ON INVERSE PROBLEM OF CLOSURE OF DIFFERENTIAL SYSTEMS WITH DEGENERATE DIFFUSION ⋮ Asymptotic equivalence of solutions of nonlinear It ô stochastic systems ⋮ Itô and Stratonovich stochastic partial differential equations: Transition from microscopic to macroscopic equations ⋮ Asymptotic behavior of solutions of pulse systems with small parameter and Markov switchings. I: Uniform boundedness of solutions ⋮ Contraction of stochastic differential equations ⋮ Estimation of parameters of linear homogeneous stochastic differential equations ⋮ Diffusion processes with delay at the endpoints of a segment ⋮ Mean-square dissipativity of several numerical methods for stochastic differential equations with jumps ⋮ On Markov diffusion processes with delayed reflection from boundaries of a segment ⋮ Global asymptotic properties of a stochastic model of population growth ⋮ The optimal control of the consumer fund with the functions of the insurance company under assumption of the work on the financial market with the advertising strategy ⋮ MEAN-SQUARE STABILITY OF NONLINEAR SYSTEMS WITH TIME-VARYING, RANDOM DELAY ⋮ Reflecting Brownian motion in the \(d\)-ball ⋮ A method to find a stabilizing control for an accumulation fund with functions of an insurance company ⋮ Stability in impulsive systems with Markov perturbations in averaging scheme. I: Averaging principle for impulsive Markov systems ⋮ On the stability of two-dimensional linear stochastic systems ⋮ Unnamed Item ⋮ Asymptotic analysis of mathematical expectation of the total energy of a harmonic oscillator perturbed by the ``shot-noise-type process ⋮ Behavior of solution of stochastic delay differential equation with additive fading perturbations ⋮ Unnamed Item ⋮ Asymptotic theory of noncentered mixing stochastic differential equations ⋮ Numerical methods for nonlinear stochastic differential equations with jumps ⋮ Convergence of solutions and their exit times in diffusion models with jumps ⋮ Asymptotic analysis of transport processes ⋮ Reliability of difference analogues to preserve stability properties of stochastic Volterra integro-differential equations ⋮ Stochastically bounded solutions of a nonlinear stochastic differential equation ⋮ Solving parabolic stochastic partial differential equations via averaging over characteristics ⋮ A novel stochastic locally transversal linearization (LTL) technique for engineering dynamical systems: strong solutions ⋮ Stability analysis of stochastic dynamic systems under Poisson perturbations. I: General analysis of stability of solutions of stochastic differential equations under Poisson perturbations ⋮ 40 years of the direct matrix-valued Lyapunov function method (review) ⋮ Investment strategies and compensation of a mean-variance optimizing fund manager ⋮ Modified Euler scheme for the weak approximation of stochastic differential equations driven by the Wiener process ⋮ Limit behavior of functionals of solutions of diffusion type equations ⋮ Stabilization of stochastic complex networks with delays based on completely aperiodically intermittent control ⋮ Stochastic differential games ⋮ Upper and lower values of differential games ⋮ Averaging in stochastic systems ⋮ On the stability of the trivial solution of stochastic linear systems ⋮ Sequential estimation of the parameters of diffusion processes ⋮ On a Formula in Diffusion Processes in Population Genetics ⋮ Properties of solutions of stochastic differential equations with random coefficients, non-Lipschitzian diffusion, and Poisson measures ⋮ The one-dimensional diffusion process and unitary representations of \(R^ 1\). ⋮ Large deviation principle for dynamical systems coupled with diffusion-transmutation processes ⋮ Asymptotic Behavior of Solutions of Linear Stochastic Differential Systems ⋮ Khasminskii-type theorem for a class of stochastic functional differential equations ⋮ Unnamed Item ⋮ Multiplicative stochastic integrals with operator coefficients ⋮ On Differentiation of Functionals Containing the First Exit of a Diffusion Process from a Domain ⋮ Strong Solutions of Stochastic Differential Equations with Boundary Conditions ⋮ On Trotter-Kato approximations of semilinear stochastic evolution equations in infinite dimensions ⋮ New criteria for mean square exponential stability of stochastic delay differential equations ⋮ Numerical solution of stochastic differential equations in the sense of Stratonovich in an amorphization crystal lattice model ⋮ Mathematical models of extreme modes in ecological systems ⋮ Upper bounds for large deviation probabilities for the MLE and BE of a parameter for some stochastic partial differential equations ⋮ Asymptotic stability and spiraling properties for solutions of stochastic equations ⋮ Extinction in stochastic predator-prey population model with Allee effect on prey ⋮ Trotter–Kato approximations of semilinear stochastic evolution equations in Hilbert spaces ⋮ Stability of equilibria of exponential type system of three differential equations under stochastic perturbations ⋮ Large deviation principles for stochastic volatility models with reflection ⋮ Delay tolerance for stable hybrid stochastic differential equations with Lévy noise based on Razumikhin technique ⋮ On a stochastic generalized delayed SIR model with vaccination and treatment ⋮ PECULIARITIES OF THE DYNAMICS OF A BROWNIAN PARTICLE WITH RANDOM DISTURBANCES ORTHOGONAL TO ITS SPEED ⋮ STOCHASTIZATION OF CLASSICAL MODELS WITH DYNAMICAL INVARIANTS ⋮ Stochastic equations with discontinuous jump functions ⋮ Nonlinear parabolic equations and probability ⋮ Unnamed Item ⋮ Stability estimates of linear stochastic systems ⋮ The averaging principle for stochastic difference equations ⋮ The averaging principle for stochastic difference equations ⋮ Nonlinear Frisch equations ⋮ Some remarks on linearization methods in the theory of nonlinear oscillations ⋮ Limit Behavior of Solutions of Stochastic Differential Equations ⋮ On efficient estimation of invariant density for ergodic diffusion processes ⋮ Small random perturbations in second-order oscillatory systems ⋮ Study of a stochastic model of the ``dangling spider problem with an infinite previous history and Poisson switchings ⋮ Investigation of a one-channel queueing system with an unlimited queue and the Markovian anticipatory switching ⋮ Optimal control of continuous-time linear systems with a time-varying, random delay ⋮ Stability in the mean square of systems of linear stochastic equations with Markov coefficients ⋮ On the stochastic stability and boundedness of solutions for stochastic delay differential equation of the second order ⋮ Numerical methods for nonlinear stochastic delay differential equations with jumps ⋮ On a Brownian motion with a hard membrane ⋮ Robust control design for nonlinear stochastic partial differential systems with Poisson noise: fuzzy implementation ⋮ Stability estimates for linear stochastic systems with deviating argument of neutral type ⋮ Investigation of the Cauchy problem for stochastic partial differential equations ⋮ Stochastic differential equation in a random environment ⋮ Existence and uniqueness of invariant measures for stochastic reaction-diffusion equations in unbounded domains ⋮ Analysis of stability of stochastic dynamic systems under Poisson perturbations. II: Stability of solutions in quadratic mean of systems of linear stochastic differential equations under Poisson perturbations ⋮ Delay-induced stability of vector second-order systems via simple Lyapunov functionals ⋮ Asymptotic behavior of homogeneous additive functionals of the solutions of Itô stochastic differential equations with nonregular dependence on parameter ⋮ Properties of the Emden-Fowler equation under stochastic disturbances that depend on parameters ⋮ Stability with probability 1 of systems of linear stochastic differential equations ⋮ Kolmogorov equation for solutions of Cauchy problems for a class of linear evolution equations ⋮ Asymptotic methods in the theory of nonlinear stochastic oscillations ⋮ A famous nonlinear stochastic equation (Lotka-Volterra model with diffusion) ⋮ Further results on existence-uniqueness for stochastic functional differential equations ⋮ Interaction of random forces on gyroscopic systems ⋮ Existence and uniqueness of solutions for a class of nonlinear stochastic differential equations ⋮ Principles of minimum in problems of optimal control of random processes ⋮ Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems ⋮ Inequalities for the moments of stochastic integrals and stochastic Volterra equations driven a two-parameter Wiener process ⋮ On the approximate synthesis of the optimal control of stochastic quasilinear systems with aftereffect ⋮ Asymptotic behavior of functionals of the solutions to inhomogeneous Itô stochastic differential equations with nonregular dependence on parameter ⋮ On perturbations of an ODE with non-Lipschitz coefficients by a small self-similar noise ⋮ A change of variables formula ⋮ On solutions of stochastic differential equations with parameters modeled by random sets ⋮ Optimal control of a dynamic system with random parameters under incomplete information ⋮ Asymptotic inference for stochastic processes ⋮ Optimal controls that maximize the probability of hitting a moving target ⋮ Repeated stochastic tree problems ⋮ A mixed problem for a stochastic differential equation of parabolic type ⋮ Convergence analysis of semi-implicit Euler methods for solving stochastic equations with variable delays and random jump magnitudes ⋮ On the 3-D stochastic magnetohydrodynamic-\(\alpha\) model ⋮ On control of time for reaching a domain by random motion ⋮ Preservation of the Markov property under delayed reflection ⋮ An irregularly portioned Lagrangian Monte Carlo method for turbulent flow simulation ⋮ On the optimal stabilization of an integral manifold ⋮ Green's function and invariant density for an integro-differential operator of second order ⋮ Local \(M\)-estimation for jump-diffusion processes ⋮ The finiteness of moments of a stochastic exponential. ⋮ Some problems for Clark's model. I. Estimating the non-ruin probability for an insurance company ⋮ Bellman's equation in a lattice of measures for general controlled stochastic processes. I ⋮ Stability of stochastic dynamic random-structure systems with aftereffect and Markov switchings ⋮ Some problems for Clark's model. II. A solution for Merton's portfolio problem ⋮ On the convergence rate in one limit theorem for branching processes with immigration ⋮ Integration with respect to initial data, the Poincaré integral invariant, and Hamilton's equations for diffusion processes ⋮ On the convergence of stochastic approximation procedures under Markov noise in the measurements ⋮ Filtered density function simulator on unstructured meshes ⋮ About stability of delay differential equations with square integrable level of stochastic perturbations ⋮ Simple LMIs for stability of stochastic systems with delay term given by Stieltjes integral or with stabilizing delay ⋮ Limit theorem for countable systems of stochastic differential equations ⋮ Stability of a stochastic discrete mutualism system ⋮ Explicit criteria for mean square exponential stability of stochastic differential equations ⋮ Weak forms of the locally transversal linearization (LTL) technique for stochastically driven nonlinear oscillators ⋮ Homogenization of hyperbolic damped stochastic wave equations ⋮ Stability of linear stochastic delay under steady perturbations ⋮ Asymptotic stability of linear stochastic differential equations of neutral type ⋮ On the Skorokhod mapping for equations with reflection and possible jump-like exit from a boundary ⋮ Optimal combination of control and observation ⋮ Long-time behaviour of nonautonomous SPDE's. ⋮ The averaging method for a class of stochastic differential equations ⋮ Fundamental solutions for degenerate parabolic equations ⋮ Estimates of exponential stability for solutions of stochastic control systems with delay ⋮ Compensated stochastic theta methods for stochastic differential equations with jumps ⋮ Bounds of solutions of Cauchy's problem for second-order parabolic equations independent of dimension ⋮ Ergodicity of infinite systems of stochastic equations ⋮ Solution of the problem of stochastic stability of an integral manifold by the second Lyapunov method ⋮ Stability of a linear oscillating system parametrically excited by a random process of a given class ⋮ A diffusion-approximation analysis of a general n-compartment system ⋮ Stochastic processes in a finite space interval ⋮ Approximations for functionals and optimal control problems on jump diffusion processes ⋮ Stochastic pursuit-evasion games ⋮ Stability in first approximation of stochastic systems with aftereffect ⋮ Weak Markov solutions of stochastic equations ⋮ Existence of the \(l\)-th moment of a solution to a stochastic functional-differential equation with the entire prehistory ⋮ Averaging for a class of stochastic differential equations ⋮ Stability of solutions of linear stochastic differential-difference equations with broken trajectories ⋮ Inventory models with Markovian demands and cost functions of polynomial growth ⋮ Computer simulations of multiplicative stochastic differential equations ⋮ Boundedness of the moments of the solutions of stochastic equations with aftereffect ⋮ Averaging of stochastic systems of integral-differential equations with Poisson noise ⋮ A. V. Skorokhod's investigations in the area of limit theorems for random processes and the theory of stochastic differential equations ⋮ Limit theorems for transient diffusions on the line ⋮ Behavior of the trajectories of the solution of a stochastic differential equation ⋮ The Cauchy problem for a parabolic equation with coefficients of ``white noise type ⋮ Quasi-integrals and stochastic integration along sample paths ⋮ Optimal impulse control problems for degenerate diffusions with jumps ⋮ Mixing ``in the sense of Ibragimov. Estimate for the rate of approach of a family of integral functionals of a solution of a differential equation with periodic coefficients to a family of Wiener processes. Some applications. II ⋮ Estimation of the solutions of linear stochastic integral equations ⋮ Numerical analysis of noise-induced regular oscillations ⋮ Stability of solutions of stochastic functional-differential equations with Poisson switchings and entire prehistory ⋮ One-sided convergence of continuous processes of stochastic approximation ⋮ Generalized dynamic model of a system moving in an external field with stochastic components ⋮ Inverse diffusion and direct derivation of stochastic Liouville equations ⋮ The averaging method in strongly nonlinear stochastic systems ⋮ Stochastic control theory and operational research ⋮ Homogeneous point transformation and reparametrization of paths in path integrals for fourth-order differential equations ⋮ Fibering method in some probabilistic problems ⋮ Explicit expression for the transition density of the solution of a stochastic diffusion equation with piecewise-constant drift coefficient