scientific article; zbMATH DE number 3383329

Authors Iosif I. Gikhman, Anatolii V. Skorokhod

Publication date 1972

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited in

(only showing first 100 items - show all)

Localization and mode conversion for elastic waves in randomly layered media. II
Stabilization of Starobinsky–Vilenkin stochastic inflation by an environmental noise
An existence theorem of intertemporal recursive utility in the presence of Lévy jumps
Notes on the Feynman integral. II
Optimal launch conditions: An optimal stochastic control problem
Invariant ?-fields for a class of diffusions
A non random walk theory of exchange rate dynamics with applications to option pricing
Singular control problems in bounded intervals
Sur l'int�grabilit� uniforme des martingales exponentielles
On the First-Passage Time of a Diffusion Process Over a One-Sided Stochastic Boundary
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Noise and stability in differential delay equations
Analytical solutions of a class of multidimensional Fokker-Planck equations
Two-level method for a time-independent Fokker-Planck control problem
Coupled system of second-order stochastic differential inclusions driven by Lévy noise
On nonlinear Feynman-Kac formulas for viscosity solutions of semilinear parabolic partial differential equations
Geometric ergodicity for classes of homogeneous Markov chains
Bang-bang partially observable feedback strategies for a rendezvous problem†
Numerical convergence for the Bellman equation of stochastic optimal control with quadratic costs and constraints
On pathwise rate conservation for a class of semi-martingales
Robust M-estimators in diffusion processes
Favard separation method for almost periodic stochastic differential equations
Fractional geometric mean-reversion processes
Robust filtering for correlated multidimensional observations
Comparison principle and stability of Itô stochastic differential delay equations with Poisson jump and Markovian switching
Stochastic Functional Inclusion Driven by Semimartingale
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A multidimensional process involving local time
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Ergodic risk-sensitive control for regime-switching diffusions
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Further applications of a general rate conservation law
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Two-dimensional stochastic exponential growth models
The generalized Itô-Venttsel' formula in the case of a noncentered Poisson measure, a stochastic first integral, and a first integral
Asymptotic expansion for some local volatility models arising in finance
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Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps
Controllability of stochastic nonlinear oscillating delay systems driven by the Rosenblatt distribution
A note on the central limit theorem for the idleness process in a one‐sided reflected Ornstein–Uhlenbeck model
Stochastic Operators and Semigroups and Their Applications in Physics and Biology
On the long-time behaviour of a class of parabolic SPDE's: monotonicity methods and exchange of stability
Stochastic differential equations harvesting policies: Allee effects, logistic-like growth and profit optimization
On the behaviour of the solution of a stochastic equation with unbounded drift
Nonparametric Bayesian posterior contraction rates for scalar diffusions with high-frequency data
First passage time moments of jump-diffusions with Markovian switching
Asymptotics for theL^p-deviation of the variance estimator under diffusion
Response of a canonical ensemble of quantum oscillators to a random metric
Existence and uniqueness theorems for solutions of McKean-Vlasov stochastic equations
Nonparametric Sequential Minimax Estimation of the Drift Coefficient in Diffusion Processes
Convergence and stability of the compensated split-step \(\theta\)-method for stochastic differential equations with jumps
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An extension of the mixed Novikov-Kazamaki condition
Asymptotic behavior of M-estimator and related random field for diffusion process
Simulated annealing type algorithms for multivariate optimization
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Uniform concentration inequality for ergodic diffusion processes
Rate of decay for solutions of stochastic differential equations
Well-posedness, stability and sensitivities for stochastic delay equations: a generalized coupling approach
Explosion and asymptotic behavior of nonlinear Itô type stochastic integrodifferential equations
On Volterra equations driven by semimartingales
Ergodic control of diffusions with compound Poisson jumps under a general structural hypothesis
APPROXIMATION OF MAXIMUM LIKELIHOOD ESTIMATOR FOR DIFFUSION PROCESSES FROM DISCRETE OBSERVATIONS
Rates of convergence and asymptotic normality of kernel estimators for ergodic diffusion processes
Statistical analysis of diffusion systems with invariants
Parallel stochastic dynamic programming: Finite element methods
Asymptotic expansion of the transition density of the semigroup associated to a SDE driven by Lévy noise
Différentiabilité stochastique des fonctions finement harmoniques
Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
Strong approximations and sequential change-point analysis for diffusion processes
Relative controllability of a stochastic system using fractional delayed sine and cosine matrices
Weak convergence of random growth processes with applications to insurance
On confidence intervals for distribution function and density of ergodic diffusion process
Asymptotic expansion for forward-backward SDEs with jumps
Dirichlet forms and diffusion processes on rigged Hilbert spaces
Asymptotic properties of absolutely continuous functions and strong laws of large numbers for renewal processes
Persistence in stochastic food web models
Invariant distributions for multi-population models in random environments
Stochastic analysis and conservation laws
The Holling type II population model subjected to rapid random attacks of predator
On a Diffusion Approximation of a Prediction Game
Reduced-order observer-based control design for nonlinear stochastic systems
On a new set-valued stochastic integral with respect to semimartingales and its applications
A two-sided stochastic integral and its calculus
Simulation of diffusions with boundary conditions
Stochastic analysis method for hopf's equation u_t+ uu_x=0
Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models
Itô's theory of excursion point processes and its developments
Computation of sensitivities for the invariant measure of a parameter dependent diffusion
Large deviations for invariant measures of stochastic differential equations with jumps
Martingales and arbitrage in multiperiod securities markets
Approximation of stochastic equations driven by predictable processes

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