scientific article; zbMATH DE number 3383329

zbMATH Open0242.60003MaRDI QIDQ5653395FDOQ5653395

Iosif I. Gikhman, Anatolii V. Skorokhod

Publication date: 1972

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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)

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Asymptotic properties of absolutely continuous functions and strong laws of large numbers for renewal processes
On confidence intervals for distribution function and density of ergodic diffusion process
Large deviations for invariant measures of stochastic differential equations with jumps
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Convergence of the solution of the stochastic 3D globally modified Cahn-Hilliard-Navier-Stokes equations
Continuous and impulsive control of diffusion processes in N
Continuous approximations of stochastic evolutionary game dynamics
Locally periodic homogenization of reflected diffusion
Approximate solution for some stochastic differential equations involving both Gaussian and Poissonian white noises
The Malliavin calculus and stochastic delay equations
Stability of the instanton under small random perturbations
Optimal harvesting with both population and price dynamics
Stochastic Schrödinger equation from an interaction with the environment
On the invariant measure of a positive recurrent diffusion in \({\mathbb{R}}\)
Poisson formula and compound diffusion associated to an overdetermined elliptic system on the Siegel halfplane of rank two
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Stochastic bifurcation
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Théoremes d'existence et de régularité pour certaines équations quasi linéaires paraboliques et méthodes probabilistes constructives
Perturbed linear stochastic dynamical systems
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Statistical solutions for a stochastic Burgers equation
Rates of decay and growth of solutions to linear stochastic differential equations with state-independent perturbations
A functional limit theorem for waves reflected by a random medium
Singular perturbations in elliptic boundary value problems
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Expansions in nearly linear stochastic dynamical problems
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Risk-sensitive control for a class of diffusions with jumps
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Further applications of a general rate conservation law
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LP-stabilization problem for linear stochastic control systems with multiplicative noise
Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps
Asymptotics for theL^p-deviation of the variance estimator under diffusion
First passage time moments of jump-diffusions with Markovian switching
Rates of convergence and asymptotic normality of kernel estimators for ergodic diffusion processes
Uniform concentration inequality for ergodic diffusion processes
Parallel stochastic dynamic programming: Finite element methods
Simulation of diffusions with boundary conditions
The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate
Small noise asymptotics for invariant densities for a class of diffusions: a control theoretic view
Taylor approximation of stochastic functional differential equations with the Poisson jump
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An analytical-numerical method for fast evaluation of probability densities for transient solutions of nonlinear Itô's stochastic differential equations
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Diffusion occupation time before exiting
Probability bounds and asymptotic properties of error propagation
Stochastic processes and the evolution of quantum observables
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Optimal stationary linear control of the Wiener process
Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
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Approximation schemes for fuzzy stochastic integral equations
Efficient stochastic sensitivity analysis of discrete event systems

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