scientific article; zbMATH DE number 3383329

zbMATH Open0242.60003MaRDI QIDQ5653395FDOQ5653395

Authors: 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)

On the existence and unicity of solutions of stochastic integral equations
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
Fractional geometric mean-reversion processes
Ergodic risk-sensitive control for regime-switching diffusions
Risk-sensitive control for a class of diffusions with jumps
The interspike interval of a cable model neuron with white noise input
Further applications of a general rate conservation law
Optimal replacement policy with stochastic maintenance and operation costs
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
Parametric estimation for non recurrent diffusion processes
An analytical-numerical method for fast evaluation of probability densities for transient solutions of nonlinear Itô's stochastic differential equations
The limiting behaviour of Solow's model with uncertainty when the variance goes to zero
Diffusion models for the dispersal of insects near an attractive center
A class of discounted models for singular diffusion control
Analysis of a new stochastic Gompertz diffusion model for untreated human glioblastomas
Diffusion occupation time before exiting
Probability bounds and asymptotic properties of error propagation
Stochastic processes and the evolution of quantum observables
Control of the solution of a stochastic equation with discontinuous trajectories
Estimation of time dependent carbon transfer coefficients using net ecosystem exchange data
Optimal stationary linear control of the Wiener process
Analytical approximation to the multidimensional Fokker-Planck equation with steady state
Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
On a stochastic nonlocal system with discrete diffusion modeling life tables
Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
A stochastic pursuit-evasion differential game on a torus: A numerical solution
Approximation schemes for fuzzy stochastic integral equations
Efficient stochastic sensitivity analysis of discrete event systems
Modulus of continuity of the canonic Brownian motion ``on the group of diffeomorphisms of the circle
The optimal consumption function in a Brownian model of accumulation. Part A: The consumption function as solution of a boundary value problem
Flows of stochastic dynamical systems: The functional analytic approach
A stochastic differential equation approach to soil moisture
Information geometry of small diffusions
Convergent sampling of continuous time hereditary stochastic systems
Modeling and inversion of net ecological exchange data using an Itô stochastic differential equation approach
Skorohod problems with nonsmooth boundary conditions
Probabilistic approach to ordinary differential equations
“Optimal Dividends in an Ornstein-Uhlenbeck Type Model with Credit and Debit Interest,” by Jun Cai, Hans U. Gerber, Hailang Yang, April 2006
On solutions to set-valued and fuzzy stochastic differential equations
Some interesting processes arising as heavy traffic limits in an M/M/\(\infty\) storage process
Optimal saving under Poisson uncertainty
A study of some diffusion models of population growth
Determination of the inter-spike times of neurons receiving randomly arriving post-synaptik potentials
Stochastic Volterra integral equations with a parameter
Ergodic and quasideterministic properties of finite-dimensional stochastic systems
On representations of solutions of 1–dimensional stochastic differential equations with reflecting boundary conditions
Harvesting in a random environment: Itô or Stratonovich calculus?
Closed-form approximations for diffusion densities: A path integral approach.
Central Limit Theorem for Products of Random Matrices
On the asymptotic behaviour of solutions of stochastic differential equations
On bifurcation diagrams of stochastic dynamical systems
Convexity preserving jump-diffusion models for option pricing
On the joint distribution of first-passage time and first-passage area of drifted Brownian motion
A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows
Invariant ?-fields for a class of diffusions
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On the First-Passage Time of a Diffusion Process Over a One-Sided Stochastic Boundary
Singular control problems in bounded intervals
Notes on the Feynman integral. II
Noise and stability in differential delay equations
Stochastic Functional Inclusion Driven by Semimartingale
Geometric ergodicity for classes of homogeneous Markov chains
Comparison principle and stability of Itô stochastic differential delay equations with Poisson jump and Markovian switching
Robust M-estimators in diffusion processes
Robust filtering for correlated multidimensional observations
A reexamination of stability in randomly varying versus deterministic environments with comments on the stochastic theory of limiting similarity
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
Simulated annealing type algorithms for multivariate optimization
Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
Strong approximations and sequential change-point analysis for diffusion processes
Reduced-order observer-based control design for nonlinear stochastic systems
Invariant distributions for multi-population models in random environments
On a new set-valued stochastic integral with respect to semimartingales and its applications
Optimal portfolio selection under vanishing fixed transaction costs
Linear-quadratic optimal control under non-Markovian switching
Finite optimal filters for a class of nonlinear diffusions with jumping parameters
Convergence of exit times for diffusion processes
Utility-based hedging and pricing with a nontraded asset for jump processes
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On Neumann and oblique derivatives boundary conditions for nonlocal elliptic equations
Competitive advertising under uncertainty: a stochastic differential game approach
Some remarks about stochastic controllability for delayed linear systems
Lower bound technique in the theory of a stochastic differential equation
Moment stability for linear systems with a random parametric excitation
First-passage problems for one-dimensional diffusions with random jumps from a boundary
Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations
Sharp adaptive estimation of the drift function for ergodic diffusions

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