The estimation of probability distribution of SDE by only one sample trajectory

DOI10.1016/J.CAMWA.2011.06.023MaRDI QIDQ660807zbMATHOpenAlexFDO

Authors Guixin Hu, Ke Wang

Publication date 5 February 2012

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2011.06.023

zbMATH Keywords

Markov chainsimulationlogistic modelprobability distribution

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

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Cites work

• An algorithmic introduction to numerical simulation of stochastic differential equations
• Efficient stochastic simulation of biological systems with multiple variable volumes
• Numerical simulation of stochastic ordinary differential equations in biomathematical modelling.
• Stochastic Differential Equations with Markovian Switching
• The stochastic logistic equation: stationary solutions and their stability
• Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions

Cited in

(6)

• Dynamics of a two-prey one-predator system in random environments
• Stability of a stochastic logistic model under regime switching
• Dynamics of a stochastic three-species competitive model with Lévy jumps
• Using coupling methods to estimate sample quality of stochastic differential equations
• Invariant distribution of stochastic Gompertz equation under regime switching
• Estimates of sample paths of dynamical systems described by stochastic differential equations

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