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

DOI10.1016/j.camwa.2011.06.023zbMath1231.60051OpenAlexW2082711881MaRDI QIDQ660807

Ke Wang, Guixin Hu

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

simulationprobability distributionlogistic modelMarkov chain

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)

Related Items (4)

Stability of a stochastic logistic model under regime switching ⋮ Dynamics of a stochastic three-species competitive model with Lévy jumps ⋮ Dynamics of a two-prey one-predator system in random environments ⋮ Invariant distribution of stochastic Gompertz equation under regime switching

Cites Work

• Numerical simulation of stochastic ordinary differential equations in biomathematical modelling.
• Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions
• The stochastic logistic equation: stationary solutions and their stability
• An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
• Efficient Stochastic Simulation of Biological Systems with Multiple Variable Volumes
• Stochastic Differential Equations with Markovian Switching

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