Academic literature on the topic 'Stochastic Differential Equations (SDE)'
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Journal articles on the topic "Stochastic Differential Equations (SDE)"
Eliazar, Iddo. "Selfsimilar stochastic differential equations." Europhysics Letters 136, no. 4 (November 1, 2021): 40002. http://dx.doi.org/10.1209/0295-5075/ac4dd4.
Full textIddrisu, Wahab A., Inusah Iddrisu, and Abdul-Karim Iddrisu. "Modeling Cholera Epidemiology Using Stochastic Differential Equations." Journal of Applied Mathematics 2023 (May 9, 2023): 1–17. http://dx.doi.org/10.1155/2023/7232395.
Full textIMKELLER, PETER, and CHRISTIAN LEDERER. "THE COHOMOLOGY OF STOCHASTIC AND RANDOM DIFFERENTIAL EQUATIONS, AND LOCAL LINEARIZATION OF STOCHASTIC FLOWS." Stochastics and Dynamics 02, no. 02 (June 2002): 131–59. http://dx.doi.org/10.1142/s021949370200039x.
Full textBriand, Phillippe, Abir Ghannoum, and Céline Labart. "Mean reflected stochastic differential equations with jumps." Advances in Applied Probability 52, no. 2 (June 2020): 523–62. http://dx.doi.org/10.1017/apr.2020.11.
Full textArmstrong, J., and D. Brigo. "Intrinsic stochastic differential equations as jets." Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences 474, no. 2210 (February 2018): 20170559. http://dx.doi.org/10.1098/rspa.2017.0559.
Full textBahlali, K., A. Elouaflin, and M. N'zi. "Backward stochastic differential equations with stochastic monotone coefficients." Journal of Applied Mathematics and Stochastic Analysis 2004, no. 4 (January 1, 2004): 317–35. http://dx.doi.org/10.1155/s1048953304310038.
Full textRezaeyan, Ramzan. "Application of Stochastic Differential Equation and Optimal Control for Engineering Problems." Advanced Materials Research 383-390 (November 2011): 972–75. http://dx.doi.org/10.4028/www.scientific.net/amr.383-390.972.
Full textFekete, Dorottya, Joaquin Fontbona, and Andreas E. Kyprianou. "Skeletal stochastic differential equations for superprocesses." Journal of Applied Probability 57, no. 4 (November 23, 2020): 1111–34. http://dx.doi.org/10.1017/jpr.2020.53.
Full textStoyanov, Jordan, and Dobrin Botev. "Quantitative results for perturbed stochastic differential equations." Journal of Applied Mathematics and Stochastic Analysis 9, no. 3 (January 1, 1996): 255–61. http://dx.doi.org/10.1155/s104895339600024x.
Full textChaharpashlou, Reza, Reza Saadati, and António M. Lopes. "Fuzzy Mittag–Leffler–Hyers–Ulam–Rassias Stability of Stochastic Differential Equations." Mathematics 11, no. 9 (May 4, 2023): 2154. http://dx.doi.org/10.3390/math11092154.
Full textDissertations / Theses on the topic "Stochastic Differential Equations (SDE)"
Nass, Aminu Ma'aruf. "Point symmetry methods for Itô Stochastic Differential Equations (SDE) with a finite jump process." Doctoral thesis, University of Cape Town, 2017. http://hdl.handle.net/11427/25387.
Full textHandari, Bevina D. "Numerical methods for SDEs and their dynamics /." [St. Lucia, Qld.], 2002. http://www.library.uq.edu.au/pdfserve.php?image=thesisabs/absthe17145.pdf.
Full textSalhi, Rym. "Contributions to quadratic backward stochastic differential equations with jumps and applications." Thesis, Le Mans, 2019. http://www.theses.fr/2019LEMA1023.
Full textThis thesis focuses on backward stochastic differential equation with jumps and their applications. In the first chapter, we study a backward stochastic differential equation (BSDE for short) driven jointly by a Brownian motion and an integer valued random measure that may have infinite activity with compensator being possibly time inhomogeneous. In particular, we are concerned with the case where the driver has quadratic growth and unbounded terminal condition. The existence and uniqueness of the solution are proven by combining a monotone approximation technics and a forward approach. Chapter 2 is devoted to the well-posedness of generalized doubly reflected BSDEs (GDRBSDE for short) with jumps under weaker assumptions on the data. In particular, we study the existence of a solution for a one-dimensional GDRBSDE with jumps when the terminal condition is only measurable with respect to the related filtration and when the coefficient has general stochastic quadratic growth. We also show, in a suitable framework, the connection between our class of backward stochastic differential equations and risk sensitive zero-sum game. In chapter 3, we investigate a general class of fully coupled mean field forward-backward under weak monotonicity conditions without assuming any non-degeneracy assumption on the forward equation. We derive existence and uniqueness results under two different sets of conditions based on proximation schema weither on the forward or the backward equation. Later, we give an application for storage in smart grids
Alnafisah, Yousef Ali. "First-order numerical schemes for stochastic differential equations using coupling." Thesis, University of Edinburgh, 2016. http://hdl.handle.net/1842/20420.
Full textManai, Arij. "Some contributions to backward stochastic differential equations and applications." Thesis, Le Mans, 2019. http://www.theses.fr/2019LEMA1022.
Full textThis thesis is dedicated to the study of backward stochastic differential equations (BSDEs) and their applications. In chapter 1, we study the problem of maximizing the utility from terminal wealth where the stock price may jump and there are investment constraints on the agent 's strategies. We focus on the BSDE whose solution represents the maximal utility, which allows transferring results on quadratic BSDEs, in particular the stability results, to the problem of utility maximisation. In chapter 2, we consider the problem of pricing American options from theoretical and numerical sides based upon an alternative representation of the value of the option in the form of a viscosity solution of a parabolic equation with a nonlinear reaction term. We extend the viscosity solution characterization proved in [Benth, Karlsen and Reikvam 2003] for call/put American option prices to the case of a general payoff function in a multi-dimensional setting. We address two new numerical schemes inspired by the branching processes. Our numerical experiments show that approximating the discontinuous driver of the associated reaction/diffusion PDE by local polynomials is not efficient, while a simple randomization procedure provides very good results. In chapter 3, we prove existence and uniqueness results for a general class of coupled mean-field forward-backward SDEs with jumps under weak monotonicity conditions and without the non-degeneracy assumption on the forward equation and we give an application in the field of storage in smart grids in the case where the production of electricity is unpredictable
Leahy, James-Michael. "On parabolic stochastic integro-differential equations : existence, regularity and numerics." Thesis, University of Edinburgh, 2015. http://hdl.handle.net/1842/10569.
Full textYannios, Nicholas, and mikewood@deakin edu au. "Computational aspects of the numerical solution of SDEs." Deakin University. School of Computing and Mathematics, 2001. http://tux.lib.deakin.edu.au./adt-VDU/public/adt-VDU20060817.123449.
Full textTodeschi, Tiziano. "Calibration of local-stochastic volatility models with neural networks." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2021. http://amslaurea.unibo.it/23052/.
Full textHerdiana, Ratna. "Numerical methods for SDEs - with variable stepsize implementation /." [St. Lucia, Qld.], 2003. http://www.library.uq.edu.au/pdfserve.php?image=thesisabs/absthe17638.pdf.
Full textYue, Wen. "Absolute continuity of the laws, existence and uniqueness of solutions of some SDEs and SPDEs." Thesis, University of Manchester, 2014. https://www.research.manchester.ac.uk/portal/en/theses/absolute-continuity-of-the-laws-existence-and-uniqueness-of-solutions-of-some-sdes-and-spdes(2bc80de8-7c36-453f-a7c2-69fa4ee0e705).html.
Full textBooks on the topic "Stochastic Differential Equations (SDE)"
Pardoux, Etienne, and Aurel Rӑşcanu. Stochastic Differential Equations, Backward SDEs, Partial Differential Equations. Cham: Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-05714-9.
Full textKloeden, Peter E. Numerical solution of SDE through computer experiments. 2nd ed. Berlin: Springer, 1997.
Find full textØksendal, Bernt. Stochastic Differential Equations. Berlin, Heidelberg: Springer Berlin Heidelberg, 1992. http://dx.doi.org/10.1007/978-3-662-02847-6.
Full textØksendal, Bernt. Stochastic Differential Equations. Berlin, Heidelberg: Springer Berlin Heidelberg, 1995. http://dx.doi.org/10.1007/978-3-662-03185-8.
Full textØksendal, Bernt. Stochastic Differential Equations. Berlin, Heidelberg: Springer Berlin Heidelberg, 2003. http://dx.doi.org/10.1007/978-3-642-14394-6.
Full textPanik, Michael J. Stochastic Differential Equations. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2017. http://dx.doi.org/10.1002/9781119377399.
Full textØksendal, Bernt. Stochastic Differential Equations. Berlin, Heidelberg: Springer Berlin Heidelberg, 1985. http://dx.doi.org/10.1007/978-3-662-13050-6.
Full textØksendal, Bernt. Stochastic Differential Equations. Berlin, Heidelberg: Springer Berlin Heidelberg, 1989. http://dx.doi.org/10.1007/978-3-662-02574-1.
Full textSobczyk, Kazimierz. Stochastic Differential Equations. Dordrecht: Springer Netherlands, 1991. http://dx.doi.org/10.1007/978-94-011-3712-6.
Full textCecconi, Jaures, ed. Stochastic Differential Equations. Berlin, Heidelberg: Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-11079-5.
Full textBook chapters on the topic "Stochastic Differential Equations (SDE)"
Hassler, Uwe. "Stochastic Differential Equations (SDE)." In Stochastic Processes and Calculus, 261–83. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-23428-1_12.
Full textKim, Jin Won, and Sebastian Reich. "On Forward–Backward SDE Approaches to Conditional Estimation." In Mathematics of Planet Earth, 115–36. Cham: Springer Nature Switzerland, 2024. http://dx.doi.org/10.1007/978-3-031-70660-8_6.
Full textZhang, Jianfeng. "Reflected Backward SDEs." In Backward Stochastic Differential Equations, 133–60. New York, NY: Springer New York, 2017. http://dx.doi.org/10.1007/978-1-4939-7256-2_6.
Full textZhang, Jianfeng. "Forward-Backward SDEs." In Backward Stochastic Differential Equations, 177–201. New York, NY: Springer New York, 2017. http://dx.doi.org/10.1007/978-1-4939-7256-2_8.
Full textBreda, Dimitri, Jung Kyu Canci, and Raffaele D’Ambrosio. "An Invitation to Stochastic Differential Equations in Healthcare." In Quantitative Models in Life Science Business, 97–110. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-031-11814-2_6.
Full textLiu, Wei, and Michael Röckner. "SDEs in Finite Dimensions." In Stochastic Partial Differential Equations: An Introduction, 55–68. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-22354-4_3.
Full textLiu, Wei, and Michael Röckner. "SDEs in Infinite Dimensions and Applications to SPDEs." In Stochastic Partial Differential Equations: An Introduction, 69–121. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-22354-4_4.
Full textBruned, Y., I. Chevyrev, and P. K. Friz. "Examples of Renormalized SDEs." In Stochastic Partial Differential Equations and Related Fields, 303–17. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-74929-7_19.
Full textChassagneux, Jean-François, Hinesh Chotai, and Mirabelle Muûls. "Introduction to Forward-Backward Stochastic Differential Equations." In A Forward-Backward SDEs Approach to Pricing in Carbon Markets, 11–42. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-63115-8_2.
Full textKohatsu-Higa, Arturo, and Atsushi Takeuchi. "Flows Associated with Stochastic Differential Equations with Jumps." In Jump SDEs and the Study of Their Densities, 145–54. Singapore: Springer Singapore, 2019. http://dx.doi.org/10.1007/978-981-32-9741-8_7.
Full textConference papers on the topic "Stochastic Differential Equations (SDE)"
Sul, Jinhwan, Jungin E. Kim, and Yan Wang. "Quantum Functional Expansion to Solve Stochastic Differential Equations." In 2024 IEEE International Conference on Quantum Computing and Engineering (QCE), 552–59. IEEE, 2024. https://doi.org/10.1109/qce60285.2024.00071.
Full textHe, Li, Qi Meng, Wei Chen, Zhi-Ming Ma, and Tie-Yan Liu. "Differential Equations for Modeling Asynchronous Algorithms." In Twenty-Seventh International Joint Conference on Artificial Intelligence {IJCAI-18}. California: International Joint Conferences on Artificial Intelligence Organization, 2018. http://dx.doi.org/10.24963/ijcai.2018/307.
Full textMukherjee, Arpan, Rahul Rai, Puneet Singla, Tarunraj Singh, and Abani Patra. "An Adaptive Gaussian Mixture Model Approach Based Framework for Solving Fokker-Planck Kolmogorov Equation Related to High Dimensional Dynamical Systems." In ASME 2016 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. American Society of Mechanical Engineers, 2016. http://dx.doi.org/10.1115/detc2016-60312.
Full textWang, Yan. "Simulating Stochastic Diffusions by Quantum Walks." In ASME 2013 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. American Society of Mechanical Engineers, 2013. http://dx.doi.org/10.1115/detc2013-12739.
Full textJha, Sumit, Rickard Ewetz, Alvaro Velasquez, and Susmit Jha. "On Smoother Attributions using Neural Stochastic Differential Equations." In Thirtieth International Joint Conference on Artificial Intelligence {IJCAI-21}. California: International Joint Conferences on Artificial Intelligence Organization, 2021. http://dx.doi.org/10.24963/ijcai.2021/73.
Full textLeung, Chin-wing, Shuyue Hu, and Ho-fung Leung. "Modelling the Dynamics of Multi-Agent Q-learning: The Stochastic Effects of Local Interaction and Incomplete Information." In Thirty-First International Joint Conference on Artificial Intelligence {IJCAI-22}. California: International Joint Conferences on Artificial Intelligence Organization, 2022. http://dx.doi.org/10.24963/ijcai.2022/55.
Full textKim, Jongwan, DongJin Lee, Byunggook Na, Seongsik Park, Jeonghee Jo, and Sungroh Yoon. "Notice of Retraction: E2V-SDE: From Asynchronous Events to Fast and Continuous Video Reconstruction via Neural Stochastic Differential Equations." In 2022 IEEE/CVF Conference on Computer Vision and Pattern Recognition (CVPR). IEEE, 2022. http://dx.doi.org/10.1109/cvpr52688.2022.01319.
Full textPrimeau, Louis, Amirali Amirsoleimani, and Roman Genov. "SDEX: Monte Carlo Simulation of Stochastic Differential Equations on Memristor Crossbars." In 2022 IEEE International Symposium on Circuits and Systems (ISCAS). IEEE, 2022. http://dx.doi.org/10.1109/iscas48785.2022.9937861.
Full textWu, Jinglai, Yunqing Zhang, Pengfei Chen, and Liping Chen. "Numerical Solution of Stochastic Differential Equations with Application to Vehicle Handling." In SAE 2010 World Congress & Exhibition. 400 Commonwealth Drive, Warrendale, PA, United States: SAE International, 2010. http://dx.doi.org/10.4271/2010-01-0912.
Full textWang, Yan. "Accelerating Stochastic Dynamics Simulation With Continuous-Time Quantum Walks." In ASME 2016 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. American Society of Mechanical Engineers, 2016. http://dx.doi.org/10.1115/detc2016-59420.
Full textReports on the topic "Stochastic Differential Equations (SDE)"
Christensen, S. K., and G. Kallianpur. Stochastic Differential Equations for Neuronal Behavior. Fort Belvoir, VA: Defense Technical Information Center, June 1985. http://dx.doi.org/10.21236/ada159099.
Full textDalang, Robert C., and N. Frangos. Stochastic Hyperbolic and Parabolic Partial Differential Equations. Fort Belvoir, VA: Defense Technical Information Center, July 1994. http://dx.doi.org/10.21236/ada290372.
Full textJiang, Bo, Roger Brockett, Weibo Gong, and Don Towsley. Stochastic Differential Equations for Power Law Behaviors. Fort Belvoir, VA: Defense Technical Information Center, January 2012. http://dx.doi.org/10.21236/ada577839.
Full textSharp, D. H., S. Habib, and M. B. Mineev. Numerical Methods for Stochastic Partial Differential Equations. Office of Scientific and Technical Information (OSTI), July 1999. http://dx.doi.org/10.2172/759177.
Full textJones, Richard H. Fitting Stochastic Partial Differential Equations to Spatial Data. Fort Belvoir, VA: Defense Technical Information Center, September 1993. http://dx.doi.org/10.21236/ada279870.
Full textGarrison, J. C. Stochastic differential equations and numerical simulation for pedestrians. Office of Scientific and Technical Information (OSTI), July 1993. http://dx.doi.org/10.2172/10184120.
Full textXiu, Dongbin, and George E. Karniadakis. The Wiener-Askey Polynomial Chaos for Stochastic Differential Equations. Fort Belvoir, VA: Defense Technical Information Center, January 2003. http://dx.doi.org/10.21236/ada460654.
Full textChow, Pao-Liu, and Jose-Luis Menaldi. Stochastic Partial Differential Equations in Physical and Systems Sciences. Fort Belvoir, VA: Defense Technical Information Center, November 1986. http://dx.doi.org/10.21236/ada175400.
Full textBudhiraja, Amarjit, Paul Dupuis, and Arnab Ganguly. Moderate Deviation Principles for Stochastic Differential Equations with Jumps. Fort Belvoir, VA: Defense Technical Information Center, January 2014. http://dx.doi.org/10.21236/ada616930.
Full textWebster, Clayton G., Guannan Zhang, and Max D. Gunzburger. An adaptive wavelet stochastic collocation method for irregular solutions of stochastic partial differential equations. Office of Scientific and Technical Information (OSTI), October 2012. http://dx.doi.org/10.2172/1081925.
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