2) nonlinear stochastic differential equation 非线性随机微分方程 1. An algorithm for the numerical solution of nonlinear stochastic differential equation is presented in this paper. 提出了一种求解非线性随机微分方程的算法 ,该算法具有简单、通用且易于实现的特点 。 2. In this paper,the Milstein ...
Linear Stochastic Differential EquationsLinear Stochastic Differential EquationsAdditive and multiplicative noiseGinzburg–Landau equationIntegration‐by‐parts formulaItô's formulaLangevin equationLinear stochastic differential equations (LSDE)Stochastic exponential equationVolterra...
We study linear stochastic differential equations with affine boundary conditions. The equation is linear in the sense that both the drift and the diffusion coefficient are affine functions of the solution. The solution is not adapted to the driving Brownian motion, and we use the extended ...
We establish the existence and uniqueness of the solution to a multidimensional linear Skorohod stochastic differential equation with deterministic diffusion matrix, using the notions of Wick product and S transform. If the diffusion matrix is constant and has real eigenvalues, the solution is a stochas...
A backward stochastic differential equation (BSDE) is an Ito stochastic differential equation (SDE) for which a random terminal condition on the state has ... BI Ananyev - American Institute of Physics 被引量: 1发表: 2012年 On near-martingales and a class of anticipating linear stochastic diffe...
We consider a non-linear stochastic differential equation which involves the Hilbert transform, Xt=σ·Bt+2λ ∫t0 Hu(s, Xs) ds. In the previous equation, u(t,·) is the density of μt, the lax of Xt, and H represents the Hilbert transform in the space variable. In order to define...
We study the local linear estimator for the drift coefficient of stochastic differential equations driven by α-stable Lévy motions observed at di
linear stochastic differential equation driven by a fractional Brownian Motion (fBM) linear stochastic differential equations driven by fractional Brownian motion maximum likelihood estimator (MLE) drift coefficient stochastic process MLE 引用走势 2005 被引量:4 0...
Wong-Zakai approximations for quasilinear systems of Ito's type stochastic differential equations We extend to the multidimensional case a Wong-Zakai-type theorem proved by Hu and Oksendal (1996) for scalar quasi-linear Ito stochastic differential equat......
The purpose of this paper is to study some properties of solutions to one-dimensional as well as multidimensional stochastic differential equations (SDEs in short) with super-linear growth and non-Lipschitz conditions on the coefficients. Taking inspiration from [K. Bahlali, E.H. Essaky, M. ...