The aim of this work is to use systematically the symmetries of the (one dimensional) bacward heat equation with potentiel in order to solve certain one dimensional It's stochastic differential equations. The special form of the drift (suggested by quantum mechanical considerations) gives, indeed,...
Stochastic differential equations (SDEs) and the Kolmogorov partial differential equations (PDEs) associated to them have been widely used in models from engineering, finance, and the natural sciences. In particular, SDEs and Kolmogorov PDEs, respectively, are highly employed in models for the approx...
2003. Solving stochas- tic partial differential equations based on the experimen- tal data. Math. Models Methods Appl. Sci., Vol. 13 (No. 3):415-444.I. Babuska, K. Liu, R. Tempone, Solving stochastic partial differential equations based on the experimental data, Math. Models Methods ...
In this work we introduce and describe a GPU-accelerated implementation of Parker’s equation using Stochastic Differential Equations (SDEs) for the simulation of the transport of energetic charged particles with the CUDA toolkit, which is the focus of this work. We briefly discuss the set of S...
The differential stochastic systems modeled the evolutive phenomena of environment influenced by stochastic forces. In this article it solved, using the It's formula, some differential stochastic systems for a vibrating string subject to a stochastic force and electric circuit.Doina-Constanta Mihai...
In this paper we propose convergence and stability properties of Euler method for solving fuzzy stochastic differential equations under generalized differentiability concept. It is used to find the analytical solution of method for some fuzzy stochastic differential equations (FSDEs). The related theorems...
In this paper we investigate the nature of the adapted solutions to a class of forward-backward stochastic differential equations (SDEs for short) in which the forward equation is non-degenerate. We prove that in this case the adapted solution can always be sought in an “ordinary” sense ove...
In this paper we investigate the nature of the adapted solutions to a class of forward-backward stochastic differential equations (SDEs for short) in which the forward equation is non-degenerate. We prove that in this case the adapted solution can always be sought in an "ordinary" sense over...
求解随机微分方程的θ-Heun方法的收敛性 The Convergence of θ-Heun Method for Solving Stochastic Differential Equations 张引娣,李瑞,刘奋进 Keywords: 随机微分方程,θ-Heun方法,收敛性,Lipschitz条件 Full-Text Cite this paper Add to My Lib Abstract: Heun方法是一种求解随机微分方程数值解的重要方法,在...
Solve polynomial equations and systems of equations, and work with the results using Symbolic Math Toolbox™. Simulate a Stochastic Process Using the Feynman–Kac Formula Obtains the partial differential equation that describes the expected final price of an asset whose price is a stochastic process...