Keywords: 93E20; 60H30; 93E99; 60H10; Time inconsistency; Mean-variance criterion; Investment-reinsurance strategy; Insurer; Equilibrium strategy; Forward-backward stochastic differential equation;
مقالات ISI (ترجمه نشده)
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Keywords: 60H10; 60G40; 60H30Mean-field; Backward stochastic differential equation; Subdifferential operator; McKean–Vlasov equation; Viscosity solution
Keywords: Logistic equation; Random noises; Diffusion34F05; 92D25; 60H10; 60H20
Keywords: 60H10; Neutral stochastic differential delay equations; Nonlinear growth conditions; One-sided Lipschitz condition; Backward Euler method; Global a.s. asymptotic exponential stability;
Keywords: 60H10; 60H30; 93E03; Multivalued backward stochastic differential equations; Oblique reflection; Subdifferential operators; Meyer-Zheng topology;
Keywords: 60H20; 60H10; 91G80; Forward stochastic Volterra integral equations; Backward stochastic Volterra integral equation; Comparison theorem; Duality principle;
Keywords: 60H10; 60J60Skorohod problem; Stochastic variational inequalities; Fréchet subdifferential
Keywords: 62F12; 62M05; 60H10; 60J60Stochastic differential equation with homogeneous coefficients; Drift parameter; Strong consistency; Discretized model
Keywords: primary; 60H20; secondary; 60H10; Stochastic differential equation; Itô's formula; Explosive solutions; Lyapunov function; Cycle;
Keywords: 34K50; 60H10; 93B05; 93E03Approximate boundary controllability; Contraction mapping principle; Hilbert space; Semigroup theory; Stochastic differential systems
Keywords: 60H10; 92B05; 81T80Gompertz model; Markov chains; Stationary distribution; Stochastic simulation
Keywords: 60H10; 60H20; 60G51; 60G57; Stochastic variational inequalities; Jump-diffusions;
Keywords: 60J75; 60H10; Backward stochastic differential equations; Jump Markov processes; Optimal control problems;
Keywords: 60J70; 60H10; 34E15Interacting Brownian particles; Pitchfork bifurcation; Stochastic differential equations; Singular perturbation
Keywords: 60H10; Weak solution; Joint solution measure; Young measure; Jakubowski's topology S; Condition UT; Meyer-Zheng; Yamada-Watanabe-Engelbert;
Keywords: 35D40; 35K10; 60H10; 60H30; Nonlinear expectation; Optimal stopping; Snell envelope;
Keywords: 60H10; 60H15; 93E20; Stochastic evolution equation; Backward stochastic evolution equation; Optimal control; Sufficient conditions for optimality;
Keywords: 60H10; 60H30; Interest rate; Cox-Ingersoll-Ross model; Jump; Memory; One-factor model; Two-factor model; Long-term return;
Keywords: 93E20; 60H10; 60H30Stochastic systems with jumps; Mean-field control problem; Stochastic maximum principle; Optimal control
Keywords: Stochastic age-dependent population equations; Numerical solution; Positivity preserving; Convergence60H35; 60H30; 60H10; 65C30
Keywords: Branching process; Continuous-time Markov chain; Minor outbreak; Stochastic differential equation; 60H10; 60J28; 92D30;
Keywords: 60H10; 34F05Explosive solutions; Stochastic differential equations; Lyapunov function
Keywords: 91G30; 60H10; 60H07Ait-Sahalia model; Tail probabilities; Malliavin calculus
Keywords: 60H05; 60H10; 60H15; 60G05; 60G17Rough path; Functional Itô calculus; Path derivatives; Itô–Ventzell formula; Rough differential equations; Rough PDEs; Stochastic PDEs; Characteristics
Keywords: 60H10; 93E20; 91G80Backward stochastic differential equations; Singular terminal condition; Stochastic control with constraints
Keywords: 60H10; 60J75; 60H35; 65C05; 65G99; 60H07Backward stochastic differential equations with jumps; Wiener Chaos expansion; Numerical method
Keywords: 45K05; 35D40; 60H10; 60H30Path-dependent integro-differential equations; Viscosity solutions; Backward SDEs with jumps; Skorokhod topologies; Martingale problems
Solutions of martingale problems for Lévy-type operators with discontinuous coefficients and related SDEs
Keywords: 60J25; 60H10; 60J75; 60G46; 60G52; 47G30Lévy process; Stable process; Stable-like process; Lévy-type process; Discontinuous Lévy characteristics; Non-local operator; Markov process; Feller process; Symbol; Martingale problem; Weak solution; Stochastic dif
Modified stochastic theta methods by ODEs solvers for stochastic differential equations
Keywords: ODEs solver; Stochastic differential equations; Stochastic theta method; Mean-square convergence and stability; 60H10; 41A25; 93E15;
The projected explicit Itô-Taylor methods for stochastic differential equations under locally Lipschitz conditions and polynomial growth conditions
Keywords: 60H10; 65L05; 65L20; The projected explicit Itô-Taylor methods; Stochastic differential equations; Stochastic C-stability; Stochastic B-consistency;
On the distribution of extended CIR model
Keywords: 60H10; 60G50; 60G12; ECIR model; Noncentral chi-square; Series representation;
Fractional Lévy Cox-Ingersoll-Ross and Jacobi processes
Keywords: 60G22; 60H10; 60H20; Fractional Lévy process; Cox-Ingersoll-Ross process; Jacobi process; Long memory;
Stability in distribution of a stochastic predator-prey system with S-type distributed time delays
Keywords: 60H10; 60H30; Stability; Predator-prey system; Lotka-Volterra system; Time delay;
Qualitative analysis of a stochastic ratio-dependent Holling-Tanner system
Keywords: Stochastic ratio-dependent Holling-Tanner system; persistence in mean; stationary distribution; 60J60; 60H10; 92D25;
Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations
Keywords: 60H10; 35Q53; Degenerated stochastic differential equations (SDEs); Girsanov transformation; Non-Lipschitz SDEs with jumps; Semi-linear partial integro-differential equation of parabolic type;
Sensitivity analysis and feedback control of noise-induced extinction for competition chemostat model with mutualism
Keywords: 60H10; 92B05; 93D15; Chemostat; Mutualism; Noise-induced extinction; Confidence ellipse; Feedback control;
On perturbations of an ODE with non-Lipschitz coefficients by a small self-similar noise
Keywords: 60H10; 60F99; Zero-noise limit; Peano phenomenon; Growth rate of solutions to stochastic equations; Selection of a solution; Self-similar process;
On some applications of Sobolev flows of SDEs with unbounded drift coefficients
Keywords: 60H10; 60H15; 60H40; Strong solutions of SDE's; Irregular drift coefficient; Malliavin calculus; Transport equation; Bismut-Elworthy-Li formula;
Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump
Keywords: primary; 60H10; 60H35; secondary; 65c30; Stochastic delay differential equation (SDDE) with jump; The delay CIR model with jump; Balanced method; Convergence; Non-negativity; Moment boundedness;
Integrated stationary Ornstein-Uhlenbeck process, and double integral processes
Keywords: 60J60; 60H05; 60H10; Double integral process; Gauss-Markov process; Ornstein-Uhlenbeck process;
Stochastic analysis of a full system of two competing populations in a chemostat
Keywords: 92B05; 34E05; 34F05; 60H10; 35Q84; Chemostat; Coexistence; Stochastic; Asymptotics; Fokker-Planck;
Semimartingale: Itô or not ?
Keywords: primary; 62F12; 62M05; secondary; 60H10; 60J60; Semimartingale; Itô; Discrete sampling; High frequency; Absolute continuity; Cantor set;
Ergodic properties of generalized Ornstein-Uhlenbeck processes
Keywords: 60J25; 60H10; Generalized Ornstein-Uhlenbeck processes; Foster-Lyapunov technique; Exponential / subexponential ergodicity; Petite set;
Unique stationary distribution and ergodicity of a stochastic Logistic model with distributed delay
Keywords: 60H10; 92D25; 60J65; Stochastic Logistic model; Distributed delay; Stationary distribution; Markov semigroups;
SDE models with exponential drift and diffusion for approximating fatigue crack growth dynamics
Keywords: Crack growth; Fatigue damage; Stochastic differential equation; Mathematical model; First-passage time; 60H10; 74A45; 74R99; 34F05;
Quadratic backward stochastic differential equations driven by G-Brownian motion: Discrete solutions and approximation
Keywords: 60H10; 60H30; Backward stochastic differential equations; Quadratic growth; G-Brownian motion; Discretization; Fully nonlinear PDEs;
Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems
Keywords: Stochastic differential equations; Multi-dimensional systems; Numerical solutions; Stochastic Runge--Kutta methods; Mean-square stability analysis; Balanced stochastic Runge-Kutta methods; 60H10; 60H35; 65L06; 65L20;
Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
Keywords: 60H10; 91G70; 60F05; 62F12; Jump-type Cox-Ingersoll-Ross (CIR) process; Basic affine jump-diffusion (BAJD); Subordinator; Maximum likelihood estimator;
Backward problems for stochastic differential equations on the Sierpinski gasket
Keywords: 28A80; 60H10; 60H30; Sierpinski gasket; Backward stochastic differential equations; Semi-linear parabolic equations;
Density analysis of non-Markovian BSDEs and applications to biology and finance
Keywords: primary; 60H10; secondary; 60H07, 91G30, 92D20; BSDEs; Malliavin calculus; Nourdin-Viens' Formula; Gene expression; Option pricing;