Keywords: 60H15; 60H35; 65C30; Stochastic heat equation; Fractional noise; Bismut formula; Harnack inequality;
مقالات ISI (ترجمه نشده)
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Keywords: Radical polymerisation; Gradient copolymer; Molecular weight distribution; Population balance; Reaction kinetics; 60H35; 80A30; 82D60;
Keywords: Stochastic age-dependent capital system; Mean-square dissipativity; Numerical methods; Fractional Brownian motion; Poisson jumps; 60H10; 60H05; 60H35; 65C30;
Keywords: 37H10; 39A50; 60H35; 65C30; Adaptive timestepping; Euler-Maruyama method; Locally Lipschitz coefficients; A.s. stability and instability; Positivity;
Keywords: 34B05; 60H15; 60H35; 65N30; Stochastic partial differential equations; Boundary value problems; Gaussian measures; Finite element methods; White noise;
Keywords: 35R60; 47B80; 60H35; 65C20; 65N12; 65N22; 65J10; Partial differential equations with random coefficients; Risk averse optimization; Phase field; Topology optimization; Conditional value at risk; Uncertainty quantification;
Keywords: 60H35; 65C20; 65L20; Stochastic differential equations with piecewise continuous arguments driven by Poisson random measure; The compensated split-step theta (CSST) method; Strongly convergent in pth moment; Exponential mean square stability;
Keywords: 60H10; 60H35; 65C20; 65C30; 65J15; 65L20; 92D99; Explicit numerical scheme; Semi-discrete method; Non-linear SDEs; Strong approximation error; Boundary preserving numerical algorithm; Wright-Fisher model;
Keywords: 34F05; 60H35; 65Z05; 60H10; 93E03; Damped pendulum random differential equation; Stochastic methods in physics; Probability density function; Numerical analysis;
Keywords: 60H35; 60H30; 60H10; 65C30; Jump-diffusion; Numerical solution; Balanced implicit method; Positivity preserving;
Keywords: 60C20; 60H35; 65L20; Stochastic differential equations with piecewise continuous arguments; The split-step theta (SST) method; The monotone condition; Convergence of the SST method; Exponential mean square stability;
Keywords: 65F15; 90C31; 60H35; Eigenvalue analysis and optimization; Delay differential algebraic equations of retarded type; Uncertainty quantification; Integrability of the spectral abscissa and its gradient;
Keywords: Environmental pollution; Single-species age-structure model; Fuzzy stochastic differential equation; Numerical solution; Convergence34F05; 37N25; 60H35
Keywords: Waveform relaxation methods; Superlinear convergence; Stochastic differential equations; Neutral stochastic functional differential equations; Mean square convergence; 34K50; 60H35; 65C30;
Keywords: 60F25; 60G35; 60G57; 60H35; 93E11Stochastic partial differential equation; Nonlinear filtering; Zakai equation; Particle filters; Gaussian mixtures; L2L2-convergence
Keywords: 35R60; 47B80; 60H35; 65C20; 65N12; 65N22; 65J10; 65Y20; Partial differential equations with random coefficients; Parabolic differential equations; Uncertainty quantification; Stochastic finite element methods; Adaptive methods; Wavelets;
Keywords: 60H15; 60H35; 65C05; 65C30; 60H10Burgers equation; Boundary Neumann noise; Galerkin method; Weak approximation; Exponential Euler scheme; Impact of noise
Keywords: 60H10; 60J75; 60H35; 65C05; 65G99; 60H07Backward stochastic differential equations with jumps; Wiener Chaos expansion; Numerical method
A family of Chaplygin-type solvers for Itô stochastic differential equations
Keywords: Stochastic differential equations; Chaplygin's method; Convergence analysis; Banach space; Itô integral; 60H25; 60H35;
Tamed Euler-Maruyama approximation for stochastic differential equations with locally Hölder continuous diffusion coefficients
Keywords: 60H35; 41A25; 60C30; Stochastic differential equation; Irregular coefficients; Hödler continuous diffusion; Strong approximation; Super-linearly growing coefficient; Tamed Euler scheme;
Multi-level Monte Carlo weak Galerkin method with nested meshes for stochastic Brinkman problem
Keywords: 60H35; 65N30; 65C05; Stochastic Brinkman problem; Multi-level Monte Carlo; Weak Galerkin;
Euler polynomial solutions of nonlinear stochastic Itô-Volterra integral equations
Keywords: 65C30; 60H35; 60H20; Stochastic Itô-Volterra integral equations; Brownian motion process; Stochastic operational matrix; Euler polynomials; Error analysis;
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;
Finite element methods and their error analysis for SPDEs driven by Gaussian and non-Gaussian noises
Keywords: Stochastic partial differential equations; Gaussian and non-Gaussian noises; Finite element method; Linear implicit Euler scheme; Regularity; Mean square error; 60H15; 60H35; 65C30; 65M60;
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;
Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients
Keywords: 60H35; 41A25; 60C30; Euler-Maruyama approximation; Strong rate of convergence; Stochastic differential equation; Discontinuous coefficients;
Convergence of numerical solutions to stochastic differential equations with Markovian switching
Keywords: Stochastic differential equations; Markovian switching; Generalized Itô formula; Simulation; Numerical approximations; 60H35; 34K50; 65C30;
A weak Local Linearization scheme for stochastic differential equations with multiplicative noise
Keywords: 65C30; 60H10; 60H35; Stochastic differential equation; Mean-square stability; Weak convergence; Local Linearization scheme;
Application of operational matrices for solving system of linear Stratonovich Volterra integral equation
Keywords: 65C30; 60H20; 60H35; 60J65; Linear Stratonovich Volterra integral equations; Stochastic operational matrix; Computational methods for stochastic equations; Brownian motion process; Block pulse functions; Error analysis;
Pathwise convergence of a numerical method for stochastic partial differential equations with correlated noise and local Lipschitz condition
Keywords: 60H35; 60H15; 60H10; 65M12; 65M60; Stochastic partial differential equations; Spectral Galerkin approximation; Time discretization; Colored noise; Order of convergence; Uniform bounds;
Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient
Keywords: 60H35; 41A25; 60H10; 65C30; Euler-Maruyama approximation; Strong approximation; Rate of convergence; Hölder continuous drift; Truncated symmetric α-stable;
Strong convergence rate of finite difference approximations for stochastic cubic Schrödinger equations
Keywords: primary; 60H35; secondary; 60H15; 65M06; Stochastic cubic Schrödinger equation; Strong convergence rate; Central difference scheme; Exponential integrability; Continuous dependence;
Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles
Keywords: 60H10; 60H35; 60J75; 34K28Double barrier reflected BSDEs; Backward stochastic differential equations with jumps; Numerical scheme
Approximation solution of nonlinear Stratonovich Volterra integral equations by applying modification of hat functions
Keywords: 65C30; 65C20; 60H20; 60H35; 68U20Modification of hat functions; Nonlinear Stratonovich Volterra integral equation; Hyers–Ulam–Rassias stability; Operational matrix; Error analysis
Efficient numerical Fourier methods for coupled forward–backward SDEs
Keywords: 91G60; 60H35; 65C30; 65T50; 60E10; 65B05Fourier-cosine expansion method; Characteristic function; Coupled forward–backward stochastic differential equations; Richardson extrapolation; Second-order convergence; Cross-hedging
A high-order discontinuous Galerkin method for Itô stochastic ordinary differential equations
Keywords: 60H10; 60H35; 65C20; 65C30; 65L20; 65L60Itô stochastic differential equation; Discontinuous Galerkin method; Wong–Zakai approximation; A-stability; Mean-square convergence; Order of convergence
Low-rank solvers for unsteady Stokes–Brinkman optimal control problem with random data
Keywords: 35R60; 60H15; 60H35; 65N22; 65F10Stochastic Galerkin system; PDE-constrained optimization; Low-rank solution; Tensor methods; Preconditioning; Schur complement
A fast convergent numerical method for matrix sign function with application in SDEs
Keywords: 65F60; 60H35; Matrix sign; Stochastic differential equations; Riccati equation; Lotka-Volterra model;
Convergence and convergence rates for approximating ergodic means of functions of solutions to stochastic differential equations with Markov switching
Keywords: 60H35; 60J60; 65C30; Switching diffusion; Recursive algorithm; Invariant measure; Law of iterated logarithm;
On matching diffusions, Laplace transforms and partial differential equations
Keywords: 60H30; 60H35; 60J60; 60J70Brownian motion; Squared Bessel process; Laplace transform; Diffusion; Feynman–Kac theorem; Partial differential equations
A multi-step Richardson-Romberg extrapolation method for stochastic approximation
Keywords: 60H35; 65C30; 65C05; Euler scheme; Weak error; Richardson-Romberg extrapolation; Stochastic approximation algorithm;
Efficient almost-exact Lévy area sampling
Keywords: 60H05; 60H35; 65C30; 91G60Lévy area; Strong simulation; Logistic expansion; Chebyshev approximation; Milstein method
Approximation of stationary solutions to SDEs driven by multiplicative fractional noise
Keywords: 60G10; 60G15; 60H35; Stochastic differential equation; Fractional Brownian motion; Stationary process; Euler scheme;
Analytic and numerical solutions of a Riccati differential equation with random coefficients
Keywords: 34F10; 60H35; 65N12Random differential equations; Mean square calculus; Polynomial chaos; Monte Carlo method
Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations
Keywords: 60H35; 65C20; 65L20Stochastic differential equation; Jump; Balanced method; Asymptotic stability
A mean-reverting SDE on correlation matrices
Keywords: 65C30; 60H35; 91B70; Correlation; Wright-Fisher diffusions; Multi-allele Wright-Fisher model; Jacobi processes; Wishart processes; Discretization schemes; Multi-asset model;
Particle filters with random resampling times
Keywords: 60F05 (60F25; 60G35; 60G40; 60H35; 93E11); Stochastic partial differential equation; Filtering; Zakai equation; Particle filters; Sequential Monte-Carlo methods; Resampling; Resampling times; Random times; Effective sample size; Coefficient of variation;
Convergence of numerical solutions for a class of stochastic age-dependent capital system with Markovian switching
Keywords: 60H10; 60H05; 60H35; 65C30; Stochastic age-dependent capital system; Markovian switching; Numerical solution; Euler approximation;
Exponential stability of numerical solutions for a class of stochastic age-dependent capital system with Poisson jumps
Keywords: 60H10; 60H05; 60H35; 65C30Stochastic age-dependent capital system; Poisson jumps; Numerical solution; Euler approximation
Spatial approximation of stochastic convolutions
Keywords: 65M60; 65T60; 60H15; 60H35; 65C30Finite element; Wavelet; Stochastic heat equation; Stochastic wave equation; Wiener process; Additive noise