Keywords: معادله دیفرانسیل تصادفی; Locally one-dimensional open channel networks; Solute transport equation; Stochastic differential equation; Kolmogorov's forward equation; Cell-vertex finite volume method; Total variation diminishing condition;
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Keywords: معادله دیفرانسیل تصادفی; 62F05; 62M07; 62M09; Goodness of fit; High-frequency data; Self-normalized residuals; Stochastic differential equation;
Keywords: معادله دیفرانسیل تصادفی; Branching process; Continuous-time Markov chain; Minor outbreak; Stochastic differential equation; 60H10; 60J28; 92D30;
Keywords: معادله دیفرانسیل تصادفی; Stochastic flow; Stochastic semi-flow; Stochastic differential equation; Monotonicity; Strong completeness; Strong Δ-completeness
Keywords: معادله دیفرانسیل تصادفی; Quasi likelihood; Diffusion process; Conditional moment; Maximum likelihood; Stochastic differential equation
Keywords: معادله دیفرانسیل تصادفی; Intermitotic time; Stochastic differential equation; Mathematical modeling; First exit time;
Tamed Euler-Maruyama approximation for stochastic differential equations with locally Hölder continuous diffusion coefficients
Keywords: معادله دیفرانسیل تصادفی; 60H35; 41A25; 60C30; Stochastic differential equation; Irregular coefficients; Hödler continuous diffusion; Strong approximation; Super-linearly growing coefficient; Tamed Euler scheme;
Existence theorems for a nonlinear second-order distributional differential equation
Keywords: معادله دیفرانسیل تصادفی; Distributional differential equation; Measure differential equation; Stochastic differential equation; Regulated function; Kurzweil-Henstock-Stieltjes integral; Leray-Schauder nonlinear alternative;
Generalized two-step Maruyama methods for stochastic differential equations
Keywords: معادله دیفرانسیل تصادفی; Stochastic differential equation; Mean-square consistency; Mean-square convergence; Mean-square stability; Generalized two-step Maruyama method; Adams method;
Parameter estimation in SDEs via the Fokker-Planck equation: Likelihood function and adjoint based gradient computation
Keywords: معادله دیفرانسیل تصادفی; Parameter identification; Stochastic differential equation; State space model; Likelihood function; Adjoint method;
A note on the partially truncated Euler-Maruyama method
Keywords: معادله دیفرانسیل تصادفی; Stochastic differential equation; Local Lipschitz condition; Khasminskii-type condition; Partially truncated Euler-Maruyama method; Convergence rate;
Tamed-Euler method for hybrid stochastic differential equations with Markovian switching
Keywords: معادله دیفرانسیل تصادفی; Tamed-Euler scheme; Switching diffusion; Stochastic differential equation; Convergence; Rate of convergence;
Minimal truncation error constants for Runge-Kutta method for stochastic optimal control problems
Keywords: معادله دیفرانسیل تصادفی; Optimal control; Runge-Kutta method; Stochastic differential equation; Stratonovich-Taylor expansion; Numerical solution; Minimal truncation error;
SDE models with exponential drift and diffusion for approximating fatigue crack growth dynamics
Keywords: معادله دیفرانسیل تصادفی; Crack growth; Fatigue damage; Stochastic differential equation; Mathematical model; First-passage time; 60H10; 74A45; 74R99; 34F05;
Modelling a stochastic HIV model with logistic target cell growth and nonlinear immune response function
Keywords: معادله دیفرانسیل تصادفی; 92B05; 92D30; 34E10; 37H10; HIV model; Logistic growth; Immune response; Stochastic differential equation; Stationary distribution;
VIX-linked fees for GMWBs via explicit solution simulation methods
Keywords: معادله دیفرانسیل تصادفی; Variable annuities; Stochastic differential equation; Explicit solution; Monte Carlo simulation; Heston model;
Asymptotical boundedness and stability for stochastic differential equations with delay driven by G-Brownian motion
Keywords: معادله دیفرانسیل تصادفی; Stochastic differential equation; G-Brownian motion; Asymptotical boundedness; Moment exponential stability;
Câ-convergence of Picard's successive approximations to solutions of stochastic differential equations
Keywords: معادله دیفرانسیل تصادفی; 60H10; Stochastic differential equation; Successive approximations; Câ convergence;
Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients
Keywords: معادله دیفرانسیل تصادفی; 60H35; 41A25; 60C30; Euler-Maruyama approximation; Strong rate of convergence; Stochastic differential equation; Discontinuous coefficients;
Derivation of a new Merton's optimal problem presented by fractional stochastic stock price and its applications
Keywords: معادله دیفرانسیل تصادفی; Fractional Black-Scholes equation; Merton's optimal problem; Stochastic differential equation;
Short-term traffic flow prediction using time-varying Vasicek model
Keywords: معادله دیفرانسیل تصادفی; Traffic prediction; Intelligent transportation systems (ITSs); Stochastic differential equation; Time-varying model;
A weak Local Linearization scheme for stochastic differential equations with multiplicative noise
Keywords: معادله دیفرانسیل تصادفی; 65C30; 60H10; 60H35; Stochastic differential equation; Mean-square stability; Weak convergence; Local Linearization scheme;
Stability on the inverse random source scattering problem for the one-dimensional Helmholtz equation
Keywords: معادله دیفرانسیل تصادفی; Stability; Inverse source problem; Helmholtz equation; Stochastic differential equation;
The partially truncated Euler-Maruyama method and its stability and boundedness
Keywords: معادله دیفرانسیل تصادفی; Stochastic differential equation; Local Lipschitz condition; Khasminskii-type condition; Partially truncated Euler-Maruyama method; Stability;
A stochastic HIV infection model with T-cell proliferation and CTL immune response
Keywords: معادله دیفرانسیل تصادفی; HIV infection; CTL immune response; Stochastic differential equation; Extinction; Stationary distribution;
Approximate maximum likelihood estimation using data-cloning ABC
Keywords: معادله دیفرانسیل تصادفی; Approximate Bayesian computation; Intractable likelihood; MCMC; State-space model; Stochastic differential equation;
Global threshold dynamics of a stochastic differential equation SIS model
Keywords: معادله دیفرانسیل تصادفی; SIS epidemic model; Global threshold dynamics; Basic reproduction number; Invariant density; Stochastic differential equation; Fokker-Planck equation;
A Study on Uncertainty of Discharge in River Channel Using Stochastic Partial Differential Equation
Keywords: معادله دیفرانسیل تصادفی; Uncertainty; Stochastic differential equation; Open channel; Shallow water equation;
On analytic characteristic functions and processes governed by SDEs
Keywords: معادله دیفرانسیل تصادفی; Stochastic differential equation; Complex analytic function; Holomorphic function; Multivariate holomorphic function; Entire function
On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion
Keywords: معادله دیفرانسیل تصادفی; Fractional Brownian motion; Stochastic differential equation; Hurst index
Convergence rates of the truncated Euler–Maruyama method for stochastic differential equations
Keywords: معادله دیفرانسیل تصادفی; Stochastic differential equation; Local Lipschitz condition; Khasminskii-type condition; Truncated Euler–Maruyama method; Convergence rate
Averaging along irregular curves and regularisation of ODEs
Keywords: معادله دیفرانسیل تصادفی; Regularization by noise; Stochastic differential equation; Young integral; Fractional Brownian motion;
Rough differential equations driven by signals in Besov spaces
Keywords: معادله دیفرانسیل تصادفی; primary, 34A34, 60H10; secondary, 30H25, 46N20, 46N30Besov regularity; Itô map; Paradifferential calculus; Rough differential equation; Stochastic differential equation; Young integration
On approximation of solutions of one-dimensional reflecting SDEs with discontinuous coefficients
Keywords: معادله دیفرانسیل تصادفی; 60H20; 60H99; 60F17; Stochastic differential equation; Reflecting boundary condition; Skorokhod problem;
Mean-square stability of analytic solution and Euler–Maruyama method for impulsive stochastic differential equations
Keywords: معادله دیفرانسیل تصادفی; Stochastic differential equation; Impulsive; Euler–Maruyama method; MS-stable
The truncated Euler–Maruyama method for stochastic differential equations
Keywords: معادله دیفرانسیل تصادفی; Stochastic differential equation; Local Lipschitz condition; Khasminskii-type condition; Truncated Euler–Maruyama method; Strong convergence
Explicit hard bounding functions for boundary value problems for elliptic partial differential equations
Keywords: معادله دیفرانسیل تصادفی; Elliptic partial differential equations; Mixed boundary condition; Reflected diffusion processes; Stopping time; Stochastic differential equation
PC analysis of stochastic differential equations driven by Wiener noise
Keywords: معادله دیفرانسیل تصادفی; Stochastic differential equation; Wiener noise; Polynomial chaos; Variance analysis
Varadhan estimates for rough differential equations driven by fractional Brownian motions
Keywords: معادله دیفرانسیل تصادفی; Fractional Brownian motion; Stochastic differential equation; Varadhan estimates; Rough path
The threshold of a stochastic SIRS epidemic model with saturated incidence
Keywords: معادله دیفرانسیل تصادفی; SIRS epidemic model; Stochastic differential equation; Extinction; Persistence; Threshold
p-Moment stability of solutions to stochastic differential equations driven by G-Brownian motion
Keywords: معادله دیفرانسیل تصادفی; Stochastic differential equation; G-Brownian motion; p-Moment stability; Lyapunov fucntion
Harnack inequalities for SDEs driven by subordinate Brownian motions
Keywords: معادله دیفرانسیل تصادفی; Harnack inequality; Gradient estimate; Subordinate Brownian motion; Time-change; Stochastic differential equation
Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition
Keywords: معادله دیفرانسیل تصادفی; primary; 60H07; secondary; 60H10; 62G07; Smoothness of density; Stochastic differential equation; Semi-monotone drift; Malliavin calculus; Hörmander condition;
Φ-entropy inequality and application for SDEs with jumps
Keywords: معادله دیفرانسیل تصادفی; Φ-entropy inequality; Exponential convergence; Poisson measure; Stochastic differential equation; Lévy process
Numerical solutions of regime-switching jump diffusions
Keywords: معادله دیفرانسیل تصادفی; Numerical solution; Stochastic differential equation; Random switching; Jump diffusion
On the small-time behaviour of Lévy-type processes
Keywords: معادله دیفرانسیل تصادفی; 60F15; 60G51; 60J35; 60J75Law of the iterated logarithm; Small-time asymptotic; Lévy process; Feller process; Lévy-type process; Symbol; Pseudo differential operator; Stochastic differential equation
Approximation of the Fokker–Planck equation of the stochastic chemostat
Keywords: معادله دیفرانسیل تصادفی; Chemostat; Stochastic differential equation; Fokker–Planck equation; Finite difference scheme
Asymptotic stability in the pth moment for stochastic differential equations with Lévy noise
Keywords: معادله دیفرانسیل تصادفی; Stochastic differential equation; Asymptotic stability in the pth moment; Lévy noise; Almost sure stability; Continuous in probability; Continuous in the pth moment
Adaptive test statistics for ergodic diffusion processes sampled at discrete times
Keywords: معادله دیفرانسیل تصادفی; primary 62M02; primary 62F05; secondary 60J60Consistent test; Discrete time observations; Likelihood ratio test; Maximum likelihood type estimator; Rao׳s score test; Stochastic differential equation; Wald test
Approximation of stationary solutions to SDEs driven by multiplicative fractional noise
Keywords: معادله دیفرانسیل تصادفی; 60G10; 60G15; 60H35; Stochastic differential equation; Fractional Brownian motion; Stationary process; Euler scheme;