Stability of stochastic partial differential equation
نویسندگان
چکیده
منابع مشابه
Numerical Solution of Heun Equation Via Linear Stochastic Differential Equation
In this paper, we intend to solve special kind of ordinary differential equations which is called Heun equations, by converting to a corresponding stochastic differential equation(S.D.E.). So, we construct a stochastic linear equation system from this equation which its solution is based on computing fundamental matrix of this system and then, this S.D.E. is solved by numerically methods. Moreo...
متن کاملSolving Fuzzy Partial Differential Equation by Differential Transformation Method
Normal 0 false false false ...
متن کاملPartial Differential Equation Pricing of Contingent Claims under Stochastic Correlation
In this paper, we study a partial differential equation (PDE) framework for option pricing where the underlying factors exhibit stochastic correlation, with an emphasis on computation. We derive a multi-dimensional time-dependent PDE for the corresponding pricing problem, and present a numerical PDE solution. We prove a stability result, and study numerical issues regarding the boundary conditi...
متن کاملStationary Solutions of Stochastic Differential Equation with Memory and Stochastic Partial Differential Equations
We explore Itô stochastic differential equations where the drift term has possibly infinite dependence on the past. Assuming the existence of a Lyapunov function, we prove the existence of a stationary solution assuming only minimal continuity of the coefficients. Uniqueness of the stationary solution is proved if the dependence on the past decays sufficiently fast. The results of this paper ar...
متن کاملThe Exponential Stability of Neutral Stochastic Delay Partial Differential Equations
In this paper we analyse the almost sure exponential stability and ultimate boundedness of the solutions to a class of neutral stochastic semilinear partial delay differential equations. This kind of equations arises in problems related to coupled oscillators in a noisy environment, or in viscoeslastic materials under random or stochastic influences.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Mathematical Analysis and Applications
سال: 1981
ISSN: 0022-247X
DOI: 10.1016/0022-247x(81)90031-7