Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations

Existence and Measurability of the Solution of the Stochastic Differential Equations Driven by Fractional Brownian Motion

The Effects of Different SDE Calculus on Dynamics of Nano-Aerosols Motion in Two Phase Flow Systems

Langevin equation for a nano-particle suspended in a laminar fluid flow was analytically studied. The Brownian motion generated from molecular bombardment was taken as a Wiener stochastic process and approximated by a Gaussian white noise. Euler-Maruyama method was used to solve the Langevin equation numerically. The accuracy of Brownian simulation was checked by performing a series of simulati...

A wavelet method for stochastic Volterra integral equations and its application to general stock model

In this article,we present a wavelet method for solving stochastic Volterra integral equations based on Haar wavelets. First, we approximate all functions involved in the problem by Haar Wavelets then, by substituting the obtained approximations in the problem, using the It^{o} integral formula and collocation points then, the main problem changes into a system of linear or nonlinear equation w...

Computational Method for Fractional-Order Stochastic Delay Differential Equations

Dynamic systems in many branches of science and industry are often perturbed by various types of environmental noise. Analysis of this class of models are very popular among researchers. In this paper, we present a method for approximating solution of fractional-order stochastic delay differential equations driven by Brownian motion. The fractional derivatives are considered in the Caputo sense...

Stability theorem for stochastic differential equations driven by G-Brownian motion

In this paper, stability theorems for stochastic differential equations and backward stochastic differential equations driven by G-Brownian motion are obtained. We show the existence and uniqueness of solutions to forward-backward stochastic differential equations driven by G-Brownian motion. Stability theorem for forward-backward stochastic differential equations driven by G-Brownian motion is...