The stochastic Galerkin finite element method (SGFEM) provides an efficient alternative to traditional sampling methods for the numerical solution of linear elliptic partial differential equations ...

Biological processes measured repeatedly among a series of individuals are standardly analyzed by mixed models. Recently, stochastic processes have been introduced to model the variability along time for each subject. Although the likelihood of these stochastic mixed models is intractable, various estimation methods have been proposed when the latent stochastic process is a discrete time finite...

This work is concerned with existence of weak solutions to discontinuous stochastic differential equations driven by multiplicative Gaussian noise and sliding mode control dynamics generated by stochastic differential equations with variable structure, that is with jump nonlinearity. The treatment covers the finite dimensional stochastic systems and the stochastic diffusion equation with multip...

For undiscounted two-person zero-sum communicating stochastic games with finite state and action spaces, a solution procedure is proposed that exploits the communication property, i.e., working with irreducible games over restricted strategy spaces. The proposed procedure gives the value of the communicating game with an arbitrarily small error when the value is independent of the initial state.