نتایج جستجو برای: stochastic dierential equations
تعداد نتایج: 351266 فیلتر نتایج به سال:
This paper is concerned with rational matrix equations occuring in stochastic control that play an analogous role as the algebraic Riccati equation does in deterministic control. We will therefore sometimes refer to these equations as stochastic (algebraic) Riccati equations. A first rigorous treatment of a stochastic Riccati equation from LQ-control theory seems to have been undertaken by Wonh...
The paper introduces a new class of numerical schemes for the approximate solutions of stochastic pantograph equations. As an effective technique to implement implicit stochastic methods, strong predictor-corrector methods (PCMs) are designed to handle scenario simulation of solutions of stochastic pantograph equations. It is proved that the PCMs are strong convergent with order 1 2 . Linear MS...
Image restoration has been an active research area. Dierent formulations are eective in high qualityrecovery. Partial Dierential Equations (PDEs) have become an important tool in image processingand analysis. One of the earliest models based on PDEs is Perona-Malik model that is a kindof anisotropic diusion (ANDI) lter. Anisotropic diusion lter has become a valuable tool indierent elds of image...
In this paper we established the condition for a curve to satisfy stochastic generalized fractional HP (Hamilton-Pontryagin) equations. These equations are described using Itô integral. We have also considered the case of stochastic generalized fractional Hamiltonian equations, for a hyperregular Lagrange function. From the stochastic generalized fractional Hamiltonian equations, Langevin gener...
in this paper, using a generalized translation operator, we prove theestimates for the generalized fourier-bessel transform in the space l2 on certainclasses of functions.
In stochastic volatility models, European option prices are solutions to parabolic differential equations. In this paper we propose a finite difference scheme for solving these equations numerically. We prove the stability and convergence of this method in norm infinity. Then we use the ADL method to separate the operators, this allows us to apply Thomas algorithm to solve the corresponding lin...
In this study, by applyig a combination of Autoregressive Conditional Heteroskedasticity and stochastic differential equations Models with Markowitz model we estimate the optimal portfolio investment in the housing market are discussed. For this purpose, use of assets, stock prices, housing prices, the price of coins and bonds during the period 1999-2013 with the monthly data. Autoregre...
We investigate stochastic Volterra equations and their limiting laws. The we consider are driven by a Hilbert space valued \Levy noise integration kernels may have non-linear dependence on the current state of process. Our method is based an embedding into functions which allows to represent solution equation as boundary value partial differential equation. first gather abstract results give mo...
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