Approximation for nonsmooth functionals of stochastic differential equations with irregular drift
Tài liệu Numerical Solution of Stochastic Differential Equations with Jumps in Finance pdf
... Perkins For other titles in this series, go to http://www.springer.com/series/602 Eckhard Platen r Nicola Bruti-Liberati Numerical Solution of Stochastic Differential Equations with Jumps in Finance ... (1.1.1) and tij ∈ T determines its probability E Platen, N Bruti-Liberati, Numerical Solution of Stochastic Differential Equations with Jumps in Finance, Stochastic Modelling and Applied Probability ... uniqueness of solutions of SDEs These tools and results provide the basis for the application and numerical solution of stochastic differential equations with jumps 1.1 Stochastic Processes Stochastic...
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Báo cáo sinh học: " Existence of solutions for perturbed abstract measure functional differential equations" pot
... results on existence of solutions for abstract measure functional differential equations There were some consideration on abstract measure delay differential equations [2] and perturbed abstract measure ... sufficient conditions for existence of solutions are less conservative An example is given to illustrate the effectiveness of our existence theorem of solutions Introduction Abstract measure differential ... theorem and the fixed point theorem, we give sufficient conditions for existence of a solutions for a class of perturbed abstract measure functional differential equations Our system includes the systems...
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Báo cáo hóa học: " New criteria for stability of neutral differential equations with variable delays by fixed points method" docx
... differential equations with variable delays Proc Am Math Soc 136, 909–918 (2008) 19 Ardjouni, A, Djoudi, A: Fixed points and stability in linear neutral differential equations with variable delays ... TA: Stability by fixed point theory or Liapunov’s theory: a comparison Fixed Point Theory 4, 15–32 (2003) 10 Zhang, B: Fixed points and stability in differential equations with variable delays ... nonlinear differential equations with unbounded delays Georg Math J 13(1):25–34 (2006) doi:10.1186/1687-1847-2011-48 Cite this article as: Zhao: New criteria for stability of neutral differential equations...
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Báo cáo hóa học: " Positive solutions of the three-point boundary value problem for fractional-order differential equations with an advanced argument" ppt
... 42:1353-1363 Yang Ch, Zhai Ch, Yan J: Positive solutions of the three-point boundary value problem for second order differential equations with an advanced argument Nonlinear Anal 2006, 65:2013-2023 Jankowski ... article as: Wang et al.: Positive solutions of the three-point boundary value problem for fractional-order differential equations with an advanced argument Advances in Difference Equations 2011 ... p-Laplacian boundary value problems with advanced arguments Appl Math Comput 2009, 215:125-131 Jankowski T: Solvability of three point boundary value problems for second order differential equations with...
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Báo cáo hóa học: " Positive solutions for a coupled system of nonlinear differential equations of mixed fractional orders" pot
... solution for a singular coupled system of nonlinear fractional differential equations Appl Math Comput 2004, 150:611-621 25 Su X: Boundary value problem for a coupled system of nonlinear fractional differential ... fractional differential equations in two dimensions with delay Abstr Appl Anal 2010, 2010:1-16 31 Kilbas AA, Srivastava HH, Trujillo JJ: Theory and Applications of Fractional Differential Equations ... of solutions for coupled systems of higher-order nonlinear fractional differential equations Fixed Point Theory Appl 2010, 2010:1-17 30 Babakhani A: Positive solutions for system of nonlinear fractional...
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báo cáo hóa học:" Extremal solutions for certain type of fractional differential equations with maxima" pptx
... Extremal solutions for certain type of fractional differential equations with maxima Rabha W Ibrahim Institute of Mathematical Sciences, University Malaya, ... the existence of extremal solutions for fractional differential equations with maxima Introduction Fractional calculus has become an exciting new mathematical method of solution of diverse problems ... Distribution of the zeros of the solutions of hyperbolic differential equations with maxima Rocky Mt J Math 37(4) (2007) 1271–1281 12 Otrocol, D, Rus, IA: Functional differential equations with maxima of...
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Báo cáo hóa học: " Research Article Fixed Points and Stability in Neutral Stochastic Differential Equations with Variable Delays" pot
... Volterra integral equation,” Fixed Point Theory and Applications, vol 2007, Article ID 57064, pages, 2007 J Luo, Fixed points and stability of neutral stochastic delay differential equations, ” ... Burton, Fixed points and stability of a nonconvolution equation,” Proceedings of the American Mathematical Society, vol 132, no 12, pp 3679–3687, 2004 T A Burton and T Furumochi, Fixed points and ... Journal of Mathematical Analysis and Applications, vol 334, no 1, pp 431–440, 2007 B Zhang, Fixed points and stability in differential equations with variable delays,” Nonlinear Analysis, vol 63, no...
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Báo cáo hóa học: " Research Article Existence of Solutions for Second-Order Nonlinear Impulsive Differential Equations with Periodic Boundary Value Conditions" potx
... growth of the nonlinearity of f (t, p) in p Inspired by [21, 24, 25], in this paper, we investigate the following second-order impulsive nonlinear differential equations with periodic boundary value ... for second order impulsive differential equations, ” Applied Mathematics and Computation, vol 114, no 1, pp 51–59, 2000 [17] L Chen and J Sun, Nonlinear boundary value problem of first order impulsive ... Impulsive periodic boundary value problems of first-order differential equations, ” Journal of Mathematical Analysis and Applications, vol 325, no 1, pp 226–236, 2007 [23] J J Nieto, Periodic boundary value...
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Numerical Solution of Stochastic Differential Equations with Jumps in Finance docx
... Perkins For other titles in this series, go to http://www.springer.com/series/602 Eckhard Platen r Nicola Bruti-Liberati Numerical Solution of Stochastic Differential Equations with Jumps in Finance ... (1.1.1) and tij ∈ T determines its probability E Platen, N Bruti-Liberati, Numerical Solution of Stochastic Differential Equations with Jumps in Finance, Stochastic Modelling and Applied Probability ... uniqueness of solutions of SDEs These tools and results provide the basis for the application and numerical solution of stochastic differential equations with jumps 1.1 Stochastic Processes Stochastic...
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Approximation for nonsmooth functionals of stochastic differential equations with irregular drift
... Solution of Stochastic Differential Equations Springer [15] Kohatsu-Higa, A., Lejay, A and Yasuda, K (2012) On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient ... convergent rates of the Euler-Maruyama scheme for specific classes of stochastic differential equations with discontinuous drift The aim of the present paper is to investigate the weak order of the Euler-Maruyama ... Rate of convergence of the Euler approximation for diffusion processes Math Nachr., 151 , 233–239 [24] Milstein, G.N (1985) Weak approximatoin of solutions of systems of stochastic differential equations...
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CLASSIFICATION OF SOLUTIONS FOR A SYSTEM OF INTEGRAL 2 EQUATIONS WITH NEGATIVE EXPONENTS VIA THE METHOD OF 3 MOVING SPHERES
... U, Classification of solutions for a system of integral equations, Comm Partial Differential Equations 30 (20 05), pp 59–65 1, 26 30 31 32 33 34 35 36 SYSTEM OF INTEGRAL EQUATIONS VIA THE METHOD ... setting, Eq (1 .3) is associated with some fourth order partial differential equation since it simply becomes 25 (−∆ )2 u = u−q 20 21 22 23 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 (1.5) ... solving systems of integral equations As far as we know, this is the first attempt to use the method of moving spheres for systems (with negative exponents) 16 17 18 19 20 21 22 23 24 25 26 27 28 ...
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Strong approximation for non Lipschitz stochastic functional differential equations with distributed delays
... convergence of strong error of EM type approximation schemes for stochastic functional differential equations, e.g in [10], [13], [12], [1], [7], [8] for stochastic differential delay equations, ... functional differential equations with distributed memory term, Monte Carlo Methods Appl 3-4 (2004) 235-244 [3] E Buckwar, One-step approximations for stochastic functional differential equations, Appl ... Myshkis, Applied theory of functional differential equations, Springer, 1992 [10] U K¨ uchler, E Platen, Strong discrete time approximation of stochastic differential equations with time delay, Math...
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Strong Rate of Tamed EulerMaruyama Approximation for Stochastic Differential Equations with H¨older Continuous Diffusion Coefficient
... Solution of Stochastic Differential Equations Springer Ngo, H-L and Taguchi, D (2013) Strong rate of convergence for the EulerMaruyama approximation of stochastic differential equations with irregular ... extensive studies on the strong approximations of SDE (1.1) with non-Lipschitz coefficients The rates of Euler-Maruyama scheme for SDEs with H¨older continuous diffusion coefficients have been ... drift coefficient; • Showing the strong convergence (in Lp sense) of the tamed EulerMaruyama approximation for these SDEs; • Obtaining the order of these approximation errors The rest of the...
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A representation for characteristic functionals of stable random measures with values in sazonov spaces
... representation for characteristic functionals of stable random measures 39 [9] A R Soltani and S Mahmoodi, Characterization of multidimensional stable random measures by means of vector measures, ... A (.) = exp{− A k(., y)µ(dy)} is a characteristic functional Let Φ (A) be an X -valued random vector with characteristic functional A representation for characteristic functionals of stable random ... F into L0X (Ω) is a stable random measure if A representation for characteristic functionals of stable random measures 29 (I) Φ(Ø) = with probability (II) For every choice of A1 , · · · , An...
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