Search Results - "stochastic differential equation"

On the long-time integration of stochastic gradient systems by Leimkuhler, B., Matthews, C., Tretyakov, M.V.

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A numerical study for a mining project using real options valuation under commodity price uncertainty by Haque, M, Topal, Erkan, Lilford, Eric

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Conjugate duality in stochastic controls with delay by Wang, Zimeng, Hodge, David J., Le, Huiling

Subjects: “…Anticipated backward stochastic differential equation; Conjugate convex function; Stochastic delay differential equation; Stochastic maximum principle; Stochastic optimal control with delay…”
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Topics in financial and computational mathematics by Maurer, Simon

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Random walks for solving Robin boundary value problems and sampling in a bounded domain by Sharma, Akash

Subjects: “…stochastic differential equations…”
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Contributions to Stein's method on Riemannian manifolds by Lewis, Alexander

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Modeling and pricing financial assets under long memory processes by Misiran, Masnita

Subjects: “…stochastic differential equations (SDEs)…”
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Geometric integrator for Langevin systems with quaternion-based rotational degrees of freedom and hydrodynamic interactions by Davidchack, R.L., Ouldridge, T.E., Tretyakov, M.V.

Subjects: “…rigid body dynamics; quaternions; hydrodynamic interactions; Stokesian dynamics; canonical ensemble; Langevin equations; stochastic differential equations; weak approximation; ergodic limits; stochastic geometric integrators…”
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Layer methods for stochastic Navier–Stokes equations using simplest characteristics by Milstein, G.N., Tretyakov, M.V.

Subjects: “…Weak Approximation of Stochastic Differential Equations and Layer Mathods…”
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Estimation of parameters in mean-reverting stochastic systems by Tian, T., Zhou, Y., Wu, Yong Hong, Ge, X.

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