Related papers: Numerical Solution of Fuzzy Stochastic Differentia…
In this paper we describe a method to solve the linear non-homogeneous fractional differential equations (FDE), composed with Jumarie type Fractional Derivative, and describe this method developed by us, to find out Particular Integrals,…
Developing analytical methods for solving fractional partial differential equations (FPDEs) is an active area of research. Especially finding exact solutions of FPDEs is a challenging task. In the present paper we extend Sumudu transform…
In this paper we present a scheme for the numerical solution of one-dimensional stochastic differential equations (SDEs) whose drift belongs to a fractional Sobolev space of negative regularity (a subspace of Schwartz distributions). We…
A new, improved split-step backward Euler (SSBE) method is introduced and analyzed for stochastic differential delay equations(SDDEs) with generic variable delay. The method is proved to be convergent in mean-square sense under conditions…
The numerical solution of differential equations can be formulated as an inference problem to which formal statistical approaches can be applied. However, nonlinear partial differential equations (PDEs) pose substantial challenges from an…
Polynomial stability of exact solution and modified truncated Euler-Maruyama method for stochastic differential equations with time-dependent delay are investigated in this paper. By using the well known discrete semimartingale convergence…
High-dimensional partial differential equations (PDE) appear in a number of models from the financial industry, such as in derivative pricing models, credit valuation adjustment (CVA) models, or portfolio optimization models. The PDEs in…
We consider the numerical approximation of a general second order semi--linear parabolic stochastic partial differential equation (SPDE) driven by additive space-time noise. We introduce a new modified scheme using a linear functional of…
In this paper, we consider stochastic differential equations whose drift coefficient is superlinearly growing and piece-wise continuous, and whose diffusion coefficient is superlinearly growing and locally H\"older continuous. We first…
Probabilistic ordinary differential equation (ODE) solvers have been introduced over the past decade as uncertainty-aware numerical integrators. They typically proceed by assuming a functional prior to the ODE solution, which is then…
We study the convergence of a generic tamed Euler-Maruyama (EM) scheme for the kinetic type stochastic differential equations (SDEs) (also known as second order SDEs) with singular coefficients in both weak and strong probabilistic senses.…
Modeling stochastic differential equations (SDEs) is crucial for understanding complex dynamical systems in various scientific fields. Recent methods often employ neural network-based models, which typically represent SDEs through a…
To study the nonlinear properties of complex natural phenomena, the evolution of the quantity of interest can be often represented by systems of coupled nonlinear stochastic differential equations (SDEs). These SDEs typically contain…
In this paper, We study the stability of solutions of fuzzy differential equations by Lyapunov's second method. By using scale equations and comparison principle for Lyapunov - like functions, we give some sufficient criterias for the…
The introduction of Fuzzy Relational Equations (FREs) has made problems that were unsolvable using algebraic linear equations into solvable ones. FREs have been applied to problemsin medicine, industry, transportation and all types of…
In this paper we consider multi-dimensional partial differential equations of parabolic type involving divergence form operators that possess a discontinuous coefficient matrix along some smooth interface. The solution of the equation is…
On this thesis we present the fuzzy sets, fuzzy numbers, the fractional derivative and also we discuss the solution of the first order of fuzzy hybrid equation.
This paper proposes a numerical method for pricing foreign exchange (FX) options in a model which deals with stochastic interest rates and stochastic volatility of the FX rate. The model considers four stochastic drivers, each represented…
This paper presents a novel approach for numerical solution of a class of fourth order time fractional partial differential equations (PDE's). The finite difference formulation has been used for temporal discretization, whereas, the space…
In this paper, we solve stochastic partial differential equations (SPDEs) numerically by using (possibly random) neural networks in the truncated Wiener chaos expansion of their corresponding solution. Moreover, we provide some…