Related papers: Hybrid Stochastic Functional Differential Equation…
In this paper we consider the computation of H-infinity norm of retarded time-delay systems with discrete pointwise state delays. It is well known that in the finite dimensional case H-infinity norm of a system is computed using the…
This paper proposes an adaptive numerical method for stochastic delay differential equations (SDDEs) with a non-global Lipschitz drift term and a non-constant delay, building upon the work of Wei Fang and others. The method adapts the step…
We leverage commutative hypercomplex analysis to find closed-form solutions of some systems of stochastic differential equations. Specifically, we obtain necessary and sufficient conditions under which a system of stochastic differential…
In this paper we aim to find the stationary stochastic viscosity solutions of a parabolic type SPDEs through the infinite horizon backward doubly stochastic differential equations (BDSDEs). For this, we study the existence, uniqueness and…
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…
In this paper, we will investigate the moment exponential stabilization of highly nonlinear hybrid stochastic differential delay equations. A periodically intermittent controller based on discrete time state observations with asynchronous…
This paper deals with the \emph{integral} version of the Dirichlet homogeneous fractional Laplace equation. For this problem weighted and fractional Sobolev a priori estimates are provided in terms of the H\"older regularity of the data. By…
The numerical solution methods for partial differential equation (PDE) solution allow obtaining a discrete field that converges towards the solution if the method is applied to the correct problem. Nevertheless, the numerical methods…
This paper shows how to build a formal analytical solution for a differential equation of arbitrary order and with variable coefficients. It proofs that the most known approximated solutions for such a problem can be derived from the…
Parameter estimation for non-stationary stochastic differential equations (SDE) with an arbitrary nonlinear drift, and nonlinear diffusion is accomplished in combination with a non-parametric clustering methodology. Such a model-based…
Many stochastic differential equations (SDEs) in the literature have a superlinearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler-Maruyama approximation method…
In this paper we address the existence, uniqueness and approximation of solutions of delay differential equations (DDEs) with Carath\'eodory type right-hand side functions. We provide construction of randomized Euler scheme for DDEs and…
This article is devoted to the study of solutions of non-homogenous linear differential equations having entire coefficients. We get all non-trivial solutions of infinite order of equation $f^{(n)}+a_{n-1}(z)f^{(n-1)}+\ldots…
One of the major challenges of contemporary mathematics is numerical solving of various problems for functional differential equations (FDE), in particular Cauchy problem for delayed and neutral differential equations. Recently large…
We obtain estimates in simultaneous approximation for a summation-integral type genuine hybrid operator. The convergence of derivatives of operator to the corresponding derivatives of the functions is proved and estimates for rate of…
This paper introduces a new approximation scheme for solving high-dimensional semilinear partial differential equations (PDEs) and backward stochastic differential equations (BSDEs). First, we decompose a target semilinear PDE (BSDE) into…
In this paper we investigate the numerical solution of stochastic partial differential equations (SPDEs) for a wider class of stochastic equations. We focus on non-diagonal colored noise instead of the usual space-time white noise. By…
It is shown that the solution maps of an abstract functional differential equations (FDEs) are $\alpha$-contractions in the phase space equipped with an equivalent norm under appropriate assumptions. This result can be applied to…
Conventional finite-difference schemes for solving partial differential equations are based on approximating derivatives by finite-differences. In this work, an alternative theory is proposed which view finite-difference schemes as…
The numerical analysis of stochastic parabolic partial differential equations of the form $$ du + A(u) = f \,dt + g \, dW, $$ is surveyed, where $A$ is a partial operator and $W$ a Brownian motion. This manuscript unifies much of the theory…