Related papers: Hybrid Stochastic Functional Differential Equation…
This paper is devoted to order-one explicit approximations of random periodic solutions to multiplicative noise driven stochastic differential equations (SDEs) with non-globally Lipschitz coefficients. The existence of the random periodic…
The paper deals with a class of cooperative functional differential equations (FDEs) with infinite delay, for which sufficient conditions for persistence and permanence are established. Here, the persistence refers to all solutions with…
We present new algorithms and fast implementations to find efficient approximations for modelling stochastic processes. For many numerical computations it is essential to develop finite approximations for stochastic processes. While the…
We present an alternative proof for the existence of solutions of stochastic functional differential equations satisfying a global Lipschitz condition. The proof is based on an approximation scheme in which the continuous path dependence…
In this paper, we use a numerical method that involves hybrid and block-pulse functions to approximate solutions of systems of a class of Fredholm and Volterra integro-differential equations. The key point is to derive a new approximation…
In this paper, we study the existence of random periodic solutions for semilinear stochastic differential equations. We identify them as solutions of coupled forward-backward infinite horizon stochastic integral equations (IHSIEs), using…
We propose a delayed Mittag-Leffler type matrix function with logarithm, which is an extension of the classical Mittag-Leffler type matrix function with logarithm and delayed Mittag-Leffler type matrix function. With the help of the delayed…
For time-homogeneous stochastic differential equations (SDEs) it is enough to know that the coefficients are Lipschitz to conclude existence and uniqueness of a solution, as well as the existence of a strongly convergent numerical method…
Simulation of stochastic spatially-extended systems is a challenging problem. The fundamental quantities in these models are individual entities such as molecules, cells, or animals, which move and react in a random manner. In big systems,…
Inverse problems in scientific computing often require optimization over infinite-dimensional Hilbert spaces. A commonly used solver in such settings is stochastic gradient descent (SGD), where gradients are approximated using randomly…
We consider an infinite horizon, obliquely reflected backward stochastic differential equation (RBSDE). The main contribution of the present work is that we generalize previous results on infinite horizon reflected BSDEs to the setting…
In the underlying study it is shown how the linear method of the Yosida-approximation of the derivative applies to solve possibly nonlinear and multivalued functional differential equations like: \begin{eqnarray*} u^\prime(t) &\in&…
In the present study, a numerical method, perturbation-iteration algorithm (shortly PIA), have been employed to give approximate solutions of nonlinear fractional-integro differential equations (FIDEs). Comparing with the exact solution,…
We consider linear delay differential equations at the verge of Hopf instability, i.e. a pair of roots of the characteristic equation are on the imaginary axis of the complex plane and all other roots have negative real parts. When…
We consider several models of State Dependent Delay Differential Equations (SDDEs), in which the delay is affected by a small parameter. This is a very singular perturbation since the nature of the equation changes. Under some conditions,…
In the paper an efficient semi-analytical approach based on the method of steps and differential transformation is proposed for numerical approximation of solutions of retarded logistic models of delayed and neutral type, including models…
We study an approximation method to solve nonlinear multi-term fractional differential equations with initial conditions or boundary conditions. First, we transform the nonlinear multi-term fractional differential equations with initial…
There exists a huge number of numerical methods that iteratively construct approximations to the solution $y(x)$ of an ordinary differential equation (ODE) $y'(x)=f(x,y)$ starting from an initial value $y_0=y(x_0)$ and using a finite…
We introduce the deep multi-FBSDE method for robust approximation of coupled forward-backward stochastic differential equations (FBSDEs), focusing on cases where the deep BSDE method of Han, Jentzen, and E (2018) fails to converge. To…
A general and easy-to-code numerical method based on radial basis functions (RBFs) collocation is proposed for the solution of delay differential equations (DDEs). It relies on the interpolation properties of infinitely smooth RBFs, which…