Modeling with Itô Stochastic Differential Equations
By Edward J. Allen. 2007
400 citations recorded by the source corpus.
Subfields: Finance, Management Information Systems, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/79eeca448e7ab25d8a71c8f95addc2fca408b5db
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Linda J. S. Allen
- Armando Arciniega
- Priscilla E. Greenwood
- Partha Sarathi Mandal
- Malay Banerjee
- Edward J. Allen
In Management Information Systems
In Statistics and Probability
Citations in the corpus
- Stochastic persistence and stationary distribution in a Holling–Tanner type prey–predator model (2012, background): “The available stochastic formalisms can be divided into two broad classes, one of them is known as discrete or continuous time Markov Chain modeling (see [45–50]) and other is the noise added systems [28, 51–65].”
- Construction of Equivalent Stochastic Differential Equation Models (2008, methodology): “Also, for the first procedure, similarities are straightforward to obtain between the forward Kolmogorov differential equations satisfied by the probability distributions of the discreteand continuous-time stochastic models and these similarities alow one to infer an Itô SDE model from the discrete ”
- Environmental variability and mean-reverting processes (2016, background): “, [3, 4, 5, 6, 8, 10, 18, 21, 23]), it is assumed that changes in the environment produce random changes in a population’s per capita birth and death rates that are independent from the changes due to demographic variability.”