Stochastic Differential Equations And Applications

By J. Fuerst. 2016

1,819 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/f986706dbfc365d4f5acedd682bd4139c68021de

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Citations in the corpus

Nonlinear elliptic systems and mean-field games (2016, methodology): “This is usually based on the solution of a strongly coupled system of N Hamilton-Jacobi-Bellman (briefly, HJB) equations, the system (54) in Section 3.1, following a classical observation of Friedman [32].”
Invariant measures of stochastic delay lattice systems (2021, background): “, [30, 31, 36, 56, 57] for deterministic delay equations, and [11, 12, 13, 27, 28, 37, 46, 49, 50, 51, 54, 58, 59, 64, 65, 66] for stochastic delay equations.”
The Mathematical Theories of Diffusion: Nonlinear and Fractional Diffusion (2017, background): “Proofs are due to Kamin and Friedman [128] for compactly supported solutions, and the author (2001) in full generality.”
Semi Log-Concave Markov Diffusions (2013, background): “For all this see [27], in particular Theorem 5.”
Existence and Hyers-Ulam stability of random impulsive stochastic functional differential equations with finite delays (2018, background): “Integrating stochastic process into mathematical models yields a better understanding of the corresponding real-world system [15].”
Model Predictive Path Integral Control using Covariance Variable Importance Sampling (2015, methodology): “The key idea in this framework is that the value function for the optimal control problem is transformed using the Feynman-Kac lemma [2], [8] into an expectation over all possible trajectories, which is known as a path integral.”
Large deviations for neutral functional SDEs with jumps (2015, background): “This kind of equation has also been utilized to model some evolution phenomena arising in physics, biology and engineering, see, e.g. Kolmanovskii and Nosov [15] for the theory in aeroelasticity, Mao [18] for the collision problem in electrodynamics, Slemrod [27] for the oscillatory systems.”
Review on computational methods for Lyapunov functions (2015, methodology): “To name a few, a Lyapunov-like theory for the stability of stochastic differential equations has been developed in Arnold 1974 [13], Mao 2008 [161], and Khasminskii 2012 [135].”