Approximation for nonsmooth functionals of stochastic differential equations with irregular drift

... Perkins For other titles in this series, go to http://www.springer.com/series/602 Eckhard Platen r Nicola Bruti-Liberati Numerical Solution of Stochastic Differential Equations with Jumps in Finance ... (1.1.1) and tij ∈ T determines its probability E Platen, N Bruti-Liberati, Numerical Solution of Stochastic Differential Equations with Jumps in Finance,...

Ngày tải lên: 19/02/2014, 22:20

... results on existence of solutions for abstract measure functional differential equations There were some consideration on abstract measure delay differential equations [2] and perturbed abstract measure ... sufficient conditions for existence of solutions are less conservative An example is given to illustrate the effectiveness of our existence theorem of sol...

Ngày tải lên: 18/06/2014, 22:20

... differential equations with variable delays Proc Am Math Soc 136, 909–918 (2008) 19 Ardjouni, A, Djoudi, A: Fixed points and stability in linear neutral differential equations with variable delays ... TA: Stability by fixed point theory or Liapunov’s theory: a comparison Fixed Point Theory 4, 15–32 (2003) 10 Zhang, B: Fixed points and stability in di...

Ngày tải lên: 20/06/2014, 22:20

... 42:1353-1363 Yang Ch, Zhai Ch, Yan J: Positive solutions of the three-point boundary value problem for second order differential equations with an advanced argument Nonlinear Anal 2006, 65:2013-2023 Jankowski ... article as: Wang et al.: Positive solutions of the three-point boundary value problem for fractional-order differential equations...

Ngày tải lên: 21/06/2014, 03:20

... solution for a singular coupled system of nonlinear fractional differential equations Appl Math Comput 2004, 150:611-621 25 Su X: Boundary value problem for a coupled system of nonlinear fractional differential ... fractional differential equations in two dimensions with delay Abstr Appl Anal 2010, 2010:1-16 31 Kilbas AA, Srivastava HH, Trujillo JJ: The...

Ngày tải lên: 21/06/2014, 03:20

... Extremal solutions for certain type of fractional differential equations with maxima Rabha W Ibrahim Institute of Mathematical Sciences, University Malaya, ... the existence of extremal solutions for fractional differential equations with maxima Introduction Fractional calculus has become an exciting new mathematical method of solution of diverse problems...

Ngày tải lên: 21/06/2014, 17:20

... Volterra integral equation,” Fixed Point Theory and Applications, vol 2007, Article ID 57064, pages, 2007 J Luo, Fixed points and stability of neutral stochastic delay differential equations, ” ... Burton, Fixed points and stability of a nonconvolution equation,” Proceedings of the American Mathematical Society, vol 132, no 12, pp 3679–3687, 2004 T A Burton and T Fur...

Ngày tải lên: 21/06/2014, 23:20

... growth of the nonlinearity of f (t, p) in p Inspired by [21, 24, 25], in this paper, we investigate the following second-order impulsive nonlinear differential equations with periodic boundary value ... for second order impulsive differential equations, ” Applied Mathematics and Computation, vol 114, no 1, pp 51–59, 2000 [17] L Chen and J Sun, Nonlinear boundary...

Ngày tải lên: 22/06/2014, 19:20

... Perkins For other titles in this series, go to http://www.springer.com/series/602 Eckhard Platen r Nicola Bruti-Liberati Numerical Solution of Stochastic Differential Equations with Jumps in Finance ... (1.1.1) and tij ∈ T determines its probability E Platen, N Bruti-Liberati, Numerical Solution of Stochastic Differential Equations with Jumps in Finance,...

Ngày tải lên: 28/06/2014, 17:20

... Solution of Stochastic Differential Equations Springer [15] Kohatsu-Higa, A., Lejay, A and Yasuda, K (2012) On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient ... convergent rates of the Euler-Maruyama scheme for specific classes of stochastic differential equations with discontinuous drift The aim of the pre...

Ngày tải lên: 14/10/2015, 07:53

... U, Classification of solutions for a system of integral equations, Comm Partial Differential Equations 30 (20 05), pp 59–65 1, 26 30 31 32 33 34 35 36 SYSTEM OF INTEGRAL EQUATIONS VIA THE METHOD ... setting, Eq (1 .3) is associated with some fourth order partial differential equation since it simply becomes 25 (−∆ )2 u = u−q 20 21 22 23 26 2...

Ngày tải lên: 14/10/2015, 07:54

... convergence of strong error of EM type approximation schemes for stochastic functional differential equations, e.g in [10], [13], [12], [1], [7], [8] for stochastic differential delay equations, ... functional differential equations with distributed memory term, Monte Carlo Methods Appl 3-4 (2004) 235-244 [3] E Buckwar, One-step approximations for stochastic...

Ngày tải lên: 14/10/2015, 07:55

... Solution of Stochastic Differential Equations Springer Ngo, H-L and Taguchi, D (2013) Strong rate of convergence for the EulerMaruyama approximation of stochastic differential equations with irregular ... extensive studies on the strong approximations of SDE (1.1) with non-Lipschitz coefficients The rates of Euler-Maruyama scheme for SDEs with H¨olde...

Ngày tải lên: 14/10/2015, 07:58

... representation for characteristic functionals of stable random measures 39 [9] A R Soltani and S Mahmoodi, Characterization of multidimensional stable random measures by means of vector measures, ... A (.) = exp{− A k(., y)µ(dy)} is a characteristic functional Let Φ (A) be an X -valued random vector with characteristic functional A representation...

Ngày tải lên: 14/11/2015, 08:03