Generalized Brownian functionals and the solution to a stochastic partial differential equation

Numerical Solution of Heun Equation Via Linear Stochastic Differential Equation

In this paper, we intend to solve special kind of ordinary differential equations which is called Heun equations, by converting to a corresponding stochastic differential equation(S.D.E.). So, we construct a stochastic linear equation system from this equation which its solution is based on computing fundamental matrix of this system and then, this S.D.E. is solved by numerically methods. Moreo...

Existence and Measurability of the Solution of the Stochastic Differential Equations Driven by Fractional Brownian Motion

Taylor expansion for the solution of a stochastic differential equation driven by fractional Brownian motions

We study the Taylor expansion for the solution of a differential equation driven by a multi-dimensional Hölder path with exponent β > 1/2. We derive a convergence criterion that enables us to write the solution as an infinite sum of iterated integrals on a nonempty interval. We apply our deterministic results to stochastic differential equations driven by fractional Brownian motions with Hurst ...

existence and measurability of the solution of the stochastic differential equations driven by fractional brownian motion

numerical solution of heun equation via linear stochastic differential equation

in this paper, we intend to solve special kind of ordinary differential equations which is called heun equations, by converting to a corresponding stochastic differential equation(s.d.e.). so, we construct a stochastic linear equation system from this equation which its solution is based on computing fundamental matrix of this system and then, this s.d.e. is solved by numerically methods. mo...