Stochastic Homogenization of Reflected Stochastic Differential Equations

Application of DJ method to Ito stochastic differential equations

‎This paper develops iterative method described by [V‎. ‎Daftardar-Gejji‎, ‎H‎. ‎Jafari‎, ‎An iterative method for solving nonlinear functional equations‎, ‎J‎. ‎Math‎. ‎Anal‎. ‎Appl‎. ‎316 (2006) 753-763] to solve Ito stochastic differential equations‎. ‎The convergence of the method for Ito stochastic differential equations is assessed‎. ‎To verify efficiency of method‎, ‎some examples are ex...

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

Stochastic differential equations and integrating factor

The aim of this paper is the analytical solutions the family of rst-order nonlinear stochastic differentialequations. We dene an integrating factor for the large class of special nonlinear stochasticdierential equations. With multiply both sides with the integrating factor, we introduce a deterministicdierential equation. The results showed the accuracy of the present work.

APPROXIMATION OF STOCHASTIC PARABOLIC DIFFERENTIAL EQUATIONS WITH TWO DIFFERENT FINITE DIFFERENCE SCHEMES

We focus on the use of two stable and accurate explicit finite difference schemes in order to approximate the solution of stochastic partial differential equations of It¨o type, in particular, parabolic equations. The main properties of these deterministic difference methods, i.e., convergence, consistency, and stability, are separately developed for the stochastic cases.

Stochastic differential inclusions of semimonotone type in Hilbert spaces

In this paper, we study the existence of generalized solutions for the infinite dimensional nonlinear stochastic differential inclusions $dx(t) in F(t,x(t))dt +G(t,x(t))dW_t$ in which the multifunction $F$ is semimonotone and hemicontinuous and the operator-valued multifunction $G$ satisfies a Lipschitz condition. We define the It^{o} stochastic integral of operator set-valued stochastic pr...