نتایج جستجو برای: stochastic partial differential equations of itˆo type

تعداد نتایج: 21328885  

Journal: :international journal of nonlinear analysis and applications 0
zahra sadati department of mathematics, khomein branch, islamic azad university, khomein, iran

this paper presents an approach for solving a nonlinear stochastic differential equations (nsdes) using a new basis functions (nbfs). these functions and their operational matrices areused for representing matrix form of the nbfs. with using this method in combination with the collocation method, the nsdes are reduced a stochastic nonlinear system of equations and unknowns. then, the error anal...

Journal: :Stochastics and Partial Differential Equations: Analysis and Computations 2019

Journal: :Journal of Dynamics and Differential Equations 2013

Journal: :Siam Journal on Control and Optimization 2021

We extend Peng's maximum principle for semilinear stochastic partial differential equations (SPDEs) in one space-dimension with non-convex control domains and control-dependent diffusion coefficients to the case of general cost functionals Nemytskii-type coefficients. Our analysis is based on a new approach characterization second order adjoint state as solution function-valued backward SPDE.

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