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(2)
Numerical Solution
Stochastic Differential Equation
Related Publications
(113)
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Numerical solution of stochastic differential equations
Numerical solution of stochastic differential equations,P. E. Kloeden,E. Platen
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Numerical solution of stochastic differential equations
(
Citations: 1795
)
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P. E. Kloeden
,
E. Platen
Published in 1992.
Cumulative
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Citation Context
(775)
...These signals do not exist in any meaningful sense (the variances are infinite) but are a useful heuristic tool [2,9,
11
]...
Graham C. Goodwin
,
et al.
Variance or spectral density in sampled data filtering?
...This case is interesting because Equation (2), describing the time variation of the number of ligands adsorbed on DNA at small filling, turns into the more general equation for arbitrary filling of DNA by ligands (Kloeden & Platen,
1992
)...
Valeri Arakelyan
,
et al.
Isotherm of ligand adsorption on DNA at multiplicative noise
...18) are EulerMaruyama approximations [
12
,
16
,
17
] to the systems of It
Ummugul Bulut
,
et al.
Derivation of SPDEs for Correlated Random Walk Transport Models in One...
...The synthetic data are generated by a Euler–Maruyama discretization scheme (see Kloeden and Platen
1999
)...
Hamad Alsayed
,
et al.
Optimal portfolio selection in nonlinear arbitrage spreads
...referred to as a subclass of diffusion processes whose diffusion term D is independent of state x (
Klöden and Platen 1992
)...
...1 .I n this work the continuoustime SDE is discretised using an explicit Euler‐Maruyama scheme (
Klöden and Platen 1992
)...
Yuan Shen
,
et al.
Variational Markov chain Monte Carlo for Bayesian smoothing of nonlin...
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Citations
(1795)
Variance or spectral density in sampled data filtering?
(
Citations: 3
)
Graham C. Goodwin
,
Juan I. Yuz
,
Mario E. Salgado
,
Juan C. Agüero
Journal:
Journal of Global Optimization
, pp. 117, 2012
Fast continuous‐discrete DAF‐filters
(
Citations: 1
)
Thomas Mazzoni
Journal:
Journal of Time Series Analysis  J TIME SER ANAL
, 2012
A Multiresolution Method for Parameter Estimation of Diffusion Processes
S. C. Kou
,
Benjamin P. Olding
,
Martin Lysy
,
Jun S. Liu
Journal:
Journal of The American Statistical Association  J AMER STATIST ASSN
, vol. justaccep, no. justaccep, 2012
Isotherm of ligand adsorption on DNA at multiplicative noise
Valeri Arakelyan
,
Sos Harutyunyan
,
Vardan Andriasyan
,
Hakob Arakelyan
Journal:
Journal of Biomolecular Structure & Dynamics  J BIOMOL STRUCT DYN
, vol. 30, no. 2, pp. 217222, 2012
Derivation of SPDEs for Correlated Random Walk Transport Models in One and Two Dimensions
Ummugul Bulut
,
Edward J. Allen
Journal:
Stochastic Analysis and Applications  STOCHASTIC ANAL APPL
, vol. 30, no. 4, pp. 553567, 2012