Temat: approximate schemes - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Computer simulation of a nonlinear model for electrical circuits with α-stable noise
Autorzy:: Janicki, Aleksander
Powiązania:: https://bibliotekanauki.pl/articles/1340385.pdf
Data publikacji:: 1995
Wydawca:: Polska Akademia Nauk. Instytut Matematyczny PAN
Tematy:: density and quantile estimators
approximate schemes
stochastic differential equations with α-stable integrators
stochastic modeling
Opis:: The aim of this paper is to apply the appropriate numerical, statistical and computer techniques to the construction of approximate solutions to nonlinear 2nd order stochastic differential equations modeling some engineering systems subject to large random external disturbances. This provides us with quantitative results on their asymptotic behavior.
Źródło:: Applicationes Mathematicae; 1995-1996, 23, 1; 95-105
1233-7234
Pojawia się w:: Applicationes Mathematicae
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: Approximation of stochastic differential equations driven by α-stable Lévy motion
Autorzy:: Janicki, Aleksander
Michna, Zbigniew
Weron, Aleksander
Powiązania:: https://bibliotekanauki.pl/articles/1339273.pdf
Data publikacji:: 1997
Wydawca:: Polska Akademia Nauk. Instytut Matematyczny PAN
Tematy:: α-stable Lévy motion
convergence of approximate schemes
stochastic differential equations with jumps
stochastic modeling
Opis:: In this paper we present a result on convergence of approximate solutions of stochastic differential equations involving integrals with respect to α-stable Lévy motion. We prove an appropriate weak limit theorem, which does not follow from known results on stability properties of stochastic differential equations driven by semimartingales. It assures convergence in law in the Skorokhod topology of sequences of approximate solutions and justifies discrete time schemes applied in computer simulations. An example is included in order to demonstrate that stochastic differential equations with jumps are of interest in constructions of models for various problems arising in science and engineering, often providing better description of real life phenomena than their Gaussian counterparts. In order to demonstrate the usefulness of our approach, we present computer simulations of a continuous time α-stable model of cumulative gain in the Duffie-Harrison option pricing framework.
Źródło:: Applicationes Mathematicae; 1996-1997, 24, 2; 149-168
1233-7234
Pojawia się w:: Applicationes Mathematicae
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 3.

Tytuł:: Computer-aided modeling and simulation of electrical circuits with α-stable noise
Autorzy:: Weron, Aleksander
Powiązania:: https://bibliotekanauki.pl/articles/1340383.pdf
Data publikacji:: 1995
Wydawca:: Polska Akademia Nauk. Instytut Matematyczny PAN
Tematy:: density and quantile estimators
stochastic differential equations
approximate schemes
α-stable random variables and processes
stochastic modeling
Opis:: The aim of this paper is to demonstrate how the appropriate numerical, statistical and computer techniques can be successfully applied to the construction of approximate solutions of stochastic differential equations modeling some engineering systems subject to large disturbances. In particular, the evolution in time of densities of stochastic processes solving such problems is discussed.
Źródło:: Applicationes Mathematicae; 1995-1996, 23, 1; 83-93
1233-7234
Pojawia się w:: Applicationes Mathematicae
Dostawca treści:: Biblioteka Nauki

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