Abstract: In this paper, we study the numerical simulation of stochastic differential equations (SDEs) on the special orthogonal Lie group . We propose a geometry-preserving numerical scheme based on ...

In the realm of financial mathematics, differential equations play a pivotal role in modeling and solving problems related to various financial instruments and markets. These mathematical tools are ...

Inspired by path integral solutions to the quantum relaxation problem, we develop a numerical method to solve classical stochastic differential equations with multiplicative noise that avoids ...

When it comes to fixing your differential, there’s bad news and good news. The bad news is that differential replacements are expensive, often ranging from $2,500 to $6,000. The good news is that both ...

Discovering the underlying relationships among variables from temporal observations has been a longstanding challenge in numerous scientific disciplines, including biology, finance, and climate ...

Abstract: A semi-implicit integration approach is proposed for the solution of stochastic differential-algebraic equations of power systems. The approach helps to include stochastic processes in power ...

ABSTRACT: In this paper, we present stochastic differential equations related to the cost variables of the shipping market. These SDEs arise under the addition of stochastic terms on the deterministic ...

ABSTRACT: This paper investigates the problem of robust finite-time H∞ filter design for Itô stochastic systems. Based on linear matrix inequalities (LMIS) techniques and stability theory of ...