Approximate solution for some stochastic differential equations involving both Gaussian and Poissonian white noises

DOI10.1016/S0893-9659(03)90113-3zbMath1049.60053MaRDI QIDQ1433190

Guy Jumaric

Publication date: 15 June 2004

Published in: Applied Mathematics Letters (Search for Journal in Brave)

zbMATH Keywords

Gaussian white noiseStochastic differential equationKramers-Moyal expansionPoissonian white noiseFractional white noiseSigned measure of probability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (3)

Fractional Brownian motions via random walk in the complex plane and via fractional derivative. Comparison and further results on their Fokker-Planck equations ⋮ Convergence rate analysis of discrete-time Markovian jump systems ⋮ Formal calculus for real‐valued fractional Brownian motions prospects in systems science

Cites Work

• The Fokker-Planck equation. Methods of solution and applications
• A signed measure on path space related to Wiener measure
• Maximum entropy, information without probability and complex fractals. Classical and quantum approach
• Information Theory and Statistical Mechanics
• Application of Nonstationary Shot Noise in the Study of System Response to a Class of Nonstationary Excitations
• System response to random impulses
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